Testing with the new volatility filter and the strict new code for the precision stop. This code for the stop always assumes that the worst scenario occurs first.

As the high and low order is not known, it will always exit on the low if the stop is breached, but in reality the odds are that 50% will be going to higher profit and the other

50% will get stopped out. For this reason slippage has been set to 5% ( a less strict amount) and I am confident that actual results will make better profits with lower drawn downs than the simulation shows.

124 stocks tested on 10 years of static data.

Observations are that.

1. Using more stocks (most volatile is safer as there is less chance of kicking out the best ones)

2. Volatility days is likely to create a more volatile list if a low number is used.

 

Test Multi Risk v Trd div Max cost%

 per t

Max dd U-W Win-L R-R Trds Gear 10  MAR Slip Vol.days Vol stocks Proft Percent    
1 0.6 0.25 10 20 -82.9 1003 .503 1.123 7718 4.75   5% 25 40 £6,108,211 60,982    
1a 0.7 0.25 10 20 -96.14 926 .497 1.074 6153 11.00   5% 25 40 £2,763,800 27,538%    
1b 0.7 0.25 10 20 89.58 1124 .497 1.095 6153 4.57   5% 25 40 £162,999 1530%    
1c 0.7 0.25 8 50           7.06   5 60 15 wipe out      
1d 0.7 0.25 9 40                   15        
2 0.65 0.25 20 7 -73.35 1004 .501 1.107 7920 4.39   5% 25 50 £481,576 4,715%    
3 0.65 0.25 12 22 -94.8 917 .496 1.09 5490 7.74   5% 25 30 £5,69,211 57,592%    
4 0.65 0.25 15 12 88.79 914 .500 1.07 6372 5.24   5% 25 35 £842,515 8,324%    
5 0.65 0.25 15 30 79.3 884 .508 1.104 3970 4.25   5% 60 20 £8,789,255 87,792%    
6 0.65 0.2 13 32 85.31 914 .505 1.18 4090 3.92   5% 100 20 £6,647,934 66,379%