Sunday, December 25, 2016 10:19:47 AM
Conclusions IJR system that waits for RSI to cross above 30 and then uses the Chandelier Exit (22,1).
The table below shows two system tests from last week and two from this week. Overall, I am impressed with the IJR system that waits for RSI to cross above 30 and then uses the Chandelier Exit (22,1). The last row highlights this system with the second highest CAR, the second lowest MDD, the second highest exposure and the highest CAR/MDD ratio. It does, however, have the lowest gain/loss ratio, but the winning percentage is quite high. Over the 16 year test period, this particular system generated 80 trades and was in the market 35% of the time (5.6 years or 67.2 months). It is not a full-time system.
Even though the results for IJR look pretty good, keep in mind that past performance does not guarantee future performance. Also keep in mind that this system will perform differently for other ETFs and stocks. The results based on taking EVERY trade and STICKING with the system, which can be hard in real life. The chart below shows IJR with an entry signal on October 18th and subsequent 4.8% decline (drawdown). There are no stops and this system does not even consider an exit until price moves above the Chandelier, which occurred right after the election. The exit triggered on 28-Nov and IJR advanced another 3-5% afterwards. The system is far from perfect, but neither are traders.
The table below shows two system tests from last week and two from this week. Overall, I am impressed with the IJR system that waits for RSI to cross above 30 and then uses the Chandelier Exit (22,1). The last row highlights this system with the second highest CAR, the second lowest MDD, the second highest exposure and the highest CAR/MDD ratio. It does, however, have the lowest gain/loss ratio, but the winning percentage is quite high. Over the 16 year test period, this particular system generated 80 trades and was in the market 35% of the time (5.6 years or 67.2 months). It is not a full-time system.
Even though the results for IJR look pretty good, keep in mind that past performance does not guarantee future performance. Also keep in mind that this system will perform differently for other ETFs and stocks. The results based on taking EVERY trade and STICKING with the system, which can be hard in real life. The chart below shows IJR with an entry signal on October 18th and subsequent 4.8% decline (drawdown). There are no stops and this system does not even consider an exit until price moves above the Chandelier, which occurred right after the election. The exit triggered on 28-Nov and IJR advanced another 3-5% afterwards. The system is far from perfect, but neither are traders.
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