TrendSensor Trading Signal Performance Results For S&P 500 (SPX)
Backtest Results For SPX:
(Note: This
is the only backtest with annotations to explain what the highlighted measures
mean
- all written in italics, just like this note.
If you’re unfamiliar with backtest
reports this is a good place to start – let me know via the Contact Page, if
anything still isn’t clear)
Trade
Parameters
(TrendSensor
Signal System S&P 500)
Trade
Parameters
Initial Capital: $50,000.00
Portfolio Limit:
45.00%
Maximum number of open positions: 5
Position Size Model: Fixed Percent Risk
Percentage of capital risked per trade: 2.00%
Position size limit: 20.00%
Portfolio Heat:
35.00%
Pyramid profits:
Yes
Transaction cost (Trade Entry): $10.00
Transaction cost (Trade Exit): $10.00
Margin Requirement: 20.00%
Detailed Report
(TrendSensor
Signal System S&P 500)
Simulation
Summary
Simulation Date:
Simulation Time:
Simulation Duration: 0.16 seconds
Trade
Summary
Earliest Entry Date in the Trade Database:
Latest Entry Date in the Trade Database:
Earliest Exit Date in the Trade Database:
Latest Exit Date in the Trade Database:
Start Trade Entry Date:
Stop Trade Entry Date:
First Entry Date:
Last Entry Date:
First Exit Date:
Last Exit Date:
Total Trading duration: 2016 days
Profit
Summary
Profit Status: PROFITABLE
Starting Capital: $50,000.00
Finishing Capital: $110,123.46
Maximum Equity/(Date): $60,123.46 (
Minimum Equity/(Date): $958.00 (
Gross Trade Profit: $68,272.25 (136.54%)
Gross Trade Loss: -$8,148.79
(-16.30%)
Total Net Profit: $60,123.46 (120.25%)
Average Profit per Trade: $2,505.14
Profit Factor:
8.3782
Profit Index:
88.06%
Total Transaction Cost: $480.00
Total Slippage: $0.00
Daily Compound Interest Rate: 0.0392%
Annualized Compound Interest Rate: 15.3677%
“Annualized Compound Interest Rate”: This is the annual gain for this market,
assuming
all profits remain available for re-investment. It’s like a “return on equity”
(ROE) figure
in the business world. 15.37% per annum (p.a.) is an excellent
figure for a single market
that is traded about 4 times a year using the TrendSensor system.
The 43
markets I’ve selected for TrendSensor Portfolios range from
over 2%p.a. to over 17%p.a. on this
measure.
IMPORTANT
POINT: This measure is a little arbitrary as it is
highly dependent on
assumptions made about capital available for trading, position size, and margin
utilization. Most measures below aren’t
influenced by these factors and
“system expectation”, in particular, is a much better overall measure of
system
performance – see details below.
Trade
Statistics
Trades Processed: 24
Trades Taken:
24
Partial Trades Taken:
0
Trades Rejected:
0
Winning Trades: 18 (75.00%)
Losing Trades: 6 (25.00%)
Breakeven Trades: 0 (0.00%)
Normal Exit Trades: 24 (100.00%)
Delayed Normal Exit Trades: 0 (0.00%)
Open Trades:
0
(0.00%)
Protective Stop Exit Trades: 0 (0.00%)
Time Stop Exit Trades: 0 (0.00%)
Profit Stop Exit Trades: 0 (0.00%)
Largest Winning Trade/(Date): $15,136.11 (
Largest Losing Trade/(Date): -$2,295.58 (
Average Winning Trade: $3,792.90
Average Losing Trade: -$1,358.13
Average Win/Average Loss: 2.7927
With 75%
of all trades being winning trades and wins being 2.8 times as big as
losses, on average, this is a great
result. Even if only 40% of trades were
winners
this system would still make good profits.
A better
all-round measure of system performance is given by the “system expectation”
measure – see below for more details.
Trade
Duration Statistics
(All
Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 66 (days)
(Winning
Trades)
Maximum Trade Duration: 310 (days)
Minimum Trade Duration: 12 (days)
Average Trade Duration: 86 (days)
(Losing
Trades)
Maximum Trade Duration: 15 (days)
Minimum Trade Duration: 0 (days)
Average Trade Duration: 5 (days)
The
average duration for winning trades is over 17 times as long (86 days) as
that for losing trades (5 days) – a clear sign that this system is successful
at
letting winning trades run, while cutting losers short.
Consecutive
Trade Statistics
Maximum consecutive winning trades: 6
Maximum consecutive losing trades: 2
Average consecutive winning trades: 3.00
Average consecutive losing trades: 1.20
Trade
Expectation Statistics
Normalized Expectation per dollar risked: $0.7700
Maximum Reward/Risk ratio: 6.56
Minimum Reward/Risk ratio: -1.02
Average Positive Reward/Risk ratio: 1.27
Average Negative Reward/Risk ratio: -0.74
“Normalized
Expectation per dollar risked” – this is usually referred to as “system
expectation”
and is simply the amount of gain/loss you’d expect to make for each dollar you placed
at risk trading this market with the TrendSensor system (based on over 5 years
of backtesting).
This is
probably one of the best overall measures of a systems performance.
The $0.77
figure means a 77% return for each dollar placed at risk.
I like to look at this from the perspective of a venture capitalist: they
invest in
high-risk fledgling business’ and expect returns of at least 30% on each dollar
they risk,
and normally in the 30% - 50% range. So
a 77% figure is very good.
A return of 30% or more was one of the key criteria for selecting markets for
the
TrendSensor portfolios, although a few markets with lower returns were included
due to
strong performance in other measures.
Relative
Drawdown
Maximum Dollar Drawdown/(Date): $2,295.58 (
Maximum Percentage Drawdown/(Date): 2.5070%
(
This is
an unusually good result. Most
professionally managed funds work to keep
maximum
drawdowns to under 15-20%, as customers begin panicking above
these levels. It’s probably of greater
relevance at the portfolio level, than for an
individual
market, but a low maximum drawdown figure shows the system has
performed consistently well over a period of
more than 5 years.
Absolute
(Peak-to-Valley) Dollar Drawdown
Maximum Dollar Drawdown: $2,295.58 (2.1740%)
Absolute
(Peak-to-Valley) Percent Drawdown
Maximum Percentage Drawdown: 2.5070% ($2,250.00)
Performance
Summary Report
(TrendSensor
Signal System S&P 500)
All
Trades
Trades Taken:
24
Total Net Profit: $60,123.46
Average Trade Profit: $2,505.14
Maximum Trade Profit: $15,136.11
Minimum Trade Profit: -$2,295.58
Break Even Trades: 0
Winning Trades:
18
Losing Trades:
6
Percent Profitable: 75.00%
Average Winning Trade Profit: $3,792.90
Average Losing Trade Profit: -$1,358.13
Long
Trades
Trades Taken:
12
Total Net Profit: $47,694.07
Average Trade Profit: $3,974.51
Maximum Trade Profit: $15,136.11
Minimum Trade Profit: -$2,295.58
Break Even Trades:
0
Winning Trades:
10
Losing Trades:
2
Percent Profitable: 83.33%
Average Winning Trade Profit: $5,074.30
Average Losing Trade Profit: -$1,524.46
Short
Trades
Trades Taken:
12
Total Net Profit: $12,429.39
Average Trade Profit: $1,035.78
Maximum Trade Profit: $3,223.93
Minimum Trade Profit: -$2,250.00
Break Even Trades:
0
Winning Trades:
8
Losing Trades:
4
Percent Profitable: 66.67%
Average Winning Trade Profit: $2,191.16
Average Losing Trade Profit: -$1,274.97