big dog bld4 and portfolio selector

Posted by on Apr 9, 2012 in Entry Level Member | 0 comments

The Big Dog Portfolio Selection is in an excel file on your member’s download page. From that page you can now find it and the Big Dog user doc’s and more.

The Big Dog Portfolio Selection layout consists of the  Markets by symbol, the Total Equity at the end of the 5 year period, the maximum Draw Down during the 5 year period, the Profit to Draw Down Ratio, the time between profit peaks and the annual percent return based on an account size of 4 times maximum historical drawdown.   You can sort the contents of the spreadsheet on any of the performance metrics. Plus we have left the file unlocked so you can add any other performance statistic that the data supports.   The profit/draw down ratio is just another way of looking at annual percentage return on account size plus it is normally the best indicator of risk vs. reward.

Our friends at Futures Truth in their user doc give very easy instructions on how to sort columns (you can get your own Portfolio Selector program, tell them Jack sent you). This allows you to seek out the lowest max drawdown or the highest total net profit or the best risk reward ratio and so on.  Their document states:

“Sorting is quite easy.  Simply go under the Data menu and click on Sort.  A small dialog will appear asking which column to use as the sort key.   Use the drop down box in the first Sort by and select PROFIT/DRAWDOWN.  This will sort all of the data in descending order.  The best portfolio will bubble to the very top.”

In the case of three market combo with the best risk to reward ratio for Big Dog build 4 you can see in the table above that the Gold, Crude and Bonds play best as a group.

We also have the excel sheet for the best 5 of the ten markets traded for you to download.  The best five market combo is the the three best plus RB and ES fill out the five markets from a balanced point of view. Obviously you can be more aggressive or less in the way you want to structure your portfolio to be the best for you.

The Big Dog Build four has one change to it. We do not like over trading and we do not like whip saw days. In order to do this we simple put this line of code before the entry trigger code:

“  If FirstFriday = False and tradestoday(date)<1 then begin;”

This simple line of code limits the day trader from trading more than once a day (The First Friday code is already in the strategy.)

The results over all improve the risk to reward ratios for the ten markets with some markets being impacted better than others. The DAX is a stand out here, where 450 trades are cut in half and the overall risk to reward improves dramatically.

 

 

This top table is Big Dog build three back for five years with a very respectable 1.64 to one profit factor.

 

 

 

The bottom table here is the same period and the same input values on the DAX however; it now has the no whip saw code in the strategy. On half as many trades its profit factor jumps to 2.04 to 1, its average trade jumps from $350 to $500.  This is a much better risk reward that many trader / developers miss as they are only looking at total net profit.