Four systems, One small portfolio and Cotton trading
Posted: 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.
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.