Saturday, 14 April 2012

New S&P 500 Signals Beat Market by 1,500%, Crude Signals by 12,000%

The results are in. My new trading setup for gold beat the market by 570%, while being in cash 40% of the time. My new copper setup beat the market by nearly 3,000%.

And my crude oil signals beat it by over 12,000%.

Signals Based on Free Weekly Data

Those are some of the backtesting results I've just posted for my four new trading setups based on the amazing Commitments of Traders reports issued for free each Friday afternoon by the U.S. Commodity Futures Trading Commission. See my backtesting results table (scroll down) for details.

You'll also see the parameter values for one of the new setups - S&P 500 (which, incidentally, beat the market by more than 1,500%). I'll post a sample spreadsheet for that setup soon on my DIY page.

Robustness, Not Just Profits

But I didn't just focus on profits when I was looking for new setups to trade using the COT data. In fact, that only had a small impact on which setups I chose. Far more important were measures of robustness (how reliable the signals would be in actual real-life trading), such as my very own invention - the walk-around test. See my FAQs page for more details on that.

To recap, I've been updating my setups based on the COT data because my existing setups were based on data up to Dec. 2007 - meaning it didn't include the crazy gyrations of the Great Recession.

The setups were in need of updating with the more recent COT and market data - not least because a properly backtested trading system is thought to provide robust signals for perhaps a quarter of the original backtesting period (in this case, about 13 years).

Improved Results Table

Apart from updated data for my new setups, you'll also notice I've removed from my table the backtesting results for my three existing setups that I haven't yet updated using data between 2007 and 2011.

I've made a few small changes to improve that table and give more useful results - so rather than updating those results for the old setups that I'm planning on replacing soon anyway, I've just taken off that data.


Thanks for your patience during my updating process. I'm hopeful my improved backtesting procedures and updated setups will adequately capture the power that appears to exist in the COT data - waiting to be unleashed!


Dave said...

I think I must be very unlucky - whenever I visit your DIY page, I always find "link disabled; setup being updated". I guess you're constantly tweaking the setups, but perhaps you could just leave an old one on there in the meantime ?

Alex Roslin said...

Hi Dave,

Just haven't had a chance to post it yet. I'll do it as soon as I'm able to. Thanks for inquiring.

Best regards,