MultiStage (v7) System Results - Part One

A while back I posted an update to the MultiStage Trading System, which was really a new generation of the system I've been trading for some time now... version 7. Since that time I've intended to go back and update many of the system results published on this blog, using the new iteration of the system. This series of posts will provide that update.

This is also a good opportunity to refresh those interested in the model I manage on Covestor, since this is the system I use for that. The system is extremely mechanical, and based on many of the trading system principles I've written about. While this series will look much more in depth at the results and characteristics of the system, below are some of the statistics that serve as an overview.

• Win Ratio: 78.95%
• Average Gain per Trade: 3.34%
• Average Days Held: 2.93
• Average Winning Trade: 6.39%
• Average Losing Trade: 8.09%
• Max Consecutive Winners: 39
• Max Consecutive Losers: 7
• Average Exposure: 25.02%
• Number of Trades: 4556
• Sharpe Ratio: 4.75

Some of this data should jump out at you as being particularly interesting. I've mentioned many times that I really can't stomach large draw-downs. As a result, I've designed a very high probability system (nearly 80% winners), with a rather high Sharpe ratio. The trade-off is that I'm very selective. Overall exposure is only 25%.

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 (one of the significant changes with version 7). This system is continually being tweaked to improve that picture, but it all stems from the same basic system. More results data to come in this series of posts.

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 nearly two years with spectacular results. Just know, that anything can happen.

Good Trading...