Trendfinder Trading Systems

One system traded today.  Bobcat I went long and exited with a profit.

8 systems went short today and exited close to their entry prices.

Two systems traded today.  The Cougars went short during the mid-day move down and exited with losses.

I have done extensive testing with regards to the filtering mechanism used for these systems.  This testing included looking at multiple stock indices and index futures going back to as far as 1983, and I removed 2008 trades since that was an outlier year.  Based on this testing, I have altered part of the filtering criteria to be what I believe is better in tune with stock market behavior (at least that is what historical testing shows).  These updated systems will go into effect starting Monday (3/21/11).

I am showing results from 1/1/04 to 3/18/11 to give you more data than just the past 5 years (liquidity was low before mid-2003 so I started with 1/1/04).  The “Old” reports include using previous updates for the entire backtest period and the “Updated” reports use the current update for the entire backtest period to give you the best comparison of this update (to see comparison results of previous updates, look at older posts in this blog under “Articles / Announcements”).

Hypothetical performance reports are shown below.  They include $50 roundtrip for commission and slippage.  They are all based on a $15,000 account (which is different than the amount I have used in the past for many of the systems).  Past performance is not necessarily indicative of future results (see disclaimers).  Reports must be viewed with Internet Explorer.

Bobcat I (Old)         Bobcat I (Updated)

Bobcat II (Old)         Bobcat II (Updated)

Cougar (Old)         Cougar (Updated)

Cougar Alt (Old)         Cougar Alt (Updated)

Jaguar (Old)         Jaguar (Updated)

Jaguar Alt (Old)         Jaguar Alt (Updated)

Leopard (Old)         Leopard (Updated)

Leopard Alt (Old)         Leopard Alt (Updated)

Lion (Old)         Lion (Updated)

Lion II (Old)         Lion II (Updated)

Lion II Alt (Old)         Lion II Alt (Updated)

Panther (Old)         Panther (Updated)

Tiger (Old)         Tiger (Updated)

It was a tough week for these systems.  Updated versions of these systems start Monday – see next blog post.

It was a losing day for every system that traded.  Many systems were whipsawed in today’s narrow choppy range.

In case you are wondering, yes today’s losses would have been avoided with the new filtering I am implementing.  It will be ready and will start on Monday.  I will do a blog post later this afternoon showing the historical performance of the updated systems.

Most systems made profits on the short side today.  Lion and Lion II just barely triggered longs that ended in a loss (Lion reversed short and made up most of the loss).

It was a very emotional/event driven day.  Every system that traded went short and later exited after the sharp reversal with losses.  The Jaguars and Lion then went long and got whipsawed.

I have been doing extensive research and testing into the filtering mechanism these strategies use.  I have found a modified method that improves results and would have kept us out of all trades today.  I am in the process of revising the strategies code right now and sure wish I had finished it before today.  I will have it complete this week and provide a blog post comparing results.

There were no trades today due to it being an FOMC announcement day.

The Leopards went short today and had losses.

Tomorrow is an FOMC announcement day, so there will be no trading.