“VAREA Swing I” is a system developed by AlgoReturns. It is a breakout system identifying setups which precede a period of increased volatility and directional movement and then monetizes those subsequent moves mechanically. The minimum lot size is 1 with increments in multiples thereof. A signal is expected every 1-2 months, and trades are held for as long as 5 days.
Summary results from hypothetical back testing are provided in the “Summary” section. The algorithm has been tested on 15 years of historical data to harden against adverse moves. For the purposes of optimizing with current market conditions, a shorter historical window of recent 3-6 years of history is used. Algorithm does not assume any fills at the High/Low prices at every 5 minute period. The operating algorithm will likely have more conservative settings than what is represented in the back testing results. Algorithm uses common trade order types such as Market, Stop, Limit and MIT (Market-if-Touched).
Win/Loss ratios, profit factor and drawdowns are approximations and do not include the effect of commission and slippage. Algorithm runs on a “hands-free” basis for Level 1- 4 Risk Profiles or “hands-on” basis for Level V- Managed Risk Profile. The performance of each Level of Risk Profile mode is kept separate and distinct from each other to enable comparative analysis. Developer is expected to make regular updates to the algorithm to reflect realized experience.
Important notes and commentary regarding these tables are available in “Notes” section.[table “” not found /]
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Accuracy, profit factor and drawdowns are approximations and do not include the effect of commission and slippage.[table “” not found /]
Drawdown assumptions do not include the effect of commission, slippage and any additional capital required by your broker.[table “” not found /]
Developer notes and commentary on Tables 1-3 are provided below.
Algorithm has been back tested on 15 years of data at 5min intervals on regular and after-hours trading periods. Prices are continuously adjusted on the most liquid ES contract prevailing at the time. Trade orders are in the form of Market, Stop, Limit or MIT orders and assume successful execution. To avoid low volume prices, algorithm does not assume a fill at 5min High/Low prices. Slippage and commissions are not included in the price. Results have been rounded for presentational purposes. The algorithm assumes no reinvestment of gains or losses. The algorithm is reliant on data quality of historical prices and does no additional quality checks/corrections on the historical data. The algorithm has been trained on an industry standard data provider (Trade Navigator from Genesis Technologies).
The percentage of winning trades to total number of trades is 40/67 or about 60% taking the last 6yrs into consideration. The profitability ratio which is expressed as the ratio of gains to absolute value of losses is 568:160 which reduces to 3.56:1. Max drawdown is expressed as the sum of 2 consecutive worst months – which resolves to -24.2 observed during Apr-May of 2015.
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