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  1. #1
    AKrasnovKa Guest

    Default Long Term Trends

    realise that the vast majority of this forum's posts are concentrated on very short term strategies but I was wondering if anyone here has experimented (either backtesting or actually running) longer term trading strategies.

    I have been experimenting with a strategy based on very simple measures of momentum in equity indices and major macro asset classes that chooses 1 single macro asset class or major equity index to invest 100% of available capital into and and have backtested returns since early 1999 of roughly 15% annualized taking into account transaction costs, with volatility of roughly 20% annualized and turning over the portfolio roughly 3 to 4 times a year.

    I have also read this forum enough to see people shooting around Sharpe ratios of 5, 6, 10... I realise that this doesn't compare to those (not that I have much faith that they are real/implementable but whatever) but a. what I'm trying to do here is completely different and b. 15% a year for the last 11 years is really not that bad considering what the wider market has done. A Sharpe ratio that is double the market's is definitely something worth having over a long period of time especially given the easy implementability of this strategy.

    I'm really just looking to see if anyone else has tried something similar/has any experience/ideas that they'd like to share.

  2. Default

    Imo longer term is easier to make profitable but limits the compounding.
    Also, cant buy food with Sharpe ratio.

  3. Default

    longer term strategies are basically trend following schemes. Most do not have the discipline to follow such rules. They turn to be amazingly simple and robust but the drawdown is large quite often the the capitalization requirements high.

    This blog is long but worth reading IMO. It offer some good quantitative insight as to why most people stay away from longer timeframes:


  4. #4
    Albertohon Guest


    Thanks for the link, just the kind of resource I'm looking for.
    What would a rough $ estimate of 'high capitalization requirements' be in your mind....?

  5. #5
    AlenaKissot Guest


    I am actually using a long term stretegy for equities. Currently "trading" con SP. The historicall hypoteticall results are roughly as follow (it's an only-long strategy):

    Trading since 1950 that we have historicall data.
    127 trades
    53% accuracy
    W/L: 2.4
    Net Profit Per Trade: 2450$
    Max DD: 31.200$
    Net Profit: 311.000$
    Largest Loser: 5.400$
    Largest Winner: 14.500$

    I don't care about the sharp ratio. :-)

    No money management. No compounding. Same amount of shares each trade.

    No tricks. You win but you have no adrenaline rush.

    Best regards,



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