Olympian V2.22 (No longer trading)
Olympian is a trading system that employs guerilla trading techniques with a very strong emphasis on risk management facilitating controlled exposure to a diverse range of instruments. Olympian uses the best performing instruments from the Cassandra and Ploutos systems and trades them in a single account. This leverages up the performance exponentially producing what we consider to be excellent returns. Below are the results of the backtesting of this system.
Guerilla Trading Rules
- Employ a small controlled percentage of available capital for each trade
- Reduce risk to a minimum by trading as little as possible (typical trades last a few hours to a few weeks)
- Use infinite patience and iron discipline to wait for the correct trading opportunity
- Take profits early but keep a runner and give it "wiggle" room
- Any system tuning to be done on instrument character and kept to an absolute minimum
- A maximum loss level to be used for each instrument, if breached trading stops for that season
- To maximize the return runners should use a trailing stop with no target
Olympian Mission Statement
Enable fund managers to have good exposure to a basket of instruments keeping drawdown to a maximum of 15% whilst not limiting profit potential and having a minimum performance of 35% PA.
Combined Backtest Performance(logarithmic) Curve 2007-2013
The maximum drawdown of 12.4% occurred in April 2010
Various methods are used in the algorithms to control risk but during periods of low volume price tends to chop and drawdowns are inevitable. Like all breakout systems if price breaks out then reverses there are hits to equity. Currency pairs will trend for long periods of time but this trading environment could change. The system is designed to perform well in both bull and bear markets but will suffer if it stagnates.
Drawdown is calculated from banked profits only, The system sets targets when a position is opened and takes profits when the targets are hit closing 75% of a full size position, this acts as insurance against reversals, the remaining 25% position is a runner managed by means of a wide trailing stop. This being the case the drawdown from un-banked profits will be much larger, the system considers un-banked profits to be working capital and is designed to maximize the return on these remaining positions not minimize drawdown. It can be uncomfortable watching a runner hit a stop for a small loss after achieving a good profit. You have been warned don't count your chickens until they are hatched!
The system will still be profitable if runners hit their stops early but the lions share of profits come from allowing the runners to shine and giving them "wiggle" room.
Average Monthly performance
V2.22 Constituent Back tests 2007-2013
Every effort has been made to make the backtests as realistic as possible, the tests were conducted between 18:00 BST and 19:00 BST on 24th September2013 using a standard retail Alpari UK account and trading CFD instruments. The account was live and the spread used was whatever Alpari had set at the time. If you would like to see the raw data from these tests then please let us know.
As you skim through these results bear in mind that the best results in the combined tests came from USDCHF at 143M in the individual tests it is the worst performer at 240K (140%) This demonstrates the power and sometimes surprising results of leveraging profits from the other constituents.
Show me the employer who would tolerate a trader doing nothing for weeks on end and the trader who is still sharp after so much inactivity. Guerilla trading is unique, potentially very profitable and not always the easiest system to live with.
Individual Leveraged Performance
Each of the Olympian instruments was back-tested using a starting equity of 100k. These tests were conducted using Metatrader 4.00 Build 509. the individual back-test drawdown ranged between 6% and 15%. When the instruments are traded together in the same account they tended to offset each others drawdowns and leverage gains. Conditions could change whereby drawdowns occur simultaneously, this will have a detrimental effect on any fund performance. The algorithms have failsafe mechanisms whereby each instrument will discontinue trading for a season if 3 simulataneous losses occur in that instrument. As previously mentioned the risk for each trade is limited to 2% but the results may not reflect this as any profits made by a trade are not included in this maximum risk factor. IE if a trade makes a 2% profit without reaching a target then goes on to hit a 'stop' the drawdown on equity and unbanked profits will be 4%.
The charts below are the PL curves for each of the 7 Olympian instruments, as in the combined test the starting equity for each individual test was 100k.