Following up on the first post here from over two years ago, below is the current performance report for the Percent Exposure Donchian Channel system. I have made some improvements in my backtester to handle recording trades to better simulate how trades would be managed, executed, and recorded in actual trading which has some impact on the performance.

System Rules and Settings

Strategy A • With Long Term Trend
20% Long: Enter Close > 20 Day High | Exit on Close < 10 Day Low   | Weight .20
20% Short: Enter Close < 20 Day Low | Exit on Close > 10 Day High  | Weight -.20
Strategy B • Counter Long Term Trend
10% Long: Enter Close > 40 Day High | Exit on Close < 20 Day Low
10% Short: Enter Close < 40 Day Low | Exit on Close > 20 Day High
Strategy C • With Long Term Trend
30% Long: Enter Close > 50 Day High | Exit on Close < 25 Day Low
30% Short: Enter Close < 50 Day Low | Exit on Close > 25 Day High
Strategy D • Counter Long Term Trend
15% Long: Enter Close > 100 Day High | Exit on Close < 50 Day Low
15% Short: Enter Close < 100 Day Low | Exit on Close > 50 Day High
Strategy E • With Long Term Trend
50% Long: Enter Close > 200 Day High | Exit on Close < 100 Day Low
50% Short: Enter Close < 200 Day Low | Exit on Close > 100 Day High
With Long Term Trend
Long: Last 200 day channel break was Close > 200 Day High
Short: Last 200 day channel break was Close < 200 Day Low
Counter Long Term Trend
Long: Last 200 day channel break was Close < 200 Day Low
Short: Last 200 day channel break was Close > 200 Day High
Position Sizing = Channel Weight * (.50% / MAX(1%, (2 ATRs / Close)))
Markets Traded = Corn, Cocoa, Cotton, Lean Hogs, Live Cattle, Soybeans, Sugar, Wheat, Coffee, British Pound, Canadian Dollar, Euro, Yen, Australian Dollar, Swiss Franc, Oil, Heating Oil, Natural Gas, Gasoline, Nasdaq 100, S&P 500, Eurex 50, Russell 2000, Nikki, Gold, Copper, Silver, US Treasury,

Analysis

Before getting in to how the system has performed as a whole I thought it would be interesting to check in on how each individual strategy within the system is doing on its own:

CAGR
2.2%
A
-0.6%
B
3.6%
C
0.4%
D
7.0%
E
Sharpe Ratio
0.81
A
-0.50
B
0.79
C
0.23
D
0.87
E
Max DrawDown
-5%
A
-15%
B
-10%
C
-5%
D
-20%
E

Two quick observations

  • Trading counter to the long term trend is risky
  • Long term trend creates the most return but with it comes increased drawdowns
    • Backtest Results • Date Range[19850102 to 20111104]

    Curve
    Total Return
    2007%
    CAGR
    12.07%
    Sharpe
    0.78
    DVR
    0.70
    MAR
    0.35
    Max Daily Drawdown
    -34.90%
    Average Drawdown
    -3.49%
    Avg Drawdown Length
    34.55
    Trade
    Trade Winning %
    25%
    Average Trade
    -0.98%
    Average Win
    6.85%
    Average Loss
    -3.61%
    Win/Loss Ratio
    1.90
    Best Trade
    72.0%
    Worst Trade
    -32.4%
    Avg Days in Trade
    27.26
    Trades
    4969
    Time
    % Winning Months
    57%
    Average Winning Month
    4.13%
    Average Losing Month
    -2.93%
    Best Month
    25.53%
    Worst Month
    -12.02%
    % Winning Years
    85%
    Best Year
    62.56%
    Worst Year
    -20.59%
    Positive 12 Month Periods
    75%

    Winning Trades
    Short
    Long
    Total
    Trades
    533
    709
    1242
    Average
    6.55%
    7.09%
    6.85%
    Max
    71.99%
    67.94%
    71.99%
    Avg Days in Trade
    55.91
    50.21
    52.66
    Win Rate
    23%
    27%
    25%
    Losing Trades
    Short
    Long
    Total
    Trades
    1823
    1876
    3699
    Average
    -3.53%
    -3.69%
    -3.61%
    Max
    -23.80%
    -32.35%
    -32.35%
    Avg Days in Trade
    18.64
    19.16
    18.90
    Loss Rate
    77%
    73%
    75%
    Year
    JAN
    FEB
    MAR
    APR
    MAY
    JUN
    JUL
    AUG
    SEP
    OCT
    NOV
    DEC
    Total
    DD
    1985
    -0.26
    7.47
    -11.52
    -1.06
    1.52
    0.04
    9.51
    6.31
    -0.55
    2.82
    5.34
    2.01
    21.91
    -16.89
    1986
    1.81
    10.50
    4.78
    -1.52
    -5.28
    1.46
    0.12
    -1.47
    -3.50
    -3.18
    -1.28
    3.72
    5.28
    -14.70
    1987
    4.38
    -0.89
    6.99
    7.44
    1.07
    2.54
    3.93
    -2.48
    0.35
    -1.70
    4.04
    5.75
    35.58
    -10.69
    1988
    -6.98
    4.01
    -0.27
    -0.44
    5.20
    3.67
    -2.50
    5.21
    2.77
    -2.19
    3.10
    -2.92
    8.12
    -6.98
    1989
    2.19
    -5.39
    5.65
    1.30
    8.87
    -2.25
    -0.08
    -1.25
    1.95
    1.30
    0.57
    7.12
    20.87
    -7.36
    1990
    -0.48
    -1.14
    1.41
    3.83
    -4.24
    3.80
    4.92
    2.16
    4.73
    2.14
    0.77
    -0.22
    18.70
    -7.12
    1991
    -2.82
    0.68
    -2.01
    1.86
    -0.65
    9.98
    -6.68
    2.30
    -0.96
    4.16
    -1.96
    12.11
    15.49
    -10.14
    1992
    -3.81
    -1.63
    0.35
    0.59
    0.58
    1.35
    10.87
    6.03
    2.75
    -0.41
    -0.52
    -2.38
    13.75
    -8.38
    1993
    -0.07
    2.87
    1.45
    3.28
    1.92
    1.53
    0.96
    -3.98
    -0.61
    -0.45
    2.65
    5.41
    15.66
    -8.58
    1994
    -1.01
    -4.39
    -0.06
    -1.52
    10.22
    2.11
    0.69
    -3.67
    6.76
    0.78
    4.34
    0.35
    14.55
    -8.93
    1995
    3.22
    0.41
    -0.98
    0.64
    -1.58
    1.92
    -3.64
    -1.56
    2.43
    -0.91
    -1.42
    10.57
    8.72
    -9.34
    1996
    -4.11
    -3.20
    4.06
    8.81
    -0.05
    3.72
    -6.39
    0.01
    2.68
    6.64
    2.02
    3.58
    18.05
    -10.10
    1997
    2.22
    1.43
    -0.78
    2.14
    -2.27
    0.15
    -1.05
    0.14
    -2.20
    -0.70
    4.36
    9.48
    13.09
    -8.77
    1998
    -2.27
    3.29
    -2.81
    -1.20
    1.33
    2.33
    7.76
    10.89
    -9.43
    -2.45
    4.38
    3.86
    15.06
    -13.30
    1999
    -2.21
    5.30
    -8.01
    3.29
    -0.50
    2.07
    1.42
    0.18
    -0.03
    -6.03
    3.84
    1.37
    -0.17
    -12.57
    2000
    -2.50
    1.36
    -2.98
    1.62
    -3.02
    0.56
    -5.32
    6.88
    -1.27
    2.54
    4.66
    1.36
    3.26
    -17.45
    2001
    -2.72
    7.85
    10.58
    -7.09
    -0.09
    4.01
    -2.02
    0.20
    6.96
    1.43
    -4.26
    -0.03
    14.18
    -9.49
    2002
    1.27
    0.32
    -2.97
    3.87
    4.76
    6.24
    -0.44
    3.01
    3.07
    -8.09
    -2.02
    5.74
    14.71
    -11.94
    2003
    9.84
    3.95
    -7.14
    0.70
    7.77
    -4.68
    2.38
    -2.45
    0.04
    8.26
    -3.38
    9.10
    25.06
    -10.45
    2004
    3.20
    5.62
    -0.24
    -5.04
    -0.96
    -0.86
    -1.11
    -5.10
    4.95
    4.49
    12.08
    -1.80
    14.83
    -15.33
    2005
    -5.04
    -3.77
    -2.92
    -1.86
    -3.62
    -2.67
    -0.66
    0.36
    -2.21
    -1.90
    7.72
    -5.62
    -20.59
    -26.15
    2006
    0.33
    -2.03
    6.01
    7.67
    -1.21
    -5.50
    -6.31
    0.19
    0.89
    1.14
    4.41
    -1.70
    2.99
    -26.49
    2007
    -2.86
    -1.35
    -5.06
    2.89
    -1.05
    2.04
    -5.17
    -6.14
    8.27
    8.63
    -5.22
    2.29
    -4.07
    -34.90
    2008
    5.77
    16.26
    -3.27
    -1.43
    1.99
    3.16
    -9.87
    1.86
    8.45
    25.53
    5.60
    -0.15
    62.56
    -24.71
    2009
    -1.37
    0.68
    -4.76
    -0.21
    1.10
    -2.81
    1.45
    3.99
    5.15
    -3.30
    9.31
    -6.68
    1.46
    -18.58
    2010
    -6.85
    0.53
    4.06
    1.54
    -5.70
    -3.82
    -2.68
    2.56
    7.37
    9.89
    -4.35
    13.90
    15.13
    -23.07
    2011
    1.28
    5.89
    -1.45
    9.99
    -12.02
    -3.95
    3.39
    -3.39
    5.27
    -10.29
    0.32
    -
    -7.04
    -20.28

    Does removing the counter trend strategies improve performance or do they provide uncorrelated return streams?

    Backtest Results | Removing Counter Trend Strategies • Date Range[19850102 to 20111104]

    Curve
    Total Return
    2461%
    CAGR
    12.89%
    Sharpe
    0.90
    DVR
    0.81
    MAR
    0.41
    Max Daily Drawdown
    -31.78%
    Average Drawdown
    -3.09%
    Avg Drawdown Length
    30.98
    Trade
    Trade Winning %
    29%
    Average Trade
    -0.42%
    Average Win
    7.70%
    Average Loss
    -3.71%
    Win/Loss Ratio
    2.07
    Best Trade
    70.0%
    Worst Trade
    -31.3%
    Avg Days in Trade
    30.25
    Trades
    3369
    Time
    % Winning Months
    59%
    Average Winning Month
    3.79%
    Average Losing Month
    -2.80%
    Best Month
    21.09%
    Worst Month
    -11.98%
    % Winning Years
    89%
    Best Year
    54.77%
    Worst Year
    -18.98%
    Positive 12 Month Periods
    77%

    Winning Trades
    Short
    Long
    Total
    Trades
    421
    544
    965
    Average
    7.13%
    8.13%
    7.70%
    Max
    64.40%
    69.96%
    69.96%
    Avg Days in Trade
    61.08
    56.98
    58.77
    Win Rate
    27%
    30%
    29%
    Losing Trades
    Short
    Long
    Total
    Trades
    1119
    1263
    2382
    Average
    -3.76%
    -3.67%
    -3.71%
    Max
    -23.80%
    -31.33%
    -31.33%
    Avg Days in Trade
    18.91
    18.92
    18.92
    Loss Rate
    73%
    70%
    71%
    Year
    JAN
    FEB
    MAR
    APR
    MAY
    JUN
    JUL
    AUG
    SEP
    OCT
    NOV
    DEC
    Total
    DD
    1985
    0.01
    7.33
    -11.06
    -0.40
    0.96
    0.13
    7.16
    6.58
    -0.14
    2.90
    4.77
    2.78
    21.46
    -15.78
    1986
    1.04
    8.93
    3.27
    -1.41
    -4.59
    0.68
    -0.41
    -1.46
    -1.84
    -2.52
    -0.35
    3.33
    4.08
    -12.23
    1987
    5.36
    -0.58
    7.71
    6.46
    0.97
    2.82
    4.10
    -1.55
    0.29
    -1.56
    4.95
    5.47
    39.68
    -8.43
    1988
    -7.38
    3.55
    0.23
    0.13
    5.24
    3.99
    -2.38
    5.51
    3.35
    -2.07
    3.45
    -2.59
    10.67
    -7.38
    1989
    2.83
    -4.96
    5.32
    0.70
    8.19
    -1.84
    0.92
    -0.87
    1.51
    1.01
    -0.07
    7.73
    21.55
    -6.37
    1990
    0.14
    -1.26
    2.04
    2.21
    -4.07
    4.00
    5.17
    2.11
    4.10
    1.47
    0.48
    0.00
    17.26
    -6.39
    1991
    -1.84
    0.96
    -3.31
    2.09
    -1.01
    9.99
    -5.23
    2.20
    -1.10
    4.12
    -1.47
    10.84
    16.03
    -9.59
    1992
    -3.66
    -1.16
    0.15
    1.38
    0.48
    1.90
    10.21
    6.73
    2.83
    -1.31
    -1.04
    -1.69
    14.96
    -7.78
    1993
    0.53
    2.98
    1.65
    3.18
    1.69
    1.97
    0.92
    -2.82
    -0.56
    0.12
    2.69
    4.38
    17.86
    -6.60
    1994
    -1.24
    -3.66
    -0.22
    -2.37
    7.77
    1.29
    -0.04
    -3.24
    4.34
    2.05
    2.69
    0.98
    8.05
    -9.38
    1995
    2.60
    0.63
    -0.53
    0.67
    -1.64
    0.87
    -3.49
    -1.70
    2.87
    -1.00
    -0.37
    9.05
    7.69
    -9.29
    1996
    -4.45
    -2.15
    4.45
    9.62
    -0.34
    3.38
    -5.90
    0.80
    3.14
    5.94
    2.58
    3.19
    20.99
    -8.96
    1997
    1.83
    0.80
    -0.91
    2.40
    -0.48
    0.09
    -1.35
    0.40
    -1.88
    -0.16
    4.10
    8.95
    14.17
    -8.11
    1998
    -1.52
    3.14
    -2.22
    -0.76
    1.50
    2.67
    8.36
    10.37
    -9.12
    -2.47
    4.82
    4.20
    18.92
    -12.80
    1999
    -1.96
    5.29
    -8.04
    2.30
    0.58
    1.75
    1.93
    0.17
    -0.23
    -4.80
    2.95
    1.62
    0.84
    -10.90
    2000
    -2.70
    1.29
    -2.63
    1.35
    -3.67
    0.96
    -4.08
    6.51
    -0.92
    2.64
    5.24
    1.95
    5.45
    -15.68
    2001
    -2.48
    7.42
    10.54
    -6.57
    0.59
    3.86
    -2.30
    1.11
    6.59
    1.99
    -4.14
    0.79
    17.28
    -8.79
    2002
    1.71
    0.57
    -3.36
    4.11
    3.74
    4.66
    -0.10
    2.83
    2.97
    -7.39
    -1.81
    6.86
    14.84
    -10.05
    2003
    9.55
    4.57
    -6.97
    0.27
    6.52
    -4.23
    1.05
    -1.79
    0.83
    8.92
    -2.91
    9.14
    25.89
    -10.69
    2004
    2.77
    5.26
    0.44
    -4.87
    0.05
    -1.46
    -2.39
    -4.55
    5.45
    4.37
    11.94
    -1.85
    14.80
    -13.91
    2005
    -5.05
    -3.79
    -3.02
    -1.73
    -3.64
    -2.41
    -0.57
    -0.32
    -1.28
    -1.85
    7.29
    -3.94
    -18.98
    -25.35
    2006
    1.02
    -2.12
    6.68
    7.23
    -1.75
    -4.34
    -5.37
    0.45
    0.46
    0.99
    3.84
    -1.88
    4.45
    -24.31
    2007
    -3.46
    -1.16
    -4.85
    2.77
    -1.16
    1.71
    -4.53
    -4.64
    8.21
    8.90
    -5.64
    2.47
    -2.71
    -31.78
    2008
    4.96
    15.01
    -1.50
    -1.83
    2.16
    4.07
    -9.50
    0.95
    6.30
    21.09
    5.51
    0.52
    54.77
    -20.76
    2009
    -0.24
    1.14
    -3.84
    -0.45
    -1.38
    -1.17
    0.57
    3.41
    4.01
    -3.18
    7.70
    -4.79
    1.12
    -15.84
    2010
    -5.61
    0.54
    5.78
    1.87
    -5.82
    -3.20
    -2.08
    2.88
    6.90
    8.73
    -4.88
    13.79
    18.14
    -17.87
    2011
    0.91
    6.79
    -0.03
    10.92
    -11.98
    -3.18
    3.58
    -2.98
    2.93
    -8.09
    0.31
    -
    -2.91
    -18.99

    Yes, there is a general increase across the board in performance with less overall exposure, especially during times when sticking to such a trend strategy may be difficult.