In the last post I began this series looking at results of the updated MultiStage Trading System. One of the ways I like to look at the results is in a calendar format. Below is a picture of the month by month results.
As I have repeated many times, these results are from the past, and there is no guarantee that they will continue. Personally, I have a great deal of confidence in quantitative approaches, especially when care is taken not to fool yourself. But we still have to remember that things can change, and that the past isn't the future.
By the way, I've played with this image and I can't figure out how to make it larger. I recognize it's hard to read. For simplicity, the green represents months with profit, and the red with losses. From 1999 through 2008 there have been 4 losing months ranging from 0.08% to 3.82%. Notable is the fact that the biggest losing month occurred during the tragic terrorist attacks of September 2001 and the subsequent drop in the markets.
I should also point out that this chart shows CAGR... raw returns only. There are many ways to evaluate whether a trading system is working well, and this is only one. It just so happens it is the most visible and most watched, so I provided it here. In upcoming posts I will add some more "results" data, showing many of the ways I analyze the output of backtests, aside from just CAGR.
Good Trading...
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