Trading For Yield is a swing trading system based on the price action of US treasury yields. We published this system to Marwood Research on 07/27/2017 with full rules and source code and have been tracking its progress.
Since publication, Trading For Yield has produced a net profit of $7,931 using our original simulation settings.
This translates to a compounded annualised return of 14.23% and a risk adjusted return of 79.63%. This was achieved with a maximum drawdown of -5.02% and a win rate of 76.67%. The CAR/MDD for this period is 2.83 and the Sharpe is 4.29.
- CAR: 14.23%
- MDD: -5.02%
- CAR/MDD: 2.83
- RAR: 79.63%
- Trades: 30
- Win Rate: 76.67%
- Sharpe: 4.29
Following you can see the equity curve progress since publication:
So far our results are in line with our in-sample backtest results which is pleasing to see. The sample size is still small but there is no reason to stop trading this strategy and we will continue to monitor it going forward.
Note: The above results are not live results. They are hypothetical simulation results produced using Amibroker and Norgate Data for the period 07/28/17 - 09/01/2018. The original trading settings have been left unchanged with 2:1 margin and they include costs of $0.01 per share to simulate slippage and commissions. Financial trading carries a high level of risk and past performance is no guarantee of future results. Please see the full risk warning.