What Edge Club allows us to do is pull back the Green Curtain on the Connors System and see what's under the hood. Brilliant! Unfortunately, there is some bad news...
I tried to simulate the Lev ETF Trade with a Connor's RSI of 4 and a close above 80. I expected that it should match the Performance Report:
Strategy Name Num Trades P/L Hold %Win
X=4,Scaling = 1/2/3/4/5, Exit Method = CRSI > 80 39 8.75% 8.7 100.00%
And it did, perfectly, when you scale it in correctly:
All Trades Winners Losers
Trade Count 39 39 0
Trade Count % 100% 100.00% 0.00%
Avg. Profit/Loss $ $410.68 $410.68 #DIV/0!
Avg. Profit/Loss % 8.75% 8.75% #DIV/0!
Average Min Max
Trade Length (Days) 8.72 3.00 14.00
Trades per position 3.08 1.00 5.00
Daily Open Positions 0.89 0.00 13.00
Profit/Loss (%) 8.75% 3.80% 22.95%
Max Favourable Excursion % (MFEP) 18.39% 4.40% 43.71%
Max Adverse Excursion % (MAEP) 6.83% 0.00% 25.68%
Profit/Loss ($) $410.68 $29.00 $1,217.84
Max Favourable Excursion (MFE) $1,095.60 $29.00 $3,870.73
Max Adverse Excursion (MAE) $484.71 $0.00 $2,540.51
Starting Equity $30,000
Ending Equity $46,017
Net Profit $16,017
Net Profit % 53.39%
Everything looks great, until you look at the Equity Curve. I couldn't figure out how to paste it, but it basically has 2 periods in 2 years where these trades occur. There are like 13 stocks held in those periods. AND the excursions during both these periods looks like an EKG. All that to say, while the table looks brilliant, the equity curve and daily detail that EdgeClub provides us, let's us know this is not a viable strategy.
The good news is that we can use Trade Simulation to get parameters with a much smoother equity curve. Of course, we have to beware of curve-fitting here, but the tools provided by Edge Club can help us understand what is REALLY happening underneath the Win % and Avg % Gains.
Just thought I would share what I'm learning. Thanks, Chris, for designing a great product, and feel free to add your comments...
Behind the Green Curtain
Moderator: Chris White
