For the last two strategies I used two filters working parallel to each other, so that
either one of them can open up a trading opportunity for any of the short-term sys-
tems. The first strategy trades 10 Dow stocks for a total of 60 system–market com-
binations, all traded with a fictive risk of 3 percent.
Tables 28.15 and 28.16 show the result for this strategy. With an average
annual return of 7.42 percent, a Sharpe ratio of 0.59, a maximum drawdown of 34
percent, and a longest flat time of 20 months, these numbers come very close to
those of a buy-and-hold strategy on the Dow. However, one major difference
between a trading strategy like this and a buy-and-hold strategy is that in a buy-
and-hold strategy you need to be in all the stocks all the time, tying up 100 per-CHAPTER 28 Combined Money Market Strategies 367
Profitability Trade statistics
End. equity ($): 1,985,057 No. trades: 4,184
Total return (%): 99 Avg. trade ($): 235
Avg. annual ret. (%): 7.42 Avg. DIT: 5.1
Profit factor: 1.10 Avg. win/loss ($): 4,730 (4,487)
Avg. tied cap (%): 67 Lrg. win/loss ($): 78,548 (36,127)
Win. Months (%): 62 Win. trades (%): 49.9
Drawdown TIM (%): 100 13.8
Max DD (%): 34.2 Tr./Mark./Year: 7.3
Longest flat (M): 20.0 Tr./Month: 36.4TABLE 28.15
Strategy 11 ResultsCumulative 12 months 24 months 36 months 48 months 60 months
Most recent: –19.86% –25.77% –21.25% 0.37% 19.36%
Average: 10.22% 25.88% 45.88% 67.86% 92.96%
Best: 40.68% 59.65% 84.98% 112.35% 151.78%
Worst: –24.93% –25.77% –21.25% –3.97% 11.21%
St. dev: 12.67% 18.45% 23.36% 28.82% 30.64%
Annualized 12 months 24 months 36 months 48 months 60 months
Most recent: –19.86% –13.85% –7.65% 0.09% 3.60%
Average: 10.22% 12.20% 13.41% 13.83% 14.05%
Best: 40.68% 26.35% 22.76% 20.72% 20.28%
Worst: –24.93% –13.85% –7.65% –1.01% 2.15%
St. dev: 12.67% 8.84% 7.25% 6.54% 5.49%TABLE 28.16
Strategy 11 Results