Navigator Trading System
- This topic has 151 replies, 37 voices, and was last updated 6 years ago by
.
-
As always Reiner, thanks very much for sharing this and your hard work. Looks quite promising.
I noticed that there are a few big outliers in the results with respect to the length of time in the position. I was wondering whether it may make sense to limit that time and see what the results are ? 100 bars perhaps or even lower given that the average duration is around 23-25 bars. For eg. having a look at the top 5 longest duration positions, cutting them off would possibly reduce the overall profit by a small amount but they also experienced fairly large drawdowns in those positions as well so it depends at what point in the cycle they were cut off. The reason for limiting the time in the market is is that after taking into account overnight financing fees which we all have to pay, those top 5 would have perhaps resulted in losses rather than profits due to their exceptionally long duration.
1 user thanked author for this post.
I have tested your suggestion. A maximum candle monitoring function reduce the time from 42,4% to 32,8%. Gain and number profitable trades are a little worse but max drawdown and highest loss are significant better. Equity curve is smoother as well.
I have adjusted all parameters with the aim to have the lowest drawdown. The question is what is the better approach?
Best, Reiner
Reiner – Thanks for the adjusted v2 code. I have tested it over a longer period (04/06 – today) and results are shown below. There is not much difference in terms of draw (21% for v1 vs 24.5% for v2), but the max loss & consecutive losses are better for v2. And of course, average position time is reduced as expected. In the early years v1 performs better but in the last few years in relative % terms it appears they are both similar in returns.
I personally would start with v2 as over the last 5 yrs (with the exception of a couple of quarters in 2013) it performs more consistently – as shown in the Quarterly results comparison below. Especially as your results above confirm that in later years (ie more recent times incorporating current market conditions) the draw of v2 is also much better. I would take lesser volatility of earnings rather than increased profits at this stage. In the future we can always tweak the parameters if there are healthy profits already banked that give us more room for increased risk.
The high draw is still something that perhaps needs to be worked on but at least some other issues have been reduced in terms of risk which I think is a great start.
1 user thanked author for this post.
Find exclusive trading pro-tools on 
