big dog bld4 and portfolio selector

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.