FuturesExaminer.com Newsletter for 2006-Apr
Our Mission:
to promote understanding of Futures
Trading Systems by providing (1) Unbiased descriptive material,
(2) Results net of all costs, and (3) INTERACTIVE tools to compare
systems and to design portfolios.
And it's free!
Results for 2006-Mar are now available on
Futures Examiner.
March summary
During March the S&P 500 index (miniSP) rose
about 1.2%, and it was a better month for the systems that we track,
with four systems making a profit (compared with only two last
month). In the one-month Top Gainers table (actual results,
including commissions and cost of system), the
average
one-month profit was 7% of conservative account size (1.5% last
month). Bear in mind that these gains are for the TOP-performing
systems that we track.
Turbo Trader took the top spot, with a
21% gain, followed by
Delphi, Tzar, and
Impetus.
Topic of the month: New Versions, and comparison with previous
version From time to time, a developer will release a new
version of a system. Presumably the new version is "better" than the
old one, but it may be difficult to understand the differences by
looking at the information provided, which typically consists of two
separate equity curves and two TradeStation reports. Futures Examiner
provides several capabilities to facilitate such a comparison.
A new version of Turbo Trader has just been
released, called Turbo Trader Professional. We track both actuals and
hypotheticals for this system, and to help our users compare the new
version with the old,
we provide hypotheticals for both
versions. The developer says this is a minor upgrade, and most
logic is unchanged. The stops have been improved, and exit time has
been shifted a few minutes. There were 3 trading modules in the old
version and one, which entered only in the afternoon, was removed.
The following (simplified) Summary Results
display shows the Turbo Trader components. Two multicharts are also
presented, on 4-year and 1-year scales.
| Summary Results display
Help for this display
FuturesExaminer.com |
Component Name:
System-Contract-Data |
Account size $K: (Vendor) Conservative |
Months of data /gap |
End-of-month Drawdown %: Max > Current |
Average trades /year |
Long-term, One-year data: |
| Average $Profit-or-Loss /trade |
Profit or Loss: average %/year |
Figure of Merit |
| TurboTrd&Pro-miniRL-Actual |
(10) 7 |
7 |
17>0 |
312 |
, $16 |
, 40 |
- |
|
| TurboTrd-miniRL-Hypoth |
(10) 7 |
50 |
14>0 |
349 |
$53, $34 |
247, 157 |
426, 246 |
|
| TurboTrdPro-miniRL-Hypoth |
(10) 7 |
50 |
30>0 |
297 |
$66, $62 |
262, 246 |
445, 411 |
Comparing Profit/Loss data:
The difference between the old and new
versions can perhaps best be seen by looking at the hypothetical
profit /loss numbers in the Summary Results display. You can look at
either the profit/loss (PL) per trade, or the annual percentage
profit/loss, which tell a similar story. Looking at the
long-term
average %/year, the new version has a slightly higher profit: 262%
vs. 247%. Looking at the one-year numbers, the value for the original
version is only about half the long-term number, which means that
the equity curve was levelling off, whereas for the new version
the numbers are almost the same. This levelling-off could be the
reason that the developer released a new version, and if so the new
version seems to have "fixed" the problem.
The same profit/loss information can be seen by
looking at the charts below. The
4-year multichart shows the
longer-term equity curves, where you can readily see, for the two
hypotheticals, that the overall slopes are quite similar. (There is no
data for the actuals until the last 7 months, so that curve may not
be helpful.) For the hypotheticals, if you look carefully, you can see
that the slopes in the last 12 months are significantly different,
with the black curve (the new version) having the steeper slope. The
differences over the last 12 months are more evident, however, in the
1-year chart.
The 1-year chart better allows
actuals and
hypotheticals to be compared. Again, since there are only 7 months
of actuals, the initial part of the curve is flat. Recall that the new
version was released in the middle of 2006-Mar, so except for the most
recent month, the actuals should be compared with the hypotheticals
for the original version. These two curves compare fairly well on a
month-by-month basis, with the actuals gaining about 40% over their 7
months, and the hypothetical gaining about 50% over the same period.
Turbo Trader components on a 4-year multichart:
Drawdown:
You may have noticed in the Summary Results display that the maximum
end-of-
month drawdown for the original version (14% or $1400)
is only about half that for the new Pro version (30% or $3000). This
metric, while true, is
greatly misleading, because both
versions have
almost exactly the same end-of-trade
drawdowns (about $2600 according to the TradeStation reports on
the vendor's website, which uses lower costs than we use). But why are
the end-of-month drawdowns so different? The reason has to do with
timing. Recall that drawdown is the difference between an equity high
and the subsequent equity low. On Futures Examiner, we look at the
equity only at month-end, whereas TradeStation backtesting looks at
equity on an end-of-trade basis. The end-of-trade high can be
significantly higher than the end-of-month high, and the end-of-trade
low can be significantly lower than the end-of-month low. Therefore,
the end-of-month drawdowns that we report will always be less than (or
possibly equal to) the end-of-trade values reported on a TradeStation
report.
Turbo Trader components on a 1-year multichart:
Other comparisons and observations:
On the Summary Results display, you can compare the average number of
trades /year, and the average profit-or-loss per trade. You can also
look at the
Figure of Merit
values, which are significantly higher than the annual profit-or-loss
percentages, which indicates better-than-average consistency and/or
lower-than-average drawdowns.
We hope that you found this newsletter interesting and
informative. If you liked it, please forward it to a friend!
And please send us your
comments,
along with suggestions for any other topics that you would
like us to address!
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