Sunday, June 8, 2014

First System Back tested and revealed

Well after a hard work I successfully back tested my first system.
It is based on Moving averages.

Entry:When 20 day crosses 50 day and and the directions of MA20 and MA50 are on the side of the cross, enter the trade.
Exit: Either 20 day crosses 50 day in the opposite way or MA20 and MA50 are both turned to the opposite direction of the trade.Trade after the day closes and data becomes fixed.

The results are below for DAX for the past 11 years:
The latest signal was at 13 of May when markets closed 9754 . The market pulled back to MA20 and now
trading around 9987,13.

Well the winning results are based on initial exit strategy.
But profit taking will be more efficient if it is done in a partition based manner.
Not have the tools to evaluate all the data,but I would try the following:

You have to divide the trade as below:In any case once the exit conditions evolve you have to close it.
%30 when market moves 7 % in the favor of the trade (non calculated the optimum but based on looking at the data)
%30 when market moves 12% in the favor of the trade
%20 when the market moves 18% in the favor of the trade
%10 when the market moves 24% in the favor of the trade
%10 when the market moves 28 % in the favor of the trade

I m curious to trade with my first real back tested system.
Any case on average during 11 years 54 trading conditions appeared which makes around 5 trades a year so around 1 trade per 2 and a half months.

Meanwhile I will watch the markets if I can enter at a favorable level for the latest signal.Namely at some level close to MA20.

No comments:

Post a Comment