September 8, 2009
System Rules:
Simple Donchian 40/20 Strategy
Rules for both systems are the same except for the type (SMA,EMA) of the MA's being used
Enter position on break of 40 day Donchian Channel
Long Entry at 40 day High
Filter: only enter Long position if 50 MA > 200 MA
Short Entry at 40 day Low
Filter: only enter Short position if 50 MA < 200 MA
Exit position on break of 20 day Donchian Channel in opposite direction
Long Exit at 20 day Low
Short Exit at 20 day High
Risk 1% of Equity on each Trade
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:
Without Filter
SMA Filter
EMA Filter
Start Date
19840103
19840103
19840103
End Data
20090818
20090818
20090818
Trade Days
6450
6450
6450
Years
25.60
25.60
25.60
Winning Months
167
172
174
Losing Months
140
135
133
Best Month
43%
40%
42%
Worst Month
-19%
-15%
-15%
CAGR
12.03%
15.23%
14.82%
Max DrawDown
-45.61%
-37.53%
-33.92%
MAR
.26
.41
.44
Lake Ratio
25.15%
16.83%
15.46%
R-Squared
.79
.82
.82
Sharpe Ratio
.55
.75
.73
Total Return
1775%
3770%
3437%
Starting Equity
$ 1,000,000
$ 1,000,000
$ 1,000,000
Ending Equity
$ 18,750,928
$ 38,701,582
$ 35,365,733
Donchian 40/20 Without Filter
Donchian 40/20 SMA Filter
Donchian 40/20 EMA Filter
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