Put Into Test

The following entries are the content and results of the task that was given to me a few weeks ago.

Previous Entry: The Rules of The Game


Now that I have my system. My weapon of choice. I have to prove to the Game Keeper that my system works. So I went back in time and traded my system according to its rules and recorded my trades to see if it ends up profitable.

Back testing your system is like a warrior practicing with a wooden weapon. The wood won't hurt you as much as a real sword. But it is enough to give you pain when it hit you. Making the lessons stick in.

Wooden weapon can be lethal weapons themselves in the hands of a trained expert.

Back Testing the System

Back testing conditions

• Screen stocks using the system.
• Stocks are chosen randomly.
• Study should start from January 1, 2015 up to present (December 9, 2018).
• Maximum of 3 consecutive plays per stock to avoid biased information towards stocks that has better uptrend DNAs.
• Scanning should start at January 1, 2015.
• First chart/play should be nearest to January 1, 2015.
• Succeeding charts/play should be the ones immediately following the first play chronologically. (No skipping)

Charts

The following pages will show the charts that were scanned and passed the above conditions and will show information such as the following:

• Breakout Conditions (Darvas/Resistance)
• Entry Date & Price
• Entry Conditions (Intraday, EOD or No Entry)
• Exit Date and Price
• Exit Conditions (Trail stop or Cut Loss, Intraday or EOD)
• Total Gain
• Holding Period

Sample Charts:

Results of Back Testing 1.0

Classic Back Testing

The following charts and tables show the results of a classic back testing. I included a total of 110 charts that have passed the system parameters within the study period of 2015-2018 regardless if some trades are overlapping chronologically. Total of 110 stocks screened.

Results are grouped into three and compared to each other:

• Overall
• Stocks in PUA
• Stocks in AOTS

Results are measured by the following:

• Win/Loss Rate
• Total number of trades.
• Total number of winning trades.
• Total number of losing trades.
• Hit Rate Percentage.
• Average and Total Gains.
• Average and Longest Holding Period.

Classic Back Testing Stock List

Classic Back Testing Timeline

Classic Back Testing Results

Results of Back Testing 2.0

Modified Back Testing

The following charts and tables show the results of a modified back testing. Incorporating my ‘Portfolio Allocation’ rule, I should hold no more than 3 stocks at a time. This rule incorporation should simulate a real portfolio allocation thus excluding some stocks that are overlapping chronologically. I also narrowed down the time frame into 3 years (January 1, 2015 to December 31, 2017).

• Total of 67 stocks screened after rearranging the trades by portfolio slots and date.
• Should hold no more than 3 stocks at a time (33% portfolio allocation rule)
• Slots A, B and C.
• Entry and exit dates of stocks for each portfolio slot should have a minimum 1 day gap.

Results are grouped by year and compared to each other:

• Overall
• 2015
• 2016
• 2017

Results are measured by the following:

• Win/Loss Rate
• Total number of trades.
• Total number of winning trades.
• Total number of losing trades.
• Hit Rate Percentage.
• Average and Total Gains.

Modified Back Testing Stock List

Modified Back Testing Timeline by Date

Modified Back Testing Timeline by Slots

Modified Back Testing Results

Here's a quick infographic for quicker reading.

Next Entry: El Capitan