Seven Full Trading Systems Revisited, With Completely New Data


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Seven Full Trading Systems Revisited, With Completely New Data

Two years ago, I wrote a post on 7 profitable trading systems that were coded simply using the cheap-but-powerful program Amibroker.

Although basic, they still yielded some good results, and certainly spawned some great discussion as well.  At the time, they were created AND tested over the previous 13 years only – what is known as “in sample” data.  An excellent question was raised by Thomas as to whether Out of Sample data would be used to test properly.   I had to answer “No”, because I didn’t do the right thing and leave at least a year at the end of the tests for out of sample testing!

But here’s the good news – it’s now two years later, and we have two full years of completely out of sample data to re-test and revisit these trading systems on!  Add to the the fact that instead of one back-test, I used 1000 random tests in a Monte Carlo arrangement to get the full picture.  At the very least, it is extremely interesting, as we can see which systems made the grade, which ones fell to the wayside and which ones, if any, completely tanked.  It’s a great lesson in testing properly.

Check it out and leave a comment below!

Click on the images to enlarge.  All systems were tested using Monte Carlo testing, of 1000 different random versions of the same trading system over the last two years (completely Out of Sample data).  The pictures show the range of results in a Histogram, and a Scatter Plot of the Annual Return versus the maximum drawdown.  The previous article covered the previous 13 years of system testing.

  1. Highest High Trading System                   2. MA Channel Trading System

01 Highest High                                        Moving Average Channel

3. Bollinger Band Trading System                 4. MA Crossover Trading System

Bollinger Band Trading System                                    Moving Average Crossover Trading System

5. Sell in May Trading System              6. Leap of Faith Trading System

Sell in May Trading System                                 Leap of Faith (Gaps Trading) System

7. MA Up MA Down Trading System

MA up MA Down trading system

Please leave a comment below, if you enjoyed :).  Happy trending,

Dave McLachlan

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June 9, 2013  Tags: , , , , , , , , , ,   Posted in: Amibroker Trading System

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