Trendfinder Trading Systems

Four systems went long today and had nice profits.

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

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.

Four systems went long today and exited not far from their entries.

It was a disappointing start to the new year.  Most systems that traded ended with a loss.  Fortunately there is about 250 more trading days this year. 😉

It was a good month for the swing systems but a poor month for the intraday systems.

If you are wondering why the “Year-to-date” and “Past 12 months” columns don’t match, this is because the Year-to-date column is based on real-time trading and the Past 12 months column uses the most current version of each system for the entire 12 months.  Updates were made to the intraday systems in March so the first 3 months of the year have different results.  I am going to now do a study of results comparing updated systems results with results if updates had not been made.  I will post my findings here and any adjustments being made going forward.  The only update made to MeanSwing was to add a fixed dollar trailing stop for better money management.  Since no update to the trading logic was made and a necessary stop was added, MeanSwing won’t be included in this study.

It was a slow holiday week.  Of the systems that traded, half had a gain and half had a loss.

The Jaguars and Lion went long today and exited with losses.

Most intraday systems went long today and exited with small gains or losses.

Two intraday systems traded today (Cougar went long and Lion went short), and each exited with a loss.  MeanSwing II exited short trades in the MidCap 400 (EMD) and Russell 2000 (RL) with profits.

Only two systems had a trade today.  Bobcat I and Lion each went long and exited with a small profit.