Use this thread to post new trading system ideas and backtest results. For example, trading system rules/equity curves etc.
Long only trend system with 5 scale-ins that I was experimenting with earlier.
- 5 positions
- Buy = 150 day breakout
- Sell = 50 day low
- Pos size: 20% max of 5 scale ins
- Bull market filter: SPX > MA(200)
- Test universe: S&P 500 1/2008 – 1/2016
- Comms: $0.01 per share
- Execution: Next bar open
- Stop loss: 10%
CAR: 34.88% MDD: -46% CAR/MDD: 0.77 WR: 43.62% Chart: Amibroker