Demi performance review, June 2011

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Written by Forex Automaton   
Sunday, 05 June 2011 15:24

This post begins monthly peformance reviews for the Demi line of EUR/USD daily time frame trading systems. There are four systems in total, differing only according to the choice of the closing hour of the "day": 3, 5, 9 and 11 am Eastern time. The systems went live on August 25, 2010, after extensive back-testing. Since then, the parameters found in the course of the back-testing have been frozen. Even though the system output (see Demi section of the site) is available only to the registered members, the performance reviews will be available publicly.

Demi 3am, equity vs date

Fig.1.1 Evolution of Demi's simulated equity with time for the system with daily updates at 3am Eastern time (8am London). The moment of going live is marked by a vertical line. Time axis is labeled in MM-YY format.

Demi 5am, equity vs date1.2 Demi 9am, equity vs date1.3 Demi 11am, equity vs date1.4

Fig.1 Evolution of Demi's simulated equity with time. The moment of going live is marked by a vertical line. Time axis is labeled in MM-YY format. 1.1: 3am, 1.2: 5am, 1.3: 9am, 1.4: 11am strategy. At the moment of going live the first two strategies were believed to be working ones and the other two mere academic curiosities. The only difference between the strategies is the definition of the 24-hour period to analyze. All strategies model trading costs realistic for a retail trader.

The genesis and philosophy of the Demi systems are described in detail in the 2011 Annual Research Report.

Trading costs are simulated as bid-ask spread, with the spread being equal to a fixed fraction of price (see link for details about the simulation of the spread).

Table 3. Demi's historical performance as of March 25, 2011, seven months after going live.

ID Capital (was 1 at the inception)Profit/loss in quote units, sum total since inception Profit/loss in quote units, average per trade 90-day return, per annum, % 180-day return, per annum, % 360-day return, per annum, % # trades # trades since going live
3 1.56 0.134 4.59 × 10-4 13.9 2.37 17.1 293 44
5 1.34 0.127 3.99 × 10-4 -8.75 -11.1 -9.65 319 56
9 1.03 5.05 × 10-3 1.55 × 10-5 -3.33 -12.2 -6.47 325 50
11 1.14 -0.0184 -6.59 × 10-5 36.1 32.5 16.0 279 46

As the data shows, the difference in the definition of the 24-hour-long day, everything else being equal, creates dramatically different patterns of capital growth. Before the system was launched, the 3am and 5am strategies looked potentially workable, while the 9am and 11am looked like artificial curiosities worth a closer look.

At the moment, the 3am system, the back-testing leader, is still the best overall. The 5am system is in a draw-down. The 9am "curiosity" system seems to be going through its cyclic pattern. The 11am "curiosity" system does not look like a curiosity anymore and has been the most profitable of the four in the past 90, 180, and 360 days, a stable bread-winner.

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Last Updated ( Saturday, 25 August 2012 14:18 )