I’ve been trading this system (Version 1) live in a Fidelity 401K account. It is definitely the easiest system I’ve ever traded. It should be though as it is designed to be a long-term system for a retirement account or for someone that wants moderate out-performance with a reduction in the potential for a huge drawdown. There are never issues with fills and because money can be rolled from one fund into another, there are no issues with settlement.
I’m also still tracking Version 2, which is still having problems. It is a good example of why after backtesting one should track a system in real-time before committing real money to it.
Read more about Version 1 and its development here.
Read more about Version 2 and its development here.
Version 1 YTD
- Net Profit 9.03% (12.95% annualized)
- Exposure 83.97%
- Net Risk Adjusted Return 10.75%
- Trades 15
- Winning Trades 53.33%
- Average Profit Per Trade 1.85%
- Max System % Drawdown -9.96%
- Profit Factor 2.35
- Sharpe Ratio 0.85
Version 2 YTD
- Net Profit -1.68%
I don’t see any need to record the rest of the metrics for Version 2.
- Net Profit 14.91% (Annualized 21.64%)
- Max % Drawdown -9.64%