The Short TestsShort Tests - Dif Limits and TrailShort Tests - OriginalShort Tests - InfiniteShort Tests - Dif LimitsShort Tests - Trail at 1.5
1: The back test only triggered 29 cases over the test period so this is only a small sample and is not really large enough to be significant.
2: Over the period of the test from June last year to present the market has been in Bull mode so it is not surprising that a "short " strategy is struggling. The good news is that is doesn't seem to lose a lot. I do have other periods that I can run the test over, but there is a bit of a limitation of my system: I tend to keep data file is chunks of about 11 months of data, this is so that I can test over 1 year of data with 1 month run in for moving averages. Since our strategy requires a 200 day moving average which is about 10 months of data in theory I can only test accurately on 2 months of data. I actually started the test after 6 months of historic data reckon that the 200 day EMA will b very close to the 200 day ema started only 100 days before.
3: The percentage of winners of only 26% is low, which means that there is a strong likelihood of there being long lines of losers, this test on the "original settings" starts off with a run of 9 losers with a total loss of 37% . One needs a strong psychology to trade a strategy like this.
4: The winners when they arrive are big winners!! This also means that this strategy is likely to have very inconsistent results since it relies on how big the winners are and they don't happen very often.
5: Because the strategy does produce big winners I tried tweaking the strategy to reduce the loss on the losers by playing with the initial stop loss settings and the trail factor. The tabs show the following differences:
Original : Obviously the original settings
Inifinite: Intial stop set at High of last 3 bars
Dif limits: Initial stops set at Hi of last 3 bars, limits to between 0.5 and 1.5 AVTR
Trails at 1.5: Initial stops set at Hi of last 3 bars, limits to between 0.5 and 1.5 AVTR, but the stop trailed at 1.5 AVTR
Dif limits and trail: Initial stops set at Hi of last 3 bars, limits to between 0.3 and 0.8 AVTR, but the stop trailed at 1.2 AVTR
May the markets be with you!
The Spread betting beginner