August 24, 2009
Base Donchian Channel System (100 day channel entry / 20 day channel exit) with market selection by RS Momentum (note: I used volatility adjusted RS).
System Rules:
- Enter on 100 day Donchian Channel breakouts
- Exit on 20 day Donchian Channel breakouts
- 2 ATR (10 day exponential average) stop.
- Market selection based on RS Momentum Ranking
- Strategy 1
Enter top 6 markets ranked by ((1 year price change + 1 month price change)/2) / (10 day ATR)
- Strategy 2
Enter bottom 3 markets ranked by (3 year price change) / (10 day ATR)
- Position Size = ((Account Equity * 1%)/2 ATR)
- Transaction Slippage = 2 ticks
- Markets Traded: ES, NQ, TF, GC, SI, HG, CL, HO, NG, RB, ZC, CC, CT, KC, ZW, LE, HE, ZS, SB, AUD, GBP, JPY, EUR, CHF
Results:
Start Date
19840103
End Data
20090818
Trade Days
6449
Years
25.59
Months
Years
Winning
170
20
Losing
137
6
Best
36%
78%
Worst
-13%
-13%
CAGR
14.38%
Max DrawDown
20051101
-33.74%
MAR
.43
Lake Ratio
15.56%
R-Squared
.94
Sharpe Ratio
.72
Total Return
3099%
Starting Equity
$ 1,000,000
Ending Equity
$ 31,991,198
ALL CONTENT ON THIS SITE IS PROVIDED FOR INFORMATION PURPOSES ONLY. NOTHING HEREIN SHOULD BE CONSTRUED AS AN OFFER TO BUY OR SELL SECURITIES, OR TO PROVIDE INVESTMENT ADVICE. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED ON THIS WEB SITE. THE PAST PERFORMANCE OF ANY TRADING SYSTEM OR METHODOLOGY IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Full Report
