Constellation

This is my third weekly system, and last that I will describe.

Constellation was developed using Amibroker software in about 2004 . I would descibe it as a medium to long term trend following system. The basic underlying components of the system are -
1. Trades long only ASX stocks based on weekly charts.

2.Identifies bullish market conditions before entering any trade

3. The entry has three conditions - based on price , volume and volatility The conditions are surprisingly simple and not curve fitted.

4. The exit has three conditions - trailing volatility stop, momentum stop and market based exit.

I have attached some metrics of the system using Amiboker backtesting over the XAO index constituents for 2000-2008. Highlights are a win:loss ratio of over 4 and a winning % of > 50%.
This system has the same stop as Supernova. No allowance has been made for slippage. For very short term systems this can destroy results, but for this style of system it is not as critical.

Why Trade Part II ?

I was reading the Australian Financial Review last weekend and came across an article on the return of Bonds v Shares. What a shocker - turns the conventional wisdom almost totally on it's head of risk v return. There has been no payoff for taking excess risk in Shares if you are a managed fund or index investor.
I don't like the lack of control in these forms of investment and the above graph reinforces my beliefs.

Meteor

Compound Annual Return and Drawdown Monte Carlo Backtest Results

Returns per year vs Index(in brackets)

Trading system Statistic (backtest)

Meteor was developed using Amibroker software in about 2005 . I would descibe it as a medium to long term trend following system. The basic underlying components of the system are -

1. Trades long only ASX stocks based on weekly charts
2. Identifies bullish market conditions before entering any trade
3. The entry has three conditions - based on price , volume and volatility The conditions are surprisingly simple and not curve fitted.
4. The exit has two conditions - trailing volatility stop and momentum stop.
I have attached some metrics of the system using Amiboker backtesting over the XAO index constituents for 2000-2008. Highlights are a win:loss ratio of over 4 and a winning % of > 50%.

This system has a tighter stop than Supernova but will stay with the trade after it entered even if the market turns down.
No allowance has been made for slippage. For very short term systems this can destroy results, but for this style of system it is not as critical.

Chart Title setup

Amibroker is extremely powerful charting and back-testing software.

I have set up the Chart Title display to help in position sizing. I simply need to right click on the chart and select the parameters window to change the trade size.

Supernova

Compound Annual Return and Drawdown Monte Carlo Results (Backtest)

Returns per year vs Index (in brackets)

Trading System statistics (Backtest)

Supernova was developed using Amibroker software in about 2005. I would descibe it as a medium term trend following system. The basic underlying components of the systems are -

1. Trades long only ASX stocks based on weekly charts

2. Identifies bullish market conditions before entering any trade

3. The entry has three conditions - based on price , volume and volatility. The conditions are surprisngly simple and not curve fitted.

4. The exit has three conditions - trailing volatility stop, momentum stop and market condition stop.

I have attached some metrics of the system using Amiboker backtesting over the XAO index constituents for 2000-2008. Highlights are a win:loss ratio of over 4 and a winning % of > 50%.

It should be noted that the Aussie market has been through a once in a generation bull market and so returns during 2004-2007 will flatter most systems. A big strength of this system is that it will aggressively buy in bull markets or bear marker rallies , exit the market quickly if needed and sit idle in bear markets like 2007 -2009 and live to fight another day.

No allowance has been made for slippage. For very short term systems this can destroy results, but for this style of system it is not as critical.