As promised in my last post, below are some of the results from backtesting my trading system for leveraged ETFs. One thing to keep in mind is that the lifespan of these is still rather short. Most started trading in 2007 and 2008, so these tests start 1/1/2008 and run through the end of last month (May 2011).
With that caveat in mind, they do encompass 844 trades, which is a respectable sample size.
Average Trade Return: 2.2%
Average Days Held: 3.5
Short Trades account for 66.2% of trades
Sharpe Ration: 3.96
Max Drawdown: 19.88%
Win Rate: 77.0%
Average Exposure: 11.8%
Annualized ROI: 67.7%
Below is also a picture of the equity curve as produced by Amibroker. The drop in early 2009 is the spot where the Max Drawdown (19.88%) occurred.
Next time I will provide a snapshot the monthly results during this time period.
Good Trading…
Will,
ReplyDeleteThe results look pretty good. Did you use a specific position sizing rule (per trade and total open trades)?
Thanks,
dj
dj,
ReplyDeleteGood question, and I should have mentioned it. This is based on 10% position sizes and full margin. Maximum positions is therefore 20. As you can see, with 11% exposure on average, the maximum is rarely achieved. I think it was about 4 times in the 3.5 years.
Good Trading...