Pascal,
I have compared trade per trade the data out of your XLX_Trades.
I have only done XLE for now.
I see in your trades four events where a Bought Oversold trade on a certain date was followed by the same type of trade the next day. I presume these may be merged (trade continues).
This is a difference not to be mentioned.
A second difference is that I will open/close a trade the day after the signal. Because the EOD signals are generated after the close, the logical use for an end-user like me is to trade those signals at the next open. In your statistics you count the close on the day of the signal, right?
I now have a total return on the XLE model between 2010 and now of 39.92%. You stated yesterday a total of 42.6%. This differences is small, explicable and negligible.
The third difference that I have found is not so easy to comprehend.
You have replied yesterday with some statistics concerning the XLE trades. Your best type of trade is Short with a total return of 27.1%.
If I run my back tests, I get only 5.74% for SHORT trades. The best performance I get is with Bought Oversold and delivers 30.31%. You have for Bought Oversold only 8.4%.
I am sorry, but one of us must be wrong here somewhere. I have now spend more then 6 hours looking and searching and can not find anything wrong with my signals nor trades for the XLE model.
I have attached my trades in an excel file. Can you please have a look and compare these with your trades? I do not find what's wrong with my trades.
Thanks
PdP
Reply With Quote