Ed Mamula.com

Who would have thought that performance reporting was so difficult?    In order to enhance the site, I’ve added a model portfolio performance chart.  It is a graph of the returns that the system has generated on a theoretical investment made on October 13th, 2006.  It assumes no deposits or withdrawals.  Since it is built on my actual weekly trading results, it represents all versions of the Cable Glider, past and present, and does account for commission, slippage, and swaps.  It will show the peaks and valleys accurately, but it cannot convey the emotional EUPHORIA and PAIN associated with the equity highs and lows.  I will remind readers here that the Cable Glider itself doesn’t need to be so volatile…the high level of leverage that I employ fuels these sharp swings. 

I’m ready for next week…Happy St. Patricks day to all and happy March Madness viewing.

Enjoy!

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UPDATE : 3/17/2007 — I added the Metatrader Expert Advisor Backtest to the performance chart as well;  this shows how far the system development has come over the past 5 months.  I can confidently say that the rules in the newest Cable Glider are not “curve fit” to the data;  there are two out of time samples in which the new version validates well.  What I’m saying here is that my actual experience has been about a 130% return over the past 5 months but if I had known then what I know now, I may very well have been up 1300% … well, I’ll believe it when I see it, and I’ll be here to tell you all about it!

Since I don’t really know how to take a break from system development, I’ve been working on the Cable Glider while it has been idle this week.  I will roll out a new version on Sunday night.  I’ve made some minor revisions to my trailing stop loss exit strategies, and I think that I’m now correctly handling holiday shortened weeks.  The backtest page has been updated to reflect the changes.  The returns in the backtest period increase by approximately 80% and this method validates well when using 2007 data as an out of time walk forward.