Four systems, One small portfolio and Cotton trading

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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alp
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Four systems, One small portfolio and Cotton trading

Post by alp » Thu Nov 04, 2010 8:02 pm

I got a 7-day trial version of Trading Blox Builder and decided to run some tests with four of the pre-supplied trading systems.

The systems are the ATR Channel Breakout, Bollinger Band Breakout, Donchian and Dual Moving Average. Some modifications were introduced, however:

1) a MACD (75, 200) direction portfolio manager was used in all of the systems so as to allow trades only in the direction of the "long term" trend;

2) the Donchian entry blox was slightly modified to remove the ATR initial stop, just for the sake of more approximate comparison with the others;

3) the criterion to size positions was 1% of total equity divided by the dollar value of the instrument 39-day average true range.


All of the parameter values were discretionarily and arbitrarily chosen. The same about the basic portfolio used for the parameter simulation tests:

BP British Pound-CME(Floor+Electronic Combined)
C Corn-CBT (Floor+Electronic Combined)
EC Euro(Floor+Electronic Combined)-CME
GC Gold-COMEX(Floor+Electronic Combined)
JY Japanese Yen-CME(Floor+Electronic Combined)
ND Nasdaq 100 Index /10 (Floor+Electronic Combined)-CME
S Soybeans (Floor+Electronic Combined)-CBT
SI Silver-COMEX(Floor+Electronic Combined)
SP S&P 500-CME(Floor+Electronic Combined)
W Wheat-CBT (Floor+Electronic Combined)


The measure used to test the parameter values was the MAR ratio (%CAGR divided by the maximum drawdown).

After the parameter tests a pair of the best values was chosen and then Cotton was added to the portfolio so as to examine how the four systems are handling the Cotton "blow-off".

Below you find the results.
Attachments
ATR Channel Breakout - Cotton.jpg
ATR Channel Breakout - Cotton.jpg (93.23 KiB) Viewed 3963 times
ATR Channel Breakout - Parameters.png
ATR Channel Breakout - Parameters.png (193.59 KiB) Viewed 3963 times
ATR Channel Breakout - Performance.jpg
ATR Channel Breakout - Performance.jpg (75.83 KiB) Viewed 3963 times
ATR Channel Breakout - TBB.jpg
ATR Channel Breakout - TBB.jpg (76.81 KiB) Viewed 3964 times
Bollinger Breakout - Cotton.jpg
Bollinger Breakout - Cotton.jpg (91.83 KiB) Viewed 3963 times
Bollinger Breakout - Parameters.png
Bollinger Breakout - Parameters.png (207.71 KiB) Viewed 3963 times
Bollinger Breakout - Performance.jpg
Bollinger Breakout - Performance.jpg (70.76 KiB) Viewed 3965 times
Bollinger Breakout - TBB.jpg
Bollinger Breakout - TBB.jpg (72.33 KiB) Viewed 3965 times

alp
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Post by alp » Thu Nov 04, 2010 8:05 pm

(Continued...)
Attachments
Donchian - Cotton.jpg
Donchian - Cotton.jpg (85.33 KiB) Viewed 3949 times
Donchian - Parameters.png
Donchian - Parameters.png (111.55 KiB) Viewed 3949 times
Donchian - Performance.jpg
Donchian - Performance.jpg (74.09 KiB) Viewed 3950 times
Donchian - TBB.jpg
Donchian - TBB.jpg (75.84 KiB) Viewed 3950 times
Dual Moving Average - Cotton.jpg
Dual Moving Average - Cotton.jpg (77.93 KiB) Viewed 3950 times
Dual Moving Average - Parameters.png
Dual Moving Average - Parameters.png (175.61 KiB) Viewed 3949 times
Dual Moving Average - Performance.jpg
Dual Moving Average - Performance.jpg (77.26 KiB) Viewed 3949 times
Dual Moving Average - TBB.jpg
Dual Moving Average - TBB.jpg (64.79 KiB) Viewed 3950 times

alp
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Post by alp » Thu Nov 04, 2010 8:12 pm

The performance values include the Cotton instrument. Slippage and commission values were the default ones of Trading Blox Builder.

The data used was the free data available at http://www.tradingblox.com/tradingblox/ ... l-data.htm courtesy of the Trading Blox Builder team.

Please feel free to buy yourself a copy of Trading Blox Builder and replicate the results or do whatever tests and tweaks you feel like to. Here you find the purchasing information and here you can compare the three available editions.

All of the systems were long with open positions on the Cotton "blow-off" as of November 03, 2010. The "exit" plotted is the default test end exit for the sake of computation of final total equity.

sluggo
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Post by sluggo » Thu Nov 04, 2010 8:36 pm

Captain Renault, I am shocked, shocked to learn that every one of these four trend following systems finds itself positioned Long aboard the monstrous huge gargantuan uptrend in Cotton, out of sample no less!

http://tinyurl.com/6ofogo

http://tinyurl.com/2a9ba47

rhc
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Location: Oz

Post by rhc » Thu Nov 04, 2010 10:03 pm

@alp;

In your actual trading account are you long the Dec.2010 Cotton Contract or have you already rolled into Mar.2011?
Thanks,

alp
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Post by alp » Thu Nov 04, 2010 10:09 pm

rhc, I don't have Cotton in my trading portfolio. You're welcome.

sluggo
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Re: Four systems, One small portfolio and Cotton trading

Post by sluggo » Fri Nov 05, 2010 7:53 am


> ND Nasdaq 100 Index /10 (Floor+Electronic Combined)-CME
> SP S&P 500-CME(Floor+Electronic Combined)


The mini contracts (NQ and ES respectively) offer tremendously greater liquidity. Most of the futures traders I know avoid ND and SP; they trade NQ and ES instead. As do I.

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