I wish to share basic stats for one of the variations of 30min Higher High/Higher Low system for ALSI futures. Results are for period 19.12.2007. – 03.05.2010.
Avg. W/Avg. L: 2.14
largest loss: 823 points
f-formula: R 54 414 over margin amount
start equity: R 60 000 (6000 points)
end equity: R 491 710 (49171 points)
Sharpe: 1.96 (calculated with 7.25% as risk-free rate)
Max drawdown: 3738 points
year 2008: 27914 points from 245 trades
year 2009: 13378 points from 304 trades
year 2010 (so far): (568) from 140 trades
System is always in the market and it does take both, long and short trades. Results are on basis of one contract being consistently traded and do account for brokerage of total of 2 points per trade, while these results do not account for slippage or any other costs that trader might encounter. Interest earned on margin and interest earned on trading account are not included in these results.
If we look at the entire sample, closed equity curve was at all time high only 106 times. The rest of the time system has spent either going deeper into drawdowns or getting from bigger drawdown level to smaller drawdown level.
If we look at year 2008, which was the best year we have on the record for this system – System has recorded 44 all time highs on closed equity curve, while the reminder of 201 trades ended somewhere within drawdown.
Simple conclusion: While trading one will often be wrong. Also, one will often be right, but that is still not going to be enough to move equity curve to new all time high levels. Understanding this is, simply, portion of the foundation on which any novice might and should try to build successful trading activity.
Trade with trend!
Note: Readers who are not familiar with difference between open and closed equity curves should do some reading on the subject in order to familiarize themselves with these two approaches.