Revisit and rehearsal on WETT a.k.a Weekend Trend Trader (WETT)
WETT v6 – Backtest Report
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 6708059.92 | 6708059.92 | 100000.00 |
| Net Profit | 6608059.92 | 6608059.92 | 0.00 |
| Net Profit % | 6608.06% | 6608.06% | 0.00% |
| Exposure % | 21.81% | 21.81% | 0.00% |
| Net Risk Adjusted Return % | 30293.00% | 30293.00% | -nan(ind)% |
| Annual Return % | 13.27% | 13.27% | 0.00% |
| Risk Adjusted Return % | 60.83% | 60.83% | -nan(ind)% |
| Transaction costs | 240.80 | 240.80 | 0.00 |
| All trades | 1204 | 1204 (100.00 %) | 0 (0.00 %) |
| Avg. Profit/Loss | 5488.42 | 5488.42 | -nan(ind) |
| Avg. Profit/Loss % | 49.51% | 49.51% | -nan(ind)% |
| Avg. Bars Held | 47.88 | 47.88 | -nan(ind) |
| Winners | 928 (77.08 %) | 928 (77.08 %) | 0 (0.00 %) |
| Total Profit | 6934823.31 | 6934823.31 | 0.00 |
| Avg. Profit | 7472.87 | 7472.87 | -nan(ind) |
| Avg. Profit % | 67.11% | 67.11% | -nan(ind)% |
| Avg. Bars Held | 54.73 | 54.73 | -nan(ind) |
| Max. Consecutive | 21 | 21 | 0 |
| Largest win | 285601.55 | 285601.55 | 0.00 |
| # bars in largest win | 223 | 223 | 0 |
| Losers | 276 (22.92 %) | 276 (22.92 %) | 0 (0.00 %) |
| Total Loss | -326763.38 | -326763.38 | 0.00 |
| Avg. Loss | -1183.93 | -1183.93 | -nan(ind) |
| Avg. Loss % | -9.66% | -9.66% | -nan(ind)% |
| Avg. Bars Held | 24.86 | 24.86 | -nan(ind) |
| Max. Consecutive | 4 | 4 | 0 |
| Largest loss | -5540.29 | -5540.29 | 0.00 |
| # bars in largest loss | 31 | 31 | 0 |
| Max. trade drawdown | -47467.61 | -47467.61 | 0.00 |
| Max. trade % drawdown | -83.33 | -83.33 | 0.00 |
| Max. system drawdown | -42165.04 | -42165.04 | 0.00 |
| Max. system % drawdown | -9.85% | -9.85% | 0.00% |
| Recovery Factor | 156.72 | 156.72 | -nan(ind) |
| CAR/MaxDD | 1.35 | 1.35 | -nan(ind) |
| RAR/MaxDD | 6.18 | 6.18 | -nan(ind) |
| Profit Factor | 21.22 | 21.22 | nan |
| Payoff Ratio | 6.31 | 6.31 | nan |
| Standard Error | 420054.83 | 420054.83 | 0.00 |
| Risk-Reward Ratio | 0.50 | 0.50 | -nan(ind) |
| Ulcer Index | 1.16 | 1.16 | 0.00 |
| Ulcer Performance Index | 6.79 | 6.79 | -inf |
| Sharpe Ratio of trades | 1.25 | 1.25 | 0.00 |
| K-Ratio | 0.05 | 0.05 | -nan(ind) |
To sum up,
This is a comprehensive AmiBroker trading system that implements a sophisticated trend-following strategy with advanced position sizing and risk management. Again, this post does not intend to compete with anyone or to promote anything. this is just a mere of my hobby.
Let me break down the key components:
Strategy Overview
A system that trades individual stocks when the broader market index no price restriction. It trades across ASX class
Key Components
1. Market Health Filter
2. Advanced Position Sizing
- Conservative Selection: Uses the smaller of the two position sizes
Multiple filters must align:
You can read from the book
4. Exit Strategy
Sophisticated trailing stop system:
- Partial Profit Taking
- Dynamic Stops
- Index-sensitive
- Trailing Stop
- Robust Risk Management: Multiple layers of protection
- Adaptive Position Sizing: Adjusts for volatility and account size
- Market Context Awareness: Respects broader market conditions
- Partial Profit Taking: Locks in gains while letting winners run
Is this WETT equal to wet towel? I leave that to you as a bed time reading material. Do you even WETT (2) bro?
* even with normal fix OR ATR position sizing, a simple trail stop and a bit of McD filter this system took me to a different positive zone and changed my trading preference (no more anti BO). You can hate my post but just like this man below peeking and looking at the same time
Photo credit from I stock Lol!
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