Week of Dec 08th, 2017
As we discussed before, this round of system's draw-down finished at about 16%. This week, our system started a powerful bounce-back. If this trend continuous, we are still looking at achieving design objective of 44% annual return for year 2017.
Below Figure shows comparison of historical draw-down between our system and QLD. As you can see, there is a very strong support line at draw-down level of 16 - 18%, which we used as one of the indicator to validate the effectiveness of our system.
Another concept we have been keeping repeating is that the design objective of our system is NOT to beat bull market, especially not the "Crazy" bull market. (For example, this year the market rises on every single month, which never happened in last 20 years). Our Design target is to achieve around 44% annual return for EACH YEAR. not compounded annual return.
Another thing we have been keeping monitoring is the consistence between back-test result and out-of-box result. Based on actual trading result from Jan 2017 to now, all major technical indicators ( ( Annual Return, Annual Volatility, Max Drawdown, Down down rate, Sharpe Ratio, Calmar Ratio, Sortino Ratio) showed high level of consistence to back-test result.
We are expecting next Monday is a DOWN day.
Golden Stone QLD
2017 Year-to-date: 35.6% 67.6%
Oct month-to-date : 4.05% -0.67%
This week Return: 4.94% 0.18%
Max Draw-down: -11.7% -2.5%
Monday: +2.34%
Tuesday : +0.03%
Wednesday: +0.91%
Thursday : +0.70%
Friday : +0.88%