Goodbye Bumblebee, Hello Ladybug

I had grand schemes and lofty goals for the Bumblebee system. But barring an egregious mistake in my walk-forward of the system, I have to let the critter go. The White Bumblebee (first version) suffered massively in its synthetic real-world experience, like a patient etherised on the table only to suffer reality’s cruel but necessary knife. I had other versions queued up and ready to improve upon the simplest version, but they did no better in their walk-forwards. Not to worry, there are many more insects in the hopper. Next one sprawling on a pin is the Ladybug. It is based on Keltner band breakouts. Keltner bands are like Bollinger bands, but they’re based on ATR instead of standard deviation. The basic idea is that once the band is breached, take a trade in the direction of the excursion and enjoy great inflows of capital into your account.

Instead of going through the whole process again like I did with Bumblebee, let me give you the psuedocode right quick and I’ll post the real code later. Assume the code is correct and now we are up to the backtest. I’ll do a quick backtest and post the data below. Later, I’ll run the optimization process to get a feel for how this insect performs under stress. Then I’ll follow up with walk-forward data later.

Ladybug takes a long position when the close is greater than the upper Keltner band. It takes a short position when the close is less than the lower Keltner band. Long positions are exited when the the close is below the simple moving average on which the ATR bands are based. Likewise logic for short exits. The simple moving average is 30 days for the initial backtest, with a ATR band of 1.5. These rules apply to White Ladybug, or the first version of the system. I’m happy to share this system, but later versions will require a non-disclosure agreement from you, in addition to copious amounts of money.

White Ladybug was backtested on 9 markets from 1987 to 1996. Later, we’ll run an optimization on the same period to see how robust this creature really is.

Here are the backtest results for nine markets on White Ladybug:

Once again, SP 500 performs abysmally. How does one trade that stupid market anyway? On the bright side, we have crazy great results from Dollar, Yen, Gold and Coffee, with cumulative returns in excess of 300% over ten years.

If you look closely, you’ll see that there is some pain that must be endured to experience these results, probably more pain than can be asked of any trader, systems or not.

But it’s a good start on White Ladybug. As someone once said:

There will be time yet for a hundred indecisions,
And for a hundred visions and revisions,
Before the taking of a toast and tea.

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2 Responses to “Goodbye Bumblebee, Hello Ladybug”

  1. ppearlman Says:

    just loving when u quote eliot!

  2. Milk Trader Says:

    Phew, glad someone noticed. And glad to know I'm not the only fan of Prufrock.

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