All models are now under-performing SPY (+0.83%) and IWM (+0.66%).
There are two trades that have seriously impacted performance, and those are OPXT and TA. TA will be closed soon, while OPXT is still open. Both trades have been large losers, and have fallen almost every day, with little to no bounces, since the trades were initiated. I chalk this up to bad luck, and know that given enough time, there will be good luck trades to balance these out.
Shameless Plug Alert: If you have been considering trying out this system, the best time to start trading it is when it is in a drawdown. Most people want to start trading a system when it is killing it… On PDS site, there is a tab labeled “Models” where graphs are housed showing previous drawdowns. The current drawdown from the last equity high is ~15% and looks to be very typical of performance during a market correction.
For anyone worried that the system will dip buy itself to death, it will not happen. As a stock must be in an uptrend to meet the buy criteria, during a sustained market correction, there are very few stocks in an uptrend. Thus, the system sits mainly in cash until the market improves.
20% of Equity per Trade
Net % Profit: -4.38%
Annualized: -19.83%
Average Trade: -0.43%
Winning %: 60.98%
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10% of Equity per Trade
Net % Profit: -7.38%
Annualized: -31.50%
Average Trade: -0.95%
Winning %: 59.21%
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ATR Position Sizing
Net % Profit: -3.34%
Annualized: -15.41%
Average Trade: -1.12%
Winning %: 61.82%
.01/share was included for commissions.
A free PDS trial is available.
does the system generally underperform during corrections, or just during the initial phase of the corrections when many things had registered a “buy” and then dropped rampantly when the rug got pulled out?
What I’m asking is, in the past, has the drawdown the system sees been concentrated at the beginning of a correction? Like killed in the first week or two of Jan 2009, but generally unharmed during the down-every-day meelee from early Feb to the march bottoms?
The initial phase is where it takes the big hit. Typically, when these corrections happen, the system is 100% long, or close to it. However, without OPXT or TA, the system would be close to flat for the year or showing slight gains. It has really been hit hard by those two trades.
Performance in 2009 saw it trade pretty much flat for the first half of the year and then it started making big gains the second half of the year.
very nice. I think that’s a very good shallow draw down considering how well it usually performs.
Well, I don’t know about shallow 😉 but it is certainly typical and not out of the ordinary.
No stops?
Nope. Works better without stops.
You are a scholar and a gentleman!
New backtest request:
Condition: SPY drops 5% off recent pivot highs. You can define pivot as 20, 50, or 100 day highs or however you want to.
Track: Movement of VIX for 15 days afterward. It would be better if we saw individual results plotted rather than the average.
This can be refined a bit.
Why look at this: into this pop, we’ve seen an uncharacteristically large move to the downside in the VIX. This could be indicating that people buying S&P options think that “this is it” in terms of the downside move.
Steven, how soon after the high should the 5% drop take place?
It will be a real pain to not plot the average. There are probably 40 or more instances of this over the SPY history.
That’s the tough part, it’s a little difficult to define the input parameters for this. I don’t think there necessarily needs to be a time limit for the pullback. It just seems the move in the VIX seems to be abnormally low, especially this close to a series of events that just occurred.
I guess the average VIX move would work, I just want to see if this action in SPX options premiums are uncharacteristic historically.
Steve, I took a look at the setup. Let me explain what I see.
On 3.14 SPY close = 130.05 and VIX close = 21.13
On 3.21 SPY close = 129.74 and VIX close = 20.61
I see nothing out of the ordinary. The SPY has regained some ground and VIX has given up approximately equal ground. I’m not saying you aren’t right. It just looks to me like SPY has gone up and as typical, VIX has fallen.