Rotational is a trend-following system that believes there’s always a bull market somewhere, and in previous downturns this year, the portfolio has been able to ride it out OK because it was in “what was working.” Not this time. Good in the straightaways, not so good in the turns.

This is the largest drawdown the system has generated in test or tracking. It’s important to remember that, no matter how long any system’s backtest, that its worst drawdown is always in front of it, just as its best performance is always in front of it. A backtest (or an actual trading return stream) is only a small sample from a larger heteroscedastic distribution, and as long as the recent results are within the same rough order of magnitude as the sample (they are), there’s no evidence of “brokenness.” In backtest, the system had a half-dozen drawdowns in the teens, and the current drawdown is 23.3% from peak equity, which is comparable to its backtested compounding rate and average annual return. It’s potentially unnerving, yes, but not outside of the expected range of results. The system doesn’t change, however. It just executes, regardless of circumstance, and while it does tend to to suck wind at turning points, it makes up for it in the straightaways - because there’s almost always something trending. We’ll see if the current leaders, stay leaders.

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To view my actual trades and model portfolios for the different systems I track, visit The Rempel Report. If you’d like to become of member of The Rempel Report, you can register here. At The Rempel Report, I track model portfolios for four different mechanical trading systems, disclosing all results (good and bad) at regular intervals. I also track my personal portfolio, and disclose all trades before I make them. Members receive email notification of new posts and can contribute to the site through comments. Registration is still free!

I track a variety of different trading systems, and post my own trades - before I take them! - as I personally trade my own systems. It’s called accountability, and it’s called “eating your own cooking.”

One thing I’ve been meaning to do for some time is take the backtest results that I used to determine these systems, and post them for your reading pleasure. Life being what it is, that job stayed on the list but below the line; something I wanted to do but always had something else on the list above it. Well, no longer.

All the backtests are now posted. The Timing program test was posted a while back, but this week I’ve posted the other three.

Timing explanation and backtest.
Current posts and results for the Timing model portfolio.

Fundamental explanation and backtest.
Current posts and results for the Fundamental model portfolio.

Rotational explanation and backtest.
Current posts and results for the Rotational model portfolio.

Aggressive explanation and backtest.
Current posts and results for the Aggressive model portfolio.

To view my actual trades and model portfolios for the different systems I track, visit The Rempel Report. If you’d like to become of member of The Rempel Report, you can register here. At The Rempel Report, I track model portfolios for four different mechanical trading systems, disclosing all results (good and bad) at regular intervals. I also track my personal portfolio, and disclose all trades before I make them. Members receive email notification of new posts and can contribute to the site through comments. Registration is still free!