MultiStage System Results - Part One

I've spent most of the past several posts talking about either System Trading or Covestor.com. I thought it might be a good opportunity to specifically look at the system I am using to manage my current Covestor model, called MultiStage v6. The system is extremely mechanical, and based on many of the system principles I've written about. Below are some of the statistics that might be meaningful.

Win Ratio:	81.23%
Average Gain per Trade:	3.47%
Average Days Held:	2.97
Average Winning Trade:	6.12%
Average Losing Trade:	-8.01%
Max Consecutive Winners:	64
Max Consecutive Losers:	8
Average Exposure:	15.64%
Number of Trades:	2430
Sharpe Ratio:	5.08

Some of this data should jump out at you as being particularly interesting. I mentioned in a prior post that I really can't stomach large draw-downs. As a result, I've designed a very high probability system (80%+ winners), with a rather high Sharpe ratio. The trade-off is that I'm very selective. Overall exposure is only 15.64%.

One of the continual challenges I have is figuring out ways to put more of that capital to work without big changes in my risk/reward profile. This system is continually being tweaked to improve that picture, but it all stems from this basic system. I will post some more results data later.

One final note on this... All system traders wonder when their approach will stop working. That could happen. What you are seeing here is the results of backtesting 11 years of data. I do know that it's still working, as I have been trading it "live" for more than a year with spectacular results. Just know, that anything can happen.

Good Trading...