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SYSTEMS AND EVENTS BACK TO 1993

February 28, 2017

Many traders asked me about how Nightly Patterns would have performed before its inception in 2012. Anyway, Nightly Patterns 400 and more patterns library is backtested using SPY data back to 1993.

Finally I managed to merge all Systems Guidebooks (VIX, RSI, BOLLINGER) together with Events related patterns (FED DAYS, FED MINUTES DAYS, JOB’S DAYS).

The equity curve above is outstandingly solid thoughout all the 23 years time horizon.

The edge is there.

Here is yearly returns sheet:

Below are the main stats:

NT = 1030
%W = 66.8%
PF = 2.38
MAX DRAWDOWN = -4.63% (-$5324 per ctc)
Average yearly return (per 1 Emini ctc) = $11141
On average 1 trade per week

I’m not spending words to comments extraordinary results even during the worst market years, just a few technical comments.

Firstly, Nightly Patterns historical performances differ from this table as I was mainly relying my “PRICE” patterns alone and just keeping an eye on all these “systems”.
From now on, I’m adding this overnight trading approach to usual “price” Nightly Patterns  trades.

Secondly, it is clear that to face about $5000 drawdowns we need proper position sizing. Usual 50%/50% (equity/cash) rule of thumb is the minimum required to trade safetly.

1993 low numbers are due to just a few months of trading that year as for 2017.

Last year was definitely the worst, this should offer an excellent entry chance!

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One Comment
  1. Alex Argyros permalink

    Outstanding work, Marco. Thank you for your insight and dedication.

    Like

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