I combined the data for the past few practice sessions to see how the strategy performs on a portfolio level. The stocks included are NVDA, SWN, PLTR, MU, DKS, F, WBD and AMZN. These stocks are included as the strategy used is similar for all of them. The main difference is I started using a EMA filter from MU onwards. For all stocks, I did not use a sector filter except for MU, as I practiced using a sector filter and do not have data for non-filtered trades.
The strategy performed quite well. However, if I use 5% risk per trade, the drawdown is too large. Starting with a balance of $100,000, I will end up with a balance $27,347,939.15 (super cool) with a maximum drawdown of -35.39% (super uncool).
If I reduce the risk to 2% per trade, I will end up with a balance of $1,451,606.91 and a maximum drawdown of -15.83%. Not too bad. The annual compounded return is 21%.
A large part of the gains come from the COVID period, as I have a few super high performing trades. Nonetheless, if I only consider the performance pre-COVID, the resulting balance is $333,096, for a compounded return of 12.7% per annum.
Here’s the chart:
I hope I didn’t make any mistake in my computation.
Other than the trailing stop error that I mentioned in the previous post (which should not affect results too much), another caveat for this performance is it does not take into account commission. In addition, this performance assumes that I have enough cash to initiate the positions that I want. The assumption is that I will be using options or CFDs to trade the strategy, which will definitely reduce the profits significantly.
Nonetheless, this result is still very encouraging. At least I should be on the right track.
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