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Steve Mayo

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Posts: 414

Joined: 10/11/2012
Location: Austin, TX

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Subject : The 90% Hit Rate Experiment
Posted : 5/7/2014 1:05 AM
Post #30404

I set a goal this evening to see if I could create a portfolio with 90% wins, a 50% CAR and an MDD below 15% over a 7-year timeframe that spans the 2008 crash. I got close, but I'm not sure how repeatable this return might be going forward - it uses lots of low-frequency strats. I did it just for fun and to as a means to explore the potential of the new Conditions filters.

Here's what I did:
First, I created several new lists of leveraged, sector and speciality ETFs (foreign, real estate, high dividend, bonds, etc.) - knowing I would have few trades I wanted the added diversification of ETFs. I tried to add as many as possible to increase the number of trades.

I then ran those lists (one at a time) against all the strats using Strategy Lab, selecting one of the canned condition filters (mostly conservative trend and the EMA3/EMA7 one, and "added" any that had a 90% or better hit rate and a reasonable return (i.e., more than just a trade or two).

I then simply sorted by %Wins in the strategy listing, selected all that were above 90% and saved it as a new portfolio. Unfortunately, I didn't keep good notes and now I have no idea exactly what conditions each of the 28 strats uses (hope that naming issue is fixed soon!) It's mostly trending strats with leveraged inverse ETFs.

Anyway, here's the graph. It has a Calmar of 3.6 which is the best I've been able to do, at least with a low drawdown, over a 7-year period without the benefit of Port Switching...and it's only 22% invested. My first attempt had a return of just under $1MM. To get the return up a bit more, I added a few more ports that were in the 80+% accuracy range and it pulled my hit rate down, but it increased the return without increasing the MDD....nice!




[Edited by Steve Mayo on 5/7/2014 1:10 AM]

Attached file : graph1.png (91KB - 969 downloads)
Attached file : list.png (796KB - 351 downloads)

Deleting message 30404 : The 90% Hit Rate Experiment


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