Core System Robustness

Along the the way of my research I was doing sensitivity tests on two system’s parameters. I thought I’d post the graphs to share. The two systems are dual moving average and donchian breakout.

Dual Moving average: Horizontal Axis is the stepped parameter for the long term MA while the vertical  axis represents annualized sharpe. 21 years of ratio adjusted data with 56 futures instruments. (1980-2011) System parameters also include a 2 ATR stop with 1 % volatility sizing. First graph represents starting cash of 1 Million with the following graphs 5.5 Million and 10 Million respectively.


Donchian: Horizontal Axis represents breakout days while the vertical axis represents annualized sharpe. It has no other parameters but entry and exit each set to the same days. 1% sizing with same portfolio and time tested.

Note that I also varied the starting cash for both tests.

IMO, it is these basic tests that gives you confidence in the underlying nature of the strategy and trend following. In all the tests above, all parameter selection had double digit returns. Nevertheless, each case was paired with a higher DD.


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