Back Testing Results
To have confidence in the system you should always run the profitability reports, if acceptable then the simulation analysis will allow you to determine how your trade management should be established

Details of back test - using ASX 200 unfiltered list

Comments - profitability uses all trades available whereas simulation uses trading capital limitations

    
Test 1      
System strategies (2010)  issued strategies with minor modifications for Australia to recognise trade timing (Trending, Reversal and Breakout strategies)
  • Longs only
  • Enter next bar
  • Exit Market reversals based on default reversing signals and next pivot points
 Profitability - Daily trades
  • No of Trades= 1456 trades
  • No profitable = 59%
  • Profit per trade =1.7%
  • Average bars = 11bars

Simulation - daily trades

  • ROI 44%
  • 208 trades and profitability 63%
  • Advisor rating 90%
    
Back Test assumptions BT/FT 250/250, monthly boundaries, no dynamic optimisation, no slippage or commissions, voting method = majority of Longs    
Simulation assumptions Advisor rating 90%, Min Trader amount $5000, Cost per trade $15    
Test 2      
Modified system strategies (2011)
  • Above plus
  • plus trailing profit stop - as supplied
  • plus fixed loss stop - as supplied
 Profitability - daily trades
  • No of trades =1306
  • no profitable  =60%
  • Profit per trade = 2.4%
  • Average bars = 11 bars

Simulation - daily

  • ROI 46% 
  • no of Trades = 211
  • No profitable = 57%
  • Advisor rating 90%
 Profitability - Weekly Trades
  • No of trades =274
  • no profitable  =57%
  • Profit per trade = 4.3%
  • Average bars = 11 bars

Simulation - weekly

  • ROI= 19%
  • No of trades =30
  • No profitable  =60%
  • Advisor rating 90%

 

  
Test 3      
Modified system strategies (2011a)
  • Above plus
  • Fixed loss stop set at 2
  • plus additional filters below
 Profitability - Daily Trades
  • No of trades = 467
  • no profitable  = 57%
  • Profit per trade = 2%
  • Average bars = 9

Simulation - daily

  • ROI 52% 
  • no of Trades = 155
  • No profitable = 55%
  • Advisor rating 50%

 

 Profitability - Weekly Trades
  • No of trades = 89
  • no profitable  = 57%
  • Profit per trade = 7%
  • Average bars = 9

Simulation - weekly

  • ROI= 54%
  • No of trades = 28
  • No profitable  =  64%
  • Advisor Rating 50%

 

  
Trending Filter Closing price > SMA (20) and  TRII (32,16) indicator rising  and > 20    
Gap Filter less than 1 ATR on 5 times    
Test 4      
Modified system strategies (2011b)
  • Longs only
  • 4 exits
  • system reversal and next pivot exit
  • Trailing Profit - optimise all settings
  • Fixed loss stops - optimise all settings
  • 500 back test
  • 250 forward test
  • dynamic optimisation on

 

 Profitability - Daily Trades
  • No of trades = 1362
  • no profitable  = 59%
  • Profit per trade = 2.3%
  • Average bars = 11

Simulation - daily

  • ROI 42% 
  • no of Trades = 207
  • No profitable = 56%
  • Advisor rating  none
  • 10% equity
  • $5000 min

 

 Profitability - Weekly Trades
  • No of trades = 126
  • no profitable  = 60%
  • Profit per trade = 8%
  • Average bars = 12

 

  
Test 5      
All strategies
  • Longs and shorts
  • 500 back test
  • 250 forward test
  • dynamic optimisation on
  • all settings as provided

 

      
Test 6      
NSP41