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.
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.
Hi, Enjoying reading thru your blog, I have recently purchased Amibroker and going thru the learning phase, just wondered what type of volatility stops you use in your systems? Do you vary them within each system?
ReplyDeleteRgds Ray
Ray,
ReplyDeleteThe stops are based on ATR, adjusted according to the price changes of the stock in question. Yes, Ihave a couple of different stops.