Following up on the first post here from over two years ago, below is the current performance report for the Percent Exposure Donchian Channel system. I have made some improvements in my back tester to handle recording trades to better simulate how trades would be managed, executed, and recorded in actual trading which has some impact on the performance.
System Rules and Settings
Strategy A • With Long Term Trend
20% Long: Enter Close > 20 Day High | Exit on Close < 10 Day Low | Weight .20
20% Short: Enter Close < 20 Day Low | Exit on Close > 10 Day High | Weight -.20
Strategy B • Counter Long Term Trend
10% Long: Enter Close > 40 Day High | Exit on Close < 20 Day Low
10% Short: Enter Close < 40 Day Low | Exit on Close > 20 Day High
Strategy C • With Long Term Trend
30% Long: Enter Close > 50 Day High | Exit on Close < 25 Day Low
30% Short: Enter Close < 50 Day Low | Exit on Close > 25 Day High
Strategy D • Counter Long Term Trend
15% Long: Enter Close > 100 Day High | Exit on Close < 50 Day Low
15% Short: Enter Close < 100 Day Low | Exit on Close > 50 Day High
Strategy E • With Long Term Trend
50% Long: Enter Close > 200 Day High | Exit on Close < 100 Day Low
50% Short: Enter Close < 200 Day Low | Exit on Close > 100 Day High
With Long Term Trend
Long: Last 200 day channel break was Close > 200 Day High
Short: Last 200 day channel break was Close < 200 Day Low
Counter Long Term Trend
Long: Last 200 day channel break was Close < 200 Day Low
Short: Last 200 day channel break was Close > 200 Day High
Position Sizing = Channel Weight * (.50% / MAX(1%, (2 ATRs / Close)))
Markets Traded = Corn, Cocoa, Cotton, Lean Hogs, Live Cattle, Soybeans, Sugar, Wheat, Coffee, British Pound, Canadian Dollar, Euro, Yen, Australian Dollar, Swiss Franc, Oil, Heating Oil, Natural Gas, Gasoline, Nasdaq 100, S&P 500, Eurex 50, Russell 2000, Nikki, Gold, Copper, Silver, US Treasury,
Analysis
Before getting in to how the system has performed as a whole I thought it would be interesting to check in on how each individual strategy within the system is doing on its own:
CAGR
2.2%
A
-0.6%
B
3.6%
C
0.4%
D
7.0%
E
Sharpe Ratio
0.81
A
-0.50
B
0.79
C
0.23
D
0.87
E
Max DrawDown
-5%
A
-15%
B
-10%
C
-5%
D
-20%
E
Two quick observations
- Trading counter to the long term trend is risky
- Long term trend creates the most return but with it comes increased drawdowns
Backtest Results • Date Range[19850102 to 20111104]
Curve
Total Return
2007%
CAGR
12.07%
Sharpe
0.78
DVR
0.70
MAR
0.35
Max Daily Drawdown
-34.90%
Average Drawdown
-3.49%
Avg Drawdown Length
34.55
Trade
Trade Winning %
25%
Average Trade
-0.98%
Average Win
6.85%
Average Loss
-3.61%
Win/Loss Ratio
1.90
Best Trade
72.0%
Worst Trade
-32.4%
Avg Days in Trade
27.26
Trades
4969
Time
% Winning Months
57%
Average Winning Month
4.13%
Average Losing Month
-2.93%
Best Month
25.53%
Worst Month
-12.02%
% Winning Years
85%
Best Year
62.56%
Worst Year
-20.59%
Positive 12 Month Periods
75%
Winning Trades
Short
Long
Total
Trades
533
709
1242
Average
6.55%
7.09%
6.85%
Max
71.99%
67.94%
71.99%
Avg Days in Trade
55.91
50.21
52.66
Win Rate
23%
27%
25%
Losing Trades
Short
Long
Total
Trades
1823
1876
3699
Average
-3.53%
-3.69%
-3.61%
Max
-23.80%
-32.35%
-32.35%
Avg Days in Trade
18.64
19.16
18.90
Loss Rate
77%
73%
75%
Year
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
NOV
DEC
Total
DD
1985
-0.26
7.47
-11.52
-1.06
1.52
0.04
9.51
6.31
-0.55
2.82
5.34
2.01
21.91
-16.89
1986
1.81
10.50
4.78
-1.52
-5.28
1.46
0.12
-1.47
-3.50
-3.18
-1.28
3.72
5.28
-14.70
1987
4.38
-0.89
6.99
7.44
1.07
2.54
3.93
-2.48
0.35
-1.70
4.04
5.75
35.58
-10.69
1988
-6.98
4.01
-0.27
-0.44
5.20
3.67
-2.50
5.21
2.77
-2.19
3.10
-2.92
8.12
-6.98
1989
2.19
-5.39
5.65
1.30
8.87
-2.25
-0.08
-1.25
1.95
1.30
0.57
7.12
20.87
-7.36
1990
-0.48
-1.14
1.41
3.83
-4.24
3.80
4.92
2.16
4.73
2.14
0.77
-0.22
18.70
-7.12
1991
-2.82
0.68
-2.01
1.86
-0.65
9.98
-6.68
2.30
-0.96
4.16
-1.96
12.11
15.49
-10.14
1992
-3.81
-1.63
0.35
0.59
0.58
1.35
10.87
6.03
2.75
-0.41
-0.52
-2.38
13.75
-8.38
1993
-0.07
2.87
1.45
3.28
1.92
1.53
0.96
-3.98
-0.61
-0.45
2.65
5.41
15.66
-8.58
1994
-1.01
-4.39
-0.06
-1.52
10.22
2.11
0.69
-3.67
6.76
0.78
4.34
0.35
14.55
-8.93
1995
3.22
0.41
-0.98
0.64
-1.58
1.92
-3.64
-1.56
2.43
-0.91
-1.42
10.57
8.72
-9.34
1996
-4.11
-3.20
4.06
8.81
-0.05
3.72
-6.39
0.01
2.68
6.64
2.02
3.58
18.05
-10.10
1997
2.22
1.43
-0.78
2.14
-2.27
0.15
-1.05
0.14
-2.20
-0.70
4.36
9.48
13.09
-8.77
1998
-2.27
3.29
-2.81
-1.20
1.33
2.33
7.76
10.89
-9.43
-2.45
4.38
3.86
15.06
-13.30
1999
-2.21
5.30
-8.01
3.29
-0.50
2.07
1.42
0.18
-0.03
-6.03
3.84
1.37
-0.17
-12.57
2000
-2.50
1.36
-2.98
1.62
-3.02
0.56
-5.32
6.88
-1.27
2.54
4.66
1.36
3.26
-17.45
2001
-2.72
7.85
10.58
-7.09
-0.09
4.01
-2.02
0.20
6.96
1.43
-4.26
-0.03
14.18
-9.49
2002
1.27
0.32
-2.97
3.87
4.76
6.24
-0.44
3.01
3.07
-8.09
-2.02
5.74
14.71
-11.94
2003
9.84
3.95
-7.14
0.70
7.77
-4.68
2.38
-2.45
0.04
8.26
-3.38
9.10
25.06
-10.45
2004
3.20
5.62
-0.24
-5.04
-0.96
-0.86
-1.11
-5.10
4.95
4.49
12.08
-1.80
14.83
-15.33
2005
-5.04
-3.77
-2.92
-1.86
-3.62
-2.67
-0.66
0.36
-2.21
-1.90
7.72
-5.62
-20.59
-26.15
2006
0.33
-2.03
6.01
7.67
-1.21
-5.50
-6.31
0.19
0.89
1.14
4.41
-1.70
2.99
-26.49
2007
-2.86
-1.35
-5.06
2.89
-1.05
2.04
-5.17
-6.14
8.27
8.63
-5.22
2.29
-4.07
-34.90
2008
5.77
16.26
-3.27
-1.43
1.99
3.16
-9.87
1.86
8.45
25.53
5.60
-0.15
62.56
-24.71
2009
-1.37
0.68
-4.76
-0.21
1.10
-2.81
1.45
3.99
5.15
-3.30
9.31
-6.68
1.46
-18.58
2010
-6.85
0.53
4.06
1.54
-5.70
-3.82
-2.68
2.56
7.37
9.89
-4.35
13.90
15.13
-23.07
2011
1.28
5.89
-1.45
9.99
-12.02
-3.95
3.39
-3.39
5.27
-10.29
0.32
-
-7.04
-20.28
Download as PDF
Does removing the counter trend strategies improve performance or do they provide uncorrelated return streams?
Backtest Results | Removing Counter Trend Strategies • Date Range[19850102 to 20111104]
Curve
Total Return
2461%
CAGR
12.89%
Sharpe
0.90
DVR
0.81
MAR
0.41
Max Daily Drawdown
-31.78%
Average Drawdown
-3.09%
Avg Drawdown Length
30.98
Trade
Trade Winning %
29%
Average Trade
-0.42%
Average Win
7.70%
Average Loss
-3.71%
Win/Loss Ratio
2.07
Best Trade
70.0%
Worst Trade
-31.3%
Avg Days in Trade
30.25
Trades
3369
Time
% Winning Months
59%
Average Winning Month
3.79%
Average Losing Month
-2.80%
Best Month
21.09%
Worst Month
-11.98%
% Winning Years
89%
Best Year
54.77%
Worst Year
-18.98%
Positive 12 Month Periods
77%
Winning Trades
Short
Long
Total
Trades
421
544
965
Average
7.13%
8.13%
7.70%
Max
64.40%
69.96%
69.96%
Avg Days in Trade
61.08
56.98
58.77
Win Rate
27%
30%
29%
Losing Trades
Short
Long
Total
Trades
1119
1263
2382
Average
-3.76%
-3.67%
-3.71%
Max
-23.80%
-31.33%
-31.33%
Avg Days in Trade
18.91
18.92
18.92
Loss Rate
73%
70%
71%
Year
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
NOV
DEC
Total
DD
1985
0.01
7.33
-11.06
-0.40
0.96
0.13
7.16
6.58
-0.14
2.90
4.77
2.78
21.46
-15.78
1986
1.04
8.93
3.27
-1.41
-4.59
0.68
-0.41
-1.46
-1.84
-2.52
-0.35
3.33
4.08
-12.23
1987
5.36
-0.58
7.71
6.46
0.97
2.82
4.10
-1.55
0.29
-1.56
4.95
5.47
39.68
-8.43
1988
-7.38
3.55
0.23
0.13
5.24
3.99
-2.38
5.51
3.35
-2.07
3.45
-2.59
10.67
-7.38
1989
2.83
-4.96
5.32
0.70
8.19
-1.84
0.92
-0.87
1.51
1.01
-0.07
7.73
21.55
-6.37
1990
0.14
-1.26
2.04
2.21
-4.07
4.00
5.17
2.11
4.10
1.47
0.48
0.00
17.26
-6.39
1991
-1.84
0.96
-3.31
2.09
-1.01
9.99
-5.23
2.20
-1.10
4.12
-1.47
10.84
16.03
-9.59
1992
-3.66
-1.16
0.15
1.38
0.48
1.90
10.21
6.73
2.83
-1.31
-1.04
-1.69
14.96
-7.78
1993
0.53
2.98
1.65
3.18
1.69
1.97
0.92
-2.82
-0.56
0.12
2.69
4.38
17.86
-6.60
1994
-1.24
-3.66
-0.22
-2.37
7.77
1.29
-0.04
-3.24
4.34
2.05
2.69
0.98
8.05
-9.38
1995
2.60
0.63
-0.53
0.67
-1.64
0.87
-3.49
-1.70
2.87
-1.00
-0.37
9.05
7.69
-9.29
1996
-4.45
-2.15
4.45
9.62
-0.34
3.38
-5.90
0.80
3.14
5.94
2.58
3.19
20.99
-8.96
1997
1.83
0.80
-0.91
2.40
-0.48
0.09
-1.35
0.40
-1.88
-0.16
4.10
8.95
14.17
-8.11
1998
-1.52
3.14
-2.22
-0.76
1.50
2.67
8.36
10.37
-9.12
-2.47
4.82
4.20
18.92
-12.80
1999
-1.96
5.29
-8.04
2.30
0.58
1.75
1.93
0.17
-0.23
-4.80
2.95
1.62
0.84
-10.90
2000
-2.70
1.29
-2.63
1.35
-3.67
0.96
-4.08
6.51
-0.92
2.64
5.24
1.95
5.45
-15.68
2001
-2.48
7.42
10.54
-6.57
0.59
3.86
-2.30
1.11
6.59
1.99
-4.14
0.79
17.28
-8.79
2002
1.71
0.57
-3.36
4.11
3.74
4.66
-0.10
2.83
2.97
-7.39
-1.81
6.86
14.84
-10.05
2003
9.55
4.57
-6.97
0.27
6.52
-4.23
1.05
-1.79
0.83
8.92
-2.91
9.14
25.89
-10.69
2004
2.77
5.26
0.44
-4.87
0.05
-1.46
-2.39
-4.55
5.45
4.37
11.94
-1.85
14.80
-13.91
2005
-5.05
-3.79
-3.02
-1.73
-3.64
-2.41
-0.57
-0.32
-1.28
-1.85
7.29
-3.94
-18.98
-25.35
2006
1.02
-2.12
6.68
7.23
-1.75
-4.34
-5.37
0.45
0.46
0.99
3.84
-1.88
4.45
-24.31
2007
-3.46
-1.16
-4.85
2.77
-1.16
1.71
-4.53
-4.64
8.21
8.90
-5.64
2.47
-2.71
-31.78
2008
4.96
15.01
-1.50
-1.83
2.16
4.07
-9.50
0.95
6.30
21.09
5.51
0.52
54.77
-20.76
2009
-0.24
1.14
-3.84
-0.45
-1.38
-1.17
0.57
3.41
4.01
-3.18
7.70
-4.79
1.12
-15.84
2010
-5.61
0.54
5.78
1.87
-5.82
-3.20
-2.08
2.88
6.90
8.73
-4.88
13.79
18.14
-17.87
2011
0.91
6.79
-0.03
10.92
-11.98
-3.18
3.58
-2.98
2.93
-8.09
0.31
-
-2.91
-18.99
Download as PDF
Yes, there is a general increase across the board in performance with less overall exposure, especially during times when sticking to such a trend strategy may be difficult.
wow, great analysis, very inspiring! how are the ATR lengths calculated? are they supposed to be (2x) the same as the X days high/low in each strategy? it’d be interesting to see a chart with those channels for each strategy highlighting some of the best/worst moments. cheers.