Chorlton
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OK, something doesn't add up.
When I test this on the FTSE250 list I have, my results show a CAR of 25% and a RAR of 190% and a sharp of >3.
I've tested this up until present day - with just about all trades taking place for 2003 onwards.
There's been a big drawdown which I suspect corresponds with drops in the index - might suggest this strategy works best in a bull market and the 250 moved a lot in the upward phase of the equity curve.
Lack of trades prior to 2003 could match my lack of data during this period.
Equity attched.
Chorlon / Suthers- could you test this on more recent data - maybe 2003 to present and see if your results more match mine?
Cheers,
UTB
Blades,
The initial code I used for testing was basically Suthers code but re-worked into AFL. The results when backtested from 98-04 were to say AMAZING!!! The MaxDD was still (IMO) untradable at around 25% from memory, but the returns were unbelievable!!
Impressive initial results are always a warning sign for me, and as a result I decided to investigate further. I re-wrote the code (as per my recent posting) and the results were, this time, very poor. In my case I suspect the problem was with the Buy Price.
I shall use my code and quickly backtest from Jan2003 to May2008 (inclusive) and post results. Watch this space....
Chorlton