In all of my reading about system design, about trend following, and about the Turtles, one thing that always stood out to me was a recurring message that the most successful systems are simple enough to be written on the back of an envelope. Of course I think that in my mind I held that statement skeptically, because I can't imagine that John Henry bought the Marlins, then the Red Sox, with proceeds from a system that he wrote on the back of an envelope!
I spent most of the day today working through a system based on one of Richard Donchian's rules, but felt frustrated most of the day. I regularly go back to the Trading Tribe website for inspiration, and it worked for me again today. In the resources section of the Trading Tribe site there is a Study written by tribe member Easan Katir on the profitability of a simple 10/120 Crossover system. I decided to backtest a similar setup, and came away with amazing results! (I use TC2000 and TC Companion with end of day data to do my testing)
I will be working to refine this sytem and test robustness across various markets, but suffice it to say that the early tests are showing that most any "refinements" only serve to worsen the profitability.
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