System Backtests Now Posted

[nodoodahs]

I track a variety of different trading systems, and post my own trades - before I take them! - as I personally trade my own systems. It's called accountability, and it's called "eating your own cooking."

One thing I've been meaning to do for some time is take the backtest results that I used to determine these systems, and post them for your reading pleasure. Life being what it is, that job stayed on the list but below the line; something I wanted to do but always had something else on the list above it. Well, no longer.

All the backtests are now posted. The Timing program test was posted a while back, but this week I've posted the other three.

Timing explanation and backtest
http://billrempel.com/systems/timing/
Current posts and results for the Timing model portfolio
http://billrempel.com/category/systems/systems-timing/

Fundamental explanation and backtest
http://billrempel.com/systems/fundamental/
Current posts and results for the Fundamental model portfolio
http://billrempel.com/category/systems/systems-fundamental/

Rotational explanation and backtest
http://billrempel.com/systems/rotational/
Current posts and results for the Rotational model portfolio
http://billrempel.com/category/systems/systems-rotational/

Aggressive explanation and backtest
http://billrempel.com/systems/aggressive/
Current posts and results for the Aggressive model portfolio
http://billrempel.com/category/systems/systems-aggressive/
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I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[nodoodahs]

The Timing system - which incidentally was updated last weekend - is exactly that type of asymmetrical payoff approach. It's designed to limit downside and doesn't do a great job of providing maximal long-term gains. It's drawdown has been minimal and it was only down 7% for YTD at the weekend, it's in 50% cash and 25% Ts. The "problem" with Timing is not making enough hay while the sun is shining. I'm working on that.

To me the most informative thing about this market is not so much that every system is in drawdown, but that every class of asset I'm tracking in Rotational is in drawdown. It's hard as heck to find positive momentum anywhere ... and THAT'S unusual.
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I haven’t seen a beatin’ like that since somebody stuck a banana in my pants and turned a monkey loose.

[texfly101]

Bill,
I have been noticeably silent as I just wanted to take some time and see what thoughts might form. But I have followed your systems quite closely and am really appreciative that you also send a pdf file when you update. The fact that you have several different systems that are focused on very different algorithms, to me at least, gives a very broad based ability to view what is happening as an overall approach. Its not all the eggs in one basket type of view, it shows what different algorithms can bring as results. Very educational and informative.
One thing that I have been watching closely is that every system has been undergoing a drawdown that takes discipline to stick with the system. But every adviser says as you state that a disciplined system approach is necessary. I agree. Usually, we are thinking about using systems to maximize our gains. But what about using a systems approach to minimize the drawdowns? To me, the fact that you are also charting drawdowns is so very informative in this down market. Unless one is sticking to cash only, drawdowns are necessary and being in a system is what will enable being able to take advantage of any future gains while minimizing drawdowns.
How about an article on managing for drawdowns?
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dj