Anthony FJ Garner's  Instablog

Anthony FJ Garner
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Anthony Garner is a British national based in London. He left investment banking in 1992 in favour of a long cherished aim to work for himself and since 1995 has been trading financial markets for his own account, as well as having established, run or acted as consultant to a number of hedge... More
My company:
Malplaquet LLC
My blog:
Anthony FJ Garner
My book:
A Practical Guide to ETF Trading Systems
  • Random Entry System Matches CTA Results. 0 comments
    Mar 18, 2013 6:27 AM

    What if you simply enter the market long or short at random, ride your winners and cut your losses?

    If random entries can produce a profit then it ought to give practitioners a great deal of confidence in the basic tenets of good trading: running profits and cutting losses. And it is surely a great deal more difficult to over-fit such a system to the data.

    In a series of back tests I set out to show that over many thousands of test runs and many hundreds of thousands of trades, random entries coupled with a simple trailing stop could match the average results recorded over the past decade by surviving CTAs.

    In the very last series of tests I ran, for the period 2003 to date, the worst test provided the following results:

    CAGR 9.29%, MAR 0.28. An MAR of 0.28 is very much in line with the average results for surviving CTAs as a whole over the past decade.

    If anyone is interested, they can see the full series of tests run, the code used and the assumptions made at my website.

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