Thursday, May 27, 2010

SIF 01 and SIF ES1 vs CTT


Some people have asked why SIF ES1 is currently recommend over CTT because the CTT backtest shows greater overall earnings. The primary reason is that the post development performance for the SIF 01/SIF ES1 systems is much better than CTT. SIF 01 development was completed in January '06. If you look at the chart you will see that is performance has tracked very well with the performance pre-development. This is the gold standard for systematic trading, i.e. it works the same post development as pre-development. I also have a longer history with the SIF 01 system.

What's the difference between SIF 01 and SIF ES1. It's fundamentally the same system except that intraday stops have been added to reduce risk exposure. This helps smooth out the equity curve as you can see from the charts.

If you look at the attached charts you will see that the CTT backtest produces roughly twice the profit as either SIF 01 or SIF ES1. However, when you look at the performance of CTT post development, it's performance has fallen off rather dramatically. It's still a profitable system, but not nearly as good as the back test. This is the reason I'm recommending SIF ES1 over CTT.

And, as always, it's important to remember that past performance is not a guarantee of future results.

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