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.