There are a number of other trading tools available that allow a computer literate trader to design trading strategies and backtest them against historic data. What makes our tools special? Take a look at the following.

Below is an equity chart from an early version of our BOAT trading system. This system was originally designed with a well known commercial product called Wealth-Lab and subsequently moved over to use our strategy development framework. Initially the re-implementation was to improve speed (we gained a 5x performance increase by re-coding in Smalltalk) and to give us some additional possibilities with regard to automated trading. However, consider the following analysis charts:

 

BOAT4

Here is our BOAT4 system as we originally started to trade it during 2003. The plot opposite is virtually identical to that obtained from the original Wealth-Lab implementation.

You can see that it suffers some drawdown during spring 2004 but otherwise appears wildly (and far too) profitable with an 882% APR. A sure sign that we needed to invoke Rule 6.

 

 

 

 

Filter #1

As we were trading it in late 2003, the system was making profits but they did not accurately match the modelled results. We carefully analyzed the individual trades and came up with a proprietary filter (Filter#1) that vastly improved the accuracy. This filter reduced the model APR to 146%, still more than admirable, but also increased the drawdown levels beyond our tolerance limits. So we stopped trading BOAT4 at this point.

 

 

 

Filter #2

Further research on other systems during 2004 meant that we introduced an additional validation mechanism (Filter#2) in order to match actual trading with modelled results even more accurately.

 

BOAT10

Whilst these sorts of discrepancies between modelled and actual results will not necessarily occur for all styles of trading system, we've found that it is important to be aware of their existence.

The filters we use take a long time to compute so we tend to perform only a final analysis with these mechanisms enabled.

So here, to the left, is the analysis of a descendent of the BOAT line with all pessimistic filters in place. At the time of writing this is one of our live systems.