Before we comment on the results of the strategies, a few things must be
noted. First, note in Table 28.2 that the number of trades with the money manage-
ment added is slightly less than the amount that could have been expected from
Table 21.3, which comes out to 8,352 (144 * 58), because a few trades signaled
before we attached the money management and could not be taken because of the
financial constraints we applied to the strategy. The signals are still there, but
because we were already fully invested, we couldn’t take the trades.
Second, the trades missing, combined with a few missing markets (the index-
es), also lower the number of profitable trades. Another reason for a lower per-
centage of profitable trades is that we have added a cost of $20 per trade, which
we need to make up for before any individual trade can show a profit.
Third, the profit factor is now at 1.23, which is lower than the 1.32 in Table
21.3. This, too, is a consequence of a lower percentage of profitable trades and the
added costs. But even more so, it is a direct consequence of the money manage-
ment. By altering the amount risked per trade, we also alter the relative size of the
winners and losers, which in turn alters the profit factor.
The average trade length and total time spent in a trade also are much short-
er in Table 28.2 than in Table 21.3. As mentioned in Part 3, this is because, in Table
21.3 we also count holidays and weekends, which are excluded in Table 28.2.Strategy
Long-term filter: RS system No. 1
Short-term systems: The stop-loss version of the Meander system v. 1.0
Markets: 28 Dow stocks, 30 NASDAQ stocks, for a total of 58 system-
market combinations (symacs)
Tables 28.2 and 28.3, and Figures 28.1 and 28.2 show the results for this
strategy traded on the 58 stocks used for the research. (For the initial research, we
used 30 stocks each from the Dow Jones Index and NASDAQ 100 index, with
Intel and Microsoft in both groups.) To give you a feel for how this strategy hasCHAPTER 28 Combined Money Market Strategies 345
Index Dow Jones S&P 500 NASDAQ 100
Annual comp. return 9.68% 7.09% 9.50%
Sharpe yearly 0.65 0.40 0.22
Max drawdown 36% 50% 82%
Longest flat time 30 months 27 months 27 months
Profitable months 63% 61% 56%TABLE 28.1
Benchmark Comparisons, January 1993–July 2002