Thursday, June 5, 2008

Intraday Strategy Back Testing - Monthly Balance

A challenge I have had in posting the 6 month backtest results is that I can not post non-image files on this site. I am working on finding a way to publish the results (held in html files) on separate webpages and then providing links to those. Also, our back tester does not allow us to test all pairs simultaneously which means that to get a monthly picture of all pairs together, I have to transfer the data from each individual pair to a separate spreadsheet that calculates for me the monthly results of the system as a whole. I have attached below a graph I built that shows the ending balance of the Intraday strategy upgrades collectively. Keep in mind, ending balances would be slightly different(higher) if the 10 pairs were tested together because of the built-in compounding feature of our auto trader. In the following posts, I will include more detailed testing results from our 6 month backtest (December 1, 2007 - May 31, 2008).




Ending Balance
November $100,000.00
December $119,417.00
January $134,602.00
February $143,774.00
March $156,100.00
April $184,958.00
May $197,153.00