Some regular vistors may've noticed the absence of my trade reviews for last week. There's a reason for that. My trading has become quite routine and I've found updating the blog over menial details a bit of a time-sink. I also work two jobs. This, in combination with relentless system development and backtesting, doesn't leave me with alot of time to do other things. It boils down to my return on time and regurgitating details from my personal trading journal doesn't provide much return to me.
I'll probably stop posting trade reviews unless one particularly catches my eye. Instead I'll focus more on "bigger picture" topics, insights and achievements I've attained.
On the system development front...
After investing three weeks investigating pinbars on the daily timeframe, I've designed a new trading system. All I need to do is type it up into an official document, and start trading it live next week. The sample size is a little over 600 trades across 11 currency pairs, from 2001 to mid-2012. The overall profit factor was 1.25. It's tradable.
Almost of my developed trading systems are based on price action. If you're stuck for ideas, price action is a good place to start. Design some mechanical rules to follow and backtest thoroughly. It really is as simple as that. The most difficult part is actually putting in the time to perform your backtest (and optimisation).
Hi, have you experienced big swings from year to year? (i.e. +20R on 2001 +15R on 2002, -15R on 2003, ...)
ReplyDeleteDo you have heavy profit variation from different pairs?
Thanks a lot, I always read your posts with much interest.
powerpip
Sorry for the late reply. I tried to reply a few days but the internet was too slow for me and the page wouldn't load. :(
DeleteI don't have year-to-year measurements, but I do have maximum drawdown if that'll help. The following are based on a position size of 2% per trade.
System Name - System Type - # of Trades - Maximum Drawdown (%)
Cernesus - Weekly Pinbar System - 352 - 8.39%
Daikoku - Weekly Low Volatility System - 403 - 8.34%
Hermes - Daily Low Volatility System - 1600 - 16.5% (approximately)
Var - Daily Pinbar System - 615 - 42.75%
The drawdown for the last system is high because it uses a reward-to-risk of 2.5:1 with a 34% win rate. This means I have to endure quite a few losses before I win. All the other systems use a reward-to-risk of less than 1:1.
I hope this helps.