Since May I have modified position sizing strategy for ChampionTrader-ES. Some interesting historical data:
1) For Base system,
Average return = 2000 USD per month
So, we are looking at 24,000 USD per year profits.
max DD = 5000 USD
Yearly Calmar with 5k maxDD = 24/5 = 5
2) For Current position sizing algorithm,
Average return = 4000 USD per month
So, around 50k profits per year profits
max DD = 8000 USD
Yearly Calmar with 8k maxDD = 50/8 = 6
Note:
(A) Historical backtesting data has many limitations. Futur results can differ from historical data
(B) System was being modified in Apr-May 2014 and was not being traded. Please ignore that Drawdown. It doesn’t reflect the system. For further details, please PM. I will clarify and answer all your questions. Thanks. Best - John
