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I was testing the 20% flipper, this strategy fascinates me mainly its past performance. There is one video on youtube by Nick for this strategy tested on S&P1500 and with all out in case the Index Filter is OFF.
so i set the same settings and ran backtest till last Friday and the results are a bit weird.
for some reason this strategy had 50% drawdown in 2015 and then almost 50% up in 2016 it only shows how powerful it is.The question is 2015 was a bit strange year but there was not huge bear market so still i do not understand why it made all of this DD, and most probably if i was trading it i would have thought that it is broken since it did not have such drawdown in backtesting before and i would have missed the huge run this year
here are some snapshots to make it clear what i am talking about
So with the intention to improve the performance i tried to add one thing that Nick recently was talking about is adding additional filter based on Equity curve.
So i ran one backtest took the results and added MA of 20 periods for the equity curve and if the equity will dip bellow the MA No orders will be placed in the market only on paper to monitor the equity curve and when the Equity crosses above the MA then the new orders will be placed.
In the image drawdowns look better and i believe the overall system performance will be better.
I am not sure how to add this condition to Amibroker code since Amibroker runs backtesting one symbol at a time then merges all the trades together at the end to generate the equity curve.
I made mistake in my previous calculations
Now i made the correct calculations by checking the periods when the system will not be trading and eliminating the entries that fall in this durationthis is the new results
Nick Radge wrote:My Growth Portfolio doesn’t like that equity curve filter!
I modified the excel a bit last night so it is possible to add the duration of the moving average
I will attach it later
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