This next look at the MultiStage Trading System is to get a feel for the equity curve over a longer time frame. Specifically, I've broken down the returns into a quarterly view, which I think is quite useful.
As discussed in my last post, don't get too hung up on the numbers. Yes - they are good (that's why I trade the system), but they probably won't happen quite like this. Most useful to me is the color. Notice that in 10 years tested here there has never been a losing quarter. Incidentally, this is also true if I extend the test to the current day.As explained in the last post, this helps me know what success looks like, so I can monitor for departures from this pattern. If I suddenly have a losing quarter you better believe I am going to be looking VERY closely at the system and implementation.
The second thing I look at is the trend. Are the numbers consistent, or are they suddenly trending smaller or larger? If I was looking at this toward the end of 2005 I might raise an eyebrow and be cautious for a while. But you can see that after that year - and particularly around mid-2007 - mean reversion systems started working well again. Apparently they just needed a little break.
In the next post I will look at another view of the results, analyzing drawdowns.
Good Trading...
The second thing I look at is the trend. Are the numbers consistent, or are they suddenly trending smaller or larger? If I was looking at this toward the end of 2005 I might raise an eyebrow and be cautious for a while. But you can see that after that year - and particularly around mid-2007 - mean reversion systems started working well again. Apparently they just needed a little break.
In the next post I will look at another view of the results, analyzing drawdowns.
Good Trading...
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