Backtest Results

One question I get often is: how would the current strategy do with some catastrophic event, such as what occurred on may 6, 2010 ?

[Read: http://www.cftc.gov/ucm/groups/public/@otherif/documents/ifdocs/opa-jointreport-sec-051810.pdf
Preliminary Findings Regarding the Market Events of May 6, 2010
Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues]

Well, here are the trades that would be performed with the current strategy settings (performance would improve in this case with a larger trade size):

Trades just before and after May 6

(this is the report generated automatically by G-Bot and provides a graphical representation of all trades).

Here is a screenshot of G-Bot showing the large price drop on YM:

Clearly we see a large drawdown, but the strategy, as usual, is capable to turn it eventually into profits.

You can run yourself the backtest using G-BOT and the following tick data files :

All you need to do is:

- Place the tick folders in a folder called "TickRepository" on your desktop
- Specify in the backtest symbol file the following instrument name:

ES FUT 201006 CME_USD 50
YM FUT 201006 CBL_USD 5
NQ FUT 201006 CME_USD 20

and click on "backtest". You will see an animation of the folio trading with all the trades.

This is a summary of results:

=============== STRATEGY INDICATORS ===============

RATIO AvgProfit/MDD:          7.85 %
RATIO AvgProfit/|Min PNL|:    4.41 %
RATIO AvgProfit/MaxAbsPos:    93.86
Max Abs Position ever:        14
MinP&L ever:                  -29,818.30
Max (MDD) drawdown ever:      16,736.50
Avg P&L:                      1,313.98
Avg Realized:                 1,204.77
RATIO Avg P&L / Avg Realized: 1.09
Order daily frequency:        39.38

RATIO_ProfitAndLoss_Avg_DrawDown_MaxEverSeen_Global_Max:              3.56 %
RATIO_ProfitAndLoss_Avg_DrawDown_MaxEverSeen_SumOverInstruments_Avg:  14.86 %

RATIO_Realized_Avg_MaxAbsPosition_Max:         86.05
RATIO_Realized_Avg_MinUnrealized_Min:          3.29 %

RATIO_ProfitAndLoss_Avg_TotalCommissions_Avg:  9.10

=========== TRADING STATISTICS OVER DAYS ===========

-- Days --

IsOvernightSimulation:          True
NumberOfDaysProcessed:          13
NumberTradingDaysPositive:      12
NumberTradingDaysNegative:      1
PercTradingDaysPositive:        92.31 % ++++++++++++++++++++++++++++++++++++++++++++++
PercTradingDaysNegative:        7.69  % ----

-- Last P&L --

ProfitAndLoss_Final:            17,081.70

ProfitAndLoss_Max:              17,081.70

-- Realized --

Realized_Final:                 15,662.00
Realized_Min:          430.40
Realized_Max:          15,662.00

-- P&L --

MinProfitAndLoss_Avg:  -5,315.36
MinProfitAndLoss_Min:  -29,818.30

-- Max Drawdown MDD  --

DrawDown_MaxEverSeen_Global_Max:              36,883.90
DrawDown_MaxEverSeen_SumOverInstruments_Avg:  8,839.85
DrawDown_MaxEverSeen_MinAmongInstruments_Min: 150.00
DrawDown_MaxEverSeen_MaxAmongInstruments_Max: 16,736.50

-- Unrealized --

MinUnrealized_Min:lized_Min:    -36,584.70

-- Position control (margins) --

MinPosition_Min:ition_Min:     -4

MaxPosition_Max:     14

MaxAbsPosition_Min:ition_Min:  2

MaxAbsPosition_Max:&nbs14

 -- Trade rate --

 TotalCommissions_Avg:  144.37

FilledOrders_DayAvg:rs_DayAvg:   39.38

 Day                 Day#   Last P&L                 Realized                 Min P&L                  MDD                     

Wed 21 Apr 20101 Apr 2010     1      513.10                   430.40                   -9.80                    160.00                  

Thu 22 Apr 2010     2      1,352.00                 1,431.20                 -251.30                  939.40                  

Fri 23 Apr 2010     3      -403.00                  1,431.20                 -538.00                  2,640.00                

Mon 26 Apr 2010     4      212.00                   1,431.20                 -1,083.00                3,185.00                

Tue 27 Apr 2010     5      3,424.00                 3,480.70                 -1,083.00                3,185.00                

Wed 28 Apr 2010     6      5,557.90                 5,139.40                 -1,083.00                3,185.00                

Thu 29 Apr 2010     7      3,228.10                 5,664.80                 -1,083.00                3,185.00                

Fri 30 Apr 2010     8      6,550.60                 5,664.80                 -1,083.00                3,185.00                

Mon 03 May 2010     9      4,235.60                 5,664.80                 -1,083.00                3,515.00                

Tue 04 May 2010     10     6,649.50                 6,766.40                 -1,083.00                3,515.00                

Wed 05 May 2010     11     5,727.00                 6,766.40                 -1,083.00                3,515.00                

Thu 06 May 2010     12     9,002.20                 9,233.70                 -29,818.30               36,883.90               

Fri 07 May 2010     13     17,081.70                15,662.00                -29,818.30               36,883.90               

Day                 Instrum             P&L                           Pos                 Range                              %              Last          

Wed 21 Apr 2010   &nbsES FUT 201006 CME_USD 50   [-67.30, 402.90]              [0, 1]              MaxAbs: 1           [1,195.00, 1,209.50] => 14.25      1.19%  252.90        

Wed 21 Apr 20101 Apr 2010   &nbsNQ FUT 201006 CME_USD 20  [MaxDec, MinDec]              [MaxInt, MinInt]    MaxAbs: 0           [2,019.25, 2,039.25] => 19.75      0.98%  0.00          

Wed 21 Apr 20101 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-9.80, 260.20]               [-1, 0]             MaxAbs: 1           [11,017.00, 11,098.00] => 80.00      0.73%  260.20        

Wed 21 Apr 20101 Apr 2010     Overall                   [-9.80, 663.10]0, 663.10]               [-1, 1]             Last:513.10        

Thu 22 Apr 2010   &nbsES FUT 201006 CME_USD 50  [-126.90, 1,151.00]           [-2, 1]             MaxAbs: 2           [1,186.25, 1,207.00] => 20.50      1.73%  976.00        

Thu 22 Apr 20102 Apr 2010   &nbsNQ FUT 201006 CME_USD 20   [-254.80, 260.40]             [-1, 1]             MaxAbs: 1           [2,000.50, 2,045.00] => 44.25      2.21%  0.40          

Thu 22 Apr 20102 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-9.80, 540.60]               [-1, 1]             MaxAbs: 1           [10,964.00, 11,100.00] => 135.00     1.23%  375.60        

Thu 22 Apr 20102 Apr 2010     Overall           [-4, 3]             Last:1,352.00      

Fri 23 Apr 20103 Apr 2010   &nbsES FUT 201006 CME_USD 50   [-174.00, 1,426.00]           [-2, 1]             MaxAbs: 2           [1,197.50, 1,213.75] => 16.00      1.34%  -99.00        

Fri 23 Apr 20103 Apr 2010   &nbsNQ FUT 201006 CME_USD 20   [-324.60, 260.40]             [-1, 1]             MaxAbs: 1           [2,029.25, 2,053.50] => 23.75      1.17%  -294.60       

Fri 23 Apr 20103 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-49.40, 540.60]              [-1, 1]             MaxAbs: 1           [10,991.00, 11,153.00] => 115.00     1.04%  -9.40         

Fri 23 Apr 20103 Apr 2010     Overall                   [-538.00, 2,102.00] 2,102.00]           [-4, 3]             Last:-403.00       

Mon 26 Apr 2010   &nbsES FUT 201006 CME_USD 50  [-474.00, 1,426.00]           [-2, 1]             MaxAbs: 2           [1,207.50, 1,216.75] => 9.00       0.75%  426.00        

Mon 26 Apr 20106 Apr 2010   &nbsNQ FUT 201006 CME_USD 20  [-429.60, 260.40]             [-1, 1]             MaxAbs: 1           [2,043.00, 2,058.75] => 15.50      0.76%  -179.60       

Mon 26 Apr 20106 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-314.40, 540.60]             [-1, 1]             MaxAbs: 1           [11,128.00, 11,206.00] => 77.00      0.69%  -34.40        

Mon 26 Apr 20106 Apr 2010     Overall                  [-1,083.00, 2,102.00] 2,102.00]         [-4, 3]             Last:212.00        

Tue 27 Apr 2010   &nbsES FUT 201006 CME_USD 50  [-474.00, 2,274.10]           [-2, 2]             MaxAbs: 2           [1,177.50, 1,210.00] => 32.25      2.74%  2,131.80      

Tue 27 Apr 20107 Apr 2010   &nbsNQ FUT 201006 CME_USD 20  [-429.60, 525.40]             [-1, 3]             MaxAbs: 3           [1,998.50, 2,050.75] => 52.00      2.60%  496.00        

Tue 27 Apr 20107 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-314.40, 971.20]             [-1, 1]             MaxAbs: 1           [10,921.00, 11,173.00] => 251.00     2.30%  796.20        

Tue 27 Apr 20107 Apr 2010     Overall                  [-1,083.00, 3,741.30] 3,741.30]         [-4, 5]             Last:3,424.00      

Wed 28 Apr 2010   &nbsES FUT 201006 CME_USD 50  [-474.00, 3,932.80]           [-2, 2]             MaxAbs: 2           [1,176.75, 1,192.00] => 15.00      1.27%  3,645.30      

Wed 28 Apr 20108 Apr 2010   &nbsNQ FUT 201006 CME_USD 20  [-429.60, 961.40]             [-1, 3]             MaxAbs: 3           [1,989.50, 2,022.75] => 33.00      1.66%  801.40        

Wed 28 Apr 20108 Apr 2010   &nbsYM FUT 201006 CBL_USD 5  [-314.40, 1,186.20]           [-1, 1]             MaxAbs: 1           [10,915.00, 11,055.00] => 139.00     1.27%  1,111.20      

Wed 28 Apr 20108 Apr 2010     Overall                  [-1,083.00, 5,765.40] 5,765.40]         [-4, 5]             Last:5,557.90      

Thu 29 Apr 2010   &nbsES FUT 201006 CME_USD 50   [-474.00, 3,932.80]           [-2, 2]             MaxAbs: 2           [1,188.00, 1,206.25] => 18.00      1.51%  2,870.30      

Thu 29 Apr 20109 Apr 2010   &nbsNQ FUT 201006 CME_USD 20   [-429.60, 961.40]             [-1, 3]             MaxAbs: 3           [2,004.50, 2,044.00] => 39.00      1.95%  101.40        

Thu 29 Apr 20109 Apr 2010   &nbsYM FUT 201006 CBL_USD 5   [-314.40, 1,346.40]           [-2, 1]             MaxAbs: 2           [10,995.00, 11,150.00] => 154.00     1.40%  256.40        

Thu 29 Apr 20109 Apr 2010     Overall                  [-1,083.00, 5,765.40] 5,765.40]         [-4, 5]             Last:3,228.10      

Fri 30 Apr 2010   &nbsES FUT 201006 CME_USD 50   [-474.00, 4,007.80]           [-2, 2]             MaxAbs: 2           [1,182.75, 1,208.00] => 25.00      2.11%  3,857.80      

Fri 30 Apr 20100 Apr 2010   &nbsNQ FUT 201006 CME_USD 20   [-429.60, 971.40]             [-1, 3]             MaxAbs: 3           [1,998.00, 2,047.00] => 48.75      2.44%  856.40        

Fri 30 Apr 20100 Apr 2010   &nbsYM FUT 201006 CBL_USD 5    [-314.40, 2,086.40]           [-2, 1]             MaxAbs: 2           [10,952.00, 11,199.00] => 246.00     2.25%  1,836.40      

Fri 30 Apr 20100 Apr 2010     Overall                   [-1,083.00, 7,065.60] 7,065.60]         [-4, 5]             Last:6,550.60      

Mon 03 May 2010   &nbsES FUT 201006 CME_USD 50   [-474.00, 4,007.80]           [-2, 2]             MaxAbs: 2           [1,183.75, 1,202.00] => 18.00      1.52%  3,232.80      

Mon 03 May 20103 May 2010   &nbsNQ FUT 201006 CME_USD 20   [-429.60, 971.40]             [-1, 3]             MaxAbs: 3           [1,999.00, 2,038.00] => 38.75      1.94%  406.40        

Mon 03 May 20103 May 2010   &nbsYM FUT 201006 CBL_USD 5    [-314.40, 2,086.40]           [-2, 1]             MaxAbs: 2           [10,959.00, 11,130.00] => 166.00     1.51%  596.40        

Mon 03 May 2010     Overall                   [-1,083.00, 7,065.60]         [-4, 5]             Last:4,235.60      

Tue 04 May 20104 May 2010   &nbsES FUT 201006 CME_USD 50   [-474.00, 4,153.00]           [-2, 2]             MaxAbs: 2           [1,164.25, 1,199.75] => 35.25      3.03%  3,935.70      

Tue 04 May 20104 May 2010   &nbsNQ FUT 201006 CME_USD 20   [-429.60, 1,016.40]           [-1, 3]             MaxAbs: 3           [1,952.25, 2,028.50] => 76.00      3.89%  852.20        

Tue 04 May 20104 May 2010   &nbsYM FUT 201006 CBL_USD 5    [-314.40, 2,086.40]           [-2, 1]             MaxAbs: 2           [10,817.00, 11,115.00] => 296.00     2.74%  1,861.60      

Tue 04 May 20104 May 2010     Overall                   [-1,083.00, 7,065.60] 7,065.60]         [-4, 5]             Last:6,649.50      

Wed 05 May 2010   &nbsES FUT 201006 CME_USD 50   [-474.00, 4,153.00]           [-2, 2]             MaxAbs: 2           [1,154.75, 1,175.00] => 20.00      1.73%  3,523.20      

Wed 05 May 20105 May 2010   &nbsNQ FUT 201006 CME_USD 20   [-429.60, 1,016.40]           [-1, 3]             MaxAbs: 3           [1,934.50, 1,972.00] => 37.25      1.93%  632.20        

Wed 05 May 20105 May 2010   &nbsYM FUT 201006 CBL_USD 5    [-314.40, 2,086.40]           [-2, 1]             MaxAbs: 2           [10,772.00, 10,914.00] => 141.00     1.31%  1,571.60      

Wed 05 May 20105 May 2010     Overall                    [-1,083.00, 7,065.60] 7,065.60]         [-4, 5]             Last:5,727.00      

Thu 06 May 2010   &nbsES FUT 201006 CME_USD 50   [-12,583.50, 4,153.00]        [-2, 5]             MaxAbs: 5           [1,060.00, 1,168.75] => 107.50     10.13% 3,309.80      

Thu 06 May 20106 May 2010   &nbsNQ FUT 201006 CME_USD 20    [-8,757.20, 2,093.40]         [-1, 4]             MaxAbs: 4           [1,755.50, 1,963.00] => 203.75     11.58% 1,963.40      

Thu 06 May 20106 May 2010   &nbsYM FUT 201006 CBL_USD 5   [-10,442.60, 3,958.60]        [-3, 5]             MaxAbs: 5           [9,897.00, 10,880.00] => 967.00     9.75%  3,729.00      

Thu 06 May 20106 May 2010     Overall                    [-29,818.30, 9,498.90] 9,498.90]        [-4, 14]            Last:9,002.20      

Fri 07 May 2010   &nbsES FUT 201006 CME_USD 50   [-12,583.50, 8,597.40]        [-2, 5]             MaxAbs: 5           [1,090.75, 1,135.25] => 44.25      4.06%  7,984.90      

Fri 07 May 20107 May 2010   &nbsNQ FUT 201006 CME_USD 20   [-8,757.20, 3,355.40]         [-3, 4]             MaxAbs: 4           [1,806.00, 1,908.75] => 102.50     5.67%  2,935.40      

Fri 07 May 20107 May 2010   &nbsYM FUT 201006 CBL_USD 5   [-10,442.60, 6,741.40]        [-3, 5]             MaxAbs: 5           [10,202.00, 10,650.00] => 446.00     4.37%  6,161.40      

Fri 07 May 20107 May 2010   &nbsOverall                    [-29,818.30, 18,414.20]18,414.20]       [-4, 14]            Last:17,081.70