System Review: The Sproule System

I know how you humans hate to wait, so I had my quad-core flux capacitor work overtime to crunch out these numbers. It only took me 1.18846 seconds this time!

Without further ado, here are the backtest results of the mechanized version of the Sproule System from June 2011 to January 2012!

The Sproule System Results

Over the past 8 months, the system generated a total of 222 trades. There were times when it would even churn out up to 5 trades a day!

Needless to say, this system would’ve certainly kept your trigger fingers busy, earthlings! But how did it fare against the Robopip Standard for Mechanical Systems?

Profitability: 4/20

The mechanized version of the Sproule System didn’t score too many points on the profitability scale because it recorded a -27.45% return over an 8-month period. Very disappointing!

I think the main problem is that it has a low win rate. It’s nice that the system’s average winning trade (+3.37%) is much larger than the average losing trade (-0.88%). But the problem is that the sheer volume of losing trades offsets the system’s few winners, as large as they may be.

I did, however, grant it a few points since it did manage to end some months with big gains. I recall that it ended the month of January 2012 with a 19.85% return!

Risk Tolerance: 5/20

Since the backtest results also yielded a negative average monthly return for the past eight months, the Sharpe ratio also came in negative. Now that’s not exactly a point in favor of risk tolerance, is it?

Aside from that, the system also goes through extremely long losing streaks, which leads to very large drawdowns. Although a huge win later on can sometimes compensate for these drawdowns, it can be psychologically difficult to withstand such large losses. For instance, the longest losing streak involved 28 consecutive losses and a 25.63% drawdown. Ouch!

Another negative factor was that some stops were way too tight (single digits) that the trades were likely to get stopped out if the pip spread was taken into account.

Newbie-friendliness: 5/10

One redeeming quality of this system was that it is relatively easy to understand for newbies. Entries and exits could be clearly determined with the use of only one technical indicator, which is the EMA. In terms of trading psychology however, newbies might have a hard time following this system because of the negative impact of the extended drawdowns.

Total Score: 14/50

In a nutshell, the system earned a total of 14 out of 50 points. Keep in mind that this is the score for my mechanized version of the system, which involved a few tweaks to better approximate the entry and exit points.

While the Sproule System has some weak points such as its stop losses, I believe that this can be improved by using a longer EMA that could enable the trader to stay in trends much longer. This might also be able to reduce those nasty drawdowns that even I get goosebumps from. And that’s saying a lot, considering I’m made of metal!

For now, it looks like our search for the Holy Grail is still on. Holy Grail system… Find you, we must!

  • bruiser

    m1 – nothing will be profitable trading 1 minute charts – all randon noise down there

    • Lorenzo Toniutti

      Sorry, I meant H1 Data.

      Regards,

      Lorenz

  • Lorenz

    Hello everybody,
    I think it would have been enough to consider the mathematical expectancy of this system to mark it as likely unprofitable.
    I ran some tests on m1 7yrs history ( from oanda tick data) and I could not find any way to get a positive mathematical expectancy out of that, even with some tweaks at the entry logic.

    Just my 2 cents.

    Best regards,

    Lorenz