Sunday, April 23, 2017

Princess Trading System Performance till date

Unusually, for a system hopper, I have been trading the Princess Trading System since August 30, 2016. I have been evaluating other trading systems off-and-on in the hope of finding something better. A few evaluations have identified systems that are probably good, but I continue to stick with the Princess.

I am ok with the system performance so far, and I am hopefully ready for the perils of this system when it hits me.... that is unless I shift to another trading system before that.

Here is the chart of the ledger performance, trading only Nifty Futures with the Princess Trading System....

Princess Trading System Performance - Ledger View
Princess Trading System Performance - Ledger View

The Princess system is an intraday system that doesn't trade every day. But when it trades, it trades with maximum leverage. For this trading system, Kelly Criterion allows me to risk 15-20% of my capital in each trade. Consequently, the ledger balance is volatile. I have psyched myself up, and am hopefully prepared to handle even a 90% drawdown, in the hope that the remaining 10% will recover back to the peak in a short time. (Naive??)

The maximum drawdown so far has been 34.84% of the peak ledger balance. As with any highly leveraged trading system, the system trades more lots as it travels drawdowns from peaks to troughs. Recovering from the drawdowns is a slower process, because only fewer lots can be traded with the lesser cash available at troughs.

As this is a volatile system, I periodically take out some money (my dividend), to buffer the psychological impact of drawdowns. But I also add to the capital, when I see the account dipping, so that.... well, I am as stupid as that.

The chart only shows the EOD value of the ledger balance. If we consider the intraday swings in the ledger balance, the system is actually way more volatile than what the chart shows.