Strategy backtest pt.9 - "past performance is not an indication of future results"

"Past performance is not an indication of future results" - you can read this sentence whenever the performance of a trader or a trading strategy is presented. Somehow every trader, no matter if professional or beginner, would agree that this is a very true warning. At the same time it also puts all the backtesting effort into question. In fact, after working on a suitable strategy for months, I learned how true this sentence is - fortunately without loosing real money...

Portfolio chart analysis 22.12.2016

Markets have been surprising in the last weeks. Not only did I make some bad trade decisions, no, all traders I copy right now on eToro are between 5 and 30% in red. So I am not the only one who got surprised and messed up. Anyhow, now I am here, two days before Christmas wondering what to do with those unfortunate trades:

Sell $Ger30: -33% and -38%
$Copper: Sell +23%, Buy -34%
Sell $DJ30: -11%
Buy $Gold: -21%

I am especially worried about the $Copper and $Ger30 trades so I tried myself analyzing the charts of those assets. The target is making decisions whether to hold or close those trades or to tighten the stop loss limits. As usual I like to share and discuss my thoughts with you in this post.

Strategy backtest pt.8 - trade orders

In the former post about stop loss limits I presented an easy to use strategy, with a good DPI value. However, there was one difficulty for everyday use: Opening of trades has always been on the closerate. This is a quite difficult for several reasons...

Strategy backtest pt.7 - stop loss limit

In a former post I already investigated different stop loss systems. I found that the "reinforced" approach was most successful, so I used that throughout my following investigations with a constant stop loss limit of 2%. In this post I present results of an investigation of the limit itself.

Strategy backtest pt.6 - delay factor

On every online broker, stop loss and take profit orders are not always executed at the rate determined by the trader. That's simply due to offers and demands of the markets. Compared to the "ideal" processes of my backtesting tool, this is a disadvantage. In order to account for these imperfections of the orders, I implemented a delay factor that is further described and investigated in this post.

Strategy backtest pt.5 - market trend

In the last posts about my backtesting I had a closer look at long trades, short trades and stop losses (check posts with label "backtesting" or links on the bottom of this post). I figured that a "long-only" strategy only worked in bullish markets while "short-only" strategies only worked in bearish markets. So it was important to work on general market trend indicators.

Strategy backtest pt.4 - short trades

In the last two posts about my backtesting I focused on long trades. This time I want to present first short trade results. Again I used the DAX (Ger30) between 1992 and 2004 as underlying asset.

Strategy backtest pt.3 - stop loss

In the past I didn't care much about properly set stop loss limits - until I made huge losses on some trades. So it was about time to find a strategy for my stop losses.

strategy backtest pt.2

In the last weeks I worked hard on developing a suitable backtesting tool (see posts for version 1 and version 2). In order to compare different strategies I developed a performance index that I described in this former post. Now it is time to investigate strategies and present first results.

First trading strategy backtest

This week has been quite emotional, since my trades on copper where quite different from my expectations. At one point I kind of panicked and - as result - made wrong trading decisions. That was the clear sign to start working on more detailed and sophisticated trading strategy.