Combination of 4 Long/Short Systems 8X Out of Sample Simulation

8X is just a theoretical leverage calculated by the leverage optimal model. I don't think that anyone in reality is gonna use it.

Total Compound Return from Oct/90 - Feb/13: 144,280,539.74%

It means that by using this system, anyone invested 1 dollar in Oct/90. This system could get him/her 1.44 million dollar profits in these years. Although the simulation is totally based on the forecasts and 100% systematic, it's still too good to be true. :-D

Combination of 4 Long/Short Trading System

Total Return 28/Oct/1990 - 08/Feb/2013: 11,378.10%

Statistics for Feb/2010 - Feb/2013

Annual Return: 39.5%

Annual Sharpe Ratio: 1.58 In Average, each system generates over 600+ trades with around 65% winning rate. ( Theoretically the optimal leverage for this system is more than 8X, but here I only use 2X leverage.)

SP500 Long/Short System 1 - Out of sample simulation

Total Return 28/Oct/1990 - 08/Feb/2013: 9,924.18%

Statistics for Feb/2010 - Feb/2013

Annual Return: 48.8%

Annual Sharpe Ratio: 1.81

To design workable a short-selling strategy is much more difficult to me than making a long-buying strategy. But we can see that after implementing the short-selling strategies into the system, both Sharpe Ratio and Compound Returns are improved.

SP500 Long/Short System 2 - Out of sample simulation

Total Return 28/Oct/1990 - 08/Feb/2013: 8,646.38%

Statistics for Feb/2010 - Feb/2013

Annual Return: 35.7%

Annual Sharpe Ratio: 1.50

NASDAQ Long/Short System 2 - Out of sample simulation

NASDAQ Long/Short System 1 - Out of sample simulation

The combination of 4 long-only trend following systems

Total 2X compound Return:	9979.74%
MaxDD:	-22.67%

I notice there is a large drawdown during the period 2009-2010. I've figured the reason causing this drawdown out, and find the way to prevent it happening again in the future. But since out-of-sample simulations are based on the forecasts generated by learning historical data, if the similar things never happened in the history, then the systems based on learning the historical data can't avoid unless we trade less aggressive and use some extra-hedging strategies to balance it. 

So I think that I should accept this drawdown. As drawdowns are nature part of trading, every trader should be able to accept it. And what I want to say is that systematic trading is about dealing with the uncertainty of market movements. Although the similar patterns show on the markets over and over again, the uncertainty always exists. The history teaches us how to deal with the similar situations happening in the future but it can't tell us everything happening in the future.

Also this research reminds me one of Ludwig Wittgenstein's quotes "The world is the totality of facts, not of things."