Mea Culpa – comparing results with/without updates
I made an update to every system effective March 21, 2011. The table below shows the results for each system for trades from 3/21/11 to 12/31/11. As usual, $50 per roundtrip trade is included for commissions and slippage.
COMPARISON RESULTS FROM 3/21/11-12/31/11
| System | Current/Updated | Without Update | Difference |
| Bobcat I | -1660 | -1370 | -290 |
| Bobcat II | 1170 | 1460 | -290 |
| Cougar | 6620 | 7090 | -470 |
| Cougar Alt | 2490 | 5440 | -2950 |
| Jaguar | -1530 | 3440 | -4970 |
| Jaguar Alt | -850 | 4050 | -4900 |
| Leopard | 3970 | 9950 | -5980 |
| Leopard Alt | 3630 | 5830 | -2200 |
| Lion | 7150 | 11600 | -4450 |
| Lion II | 6710 | 13990 | -7280 |
| Lion II Alt | 6220 | 13040 | -6820 |
| Tiger | 8510 | 12510 | -4000 |
| Total Net Profit | $42,430 | $87,030 | -$44,600 |
| Total Max Drawdown | -$31,500 | -$29,580 | $1,920 |
As you can see above, the updates did not help the results at all! Every system would have had better results if the updates had not been applied. In total, the profit since 3/21/11 was half of what the profit would have been without the updates. The total max drawdown was about the same, with a slight increase due to the updates.
Wow, what a mea culpa moment! Granted, 9+ months isn’t a real long time, but looking at these numbers it appears I overfit these systems with the 3/21 update. Here are lessons learned again – 1) simpler is better and 2) don’t panic during a drawdown. I am going to research this deeper and probably revert these systems back to what they were before the 3/21 update.