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Forum: System: Pairs Trading QID QLD Scalper

New?Last PostPosted By#Subject
4/28/10 (16:18)Financial Scientist2Is this system dead ?
10/29/09 (22:01)Kevin Davey4System is open for Subscriptions again
10/22/09 (12:51)Eu New7Oh, the conundrum
10/21/09 (19:07)Financial Scientist10Funding Request was approved
2/26/09 (18:47)Financial Scientist15Comments from today
1/08/09 (15:05)Atticus .13PTQQS: Reasons to Subscribe
1/02/09 (18:34)Atticus .11Good luck to everyone in 2009
 
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For a long time, I've not allowed subscribers, because I was anticipating closing a multi-million dollar deal with a private equity VC firm. They have not been responding recently so I'm going to open it back up.

Long + Short
Starting Capital $100,000.00
Ending Capital $4,399,524.87
Net Profit $4,299,524.87
Net Profit % 4299.52%
Annualized Gain % 215.17%
Exposure 54.61%

Number of Trades 88
Avg Profit/Loss $48,858.24
Avg Bars Held 284.00%

Winning Trades 66
Winning % 75.00%
Gross Profit $7,116,851.76
Largest Winning Trades $858,041.19
Avg Profit $107,831.09
Avg Bars Held 292.00%
Max Consecutive 11

Losing Trades 22
Losing % 25.00%
Gross Loss ($2,817,326.88)
Largest Losing Trade ($453,686.88)
Avg Loss ($128,060.31)
Avg Bars Held 259.00%
Max Consecutive 2

Max Drawdown ($559,014.00)
Max Drawdown Date 10/1/2009
Max Drawdown % -24.33%
Max Drawdown % Date 11/4/2008

APD 0.7532
APAD 1.6623
Wealth-Lab Score 298.1874
RAR 394.0501
MAR 8.8448
Profit Factor 2.5261
Recovery Factor 7.6913
Sharpe Ratio 2.2443
Sortino Ratio 4.9176
Ulcer Index 6.0821
WL Error Term 7.855
WL Reward Ratio 27.3932
Luck Coefficient 7.9573
Pessimistic Rate of Return 1.8259
Equity Drop Ratio 0.0188
K-Ratio 0.4075
Seykota Lake Ratio 0.0441
Expectancy 0.633
Expectancy Score 16.3583
Max Losers Held 1
Max Winners Held 1


My newest backtest at 188.89% of equity since QID and QLD's inception in June of 2006 is listed. A trades list and portfolio equity curve is available upon request at my e-mail address bwolinsky@trewfinance.com.

Yes, I've made improvements and you can also visit my elite trader thread called BWolinsky Trading.

Thank you for your interest.

Pairs Trading QID QLD Scalper
  
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In response to post by Financial Scientist of 10/29/09 (20:29)

For a long time, I've not allowed subscribers, because I was anticipating closing a multi-million dollar deal with a private equity VC firm. They have not been responding recently so I'm going to open it back up....

See entire

My thinking on this system has always been that if the backtest shows a 40 fold increase. I don't think it would be too far fetched to think that over a longer time period it can triple and then double. It's done that in that order a couple times and you get the results shown in the backtest.

Mainly I think my system became a real bore when I started to take into consideration wash sales around the beginning of the year. This lead to prolonged periods of no trading activity. With some modifications I've been able to adapt wash sales as buying opportunities if we were stopped out, because, chances are, we would still be above or below the thresholds required for a pairs trade to take place.
  
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Subject:System is open for Subscriptions again
Posted by:Jeffrey Friedman  New msg
 
Ignore user's posts for week month forever
When:10/29/09 (22:00) 
 

In response to post by Financial Scientist of 10/29/09 (21:17)

My thinking on this system has always been that if the backtest shows a 40 fold increase. I don't think it would be too far fetched to think that over a longer time period it can triple and then double. It's done that in that order a couple times and you get the results shown in the backtest....

See entire

Beau,

How do you reconcile the superior hypothetical performance in the back test with the inferior actual performance as tracked by C2? (i.e. what has changed that you expect the system will live up to expectations that it has not lived up to for the past three years?)
  
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In response to post by Financial Scientist of 10/29/09 (21:17)

My thinking on this system has always been that if the backtest shows a 40 fold increase. I don't think it would be too far fetched to think that over a longer time period it can triple and then double. It's done that in that order a couple times and you get the results shown in the backtest....

See entire

Beau -

If this is a "new" or significantly modified system, why not start it as a brand new system?

I can understand keeping the same system for slight modifications, but if it is something new and different, it should be just that - new and different.

Good luck to you, of course.

Kevin
  
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