Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

Strategy

 Long-term filter: RS system No. 1


 Short-term systems: Both stop-loss and trailing-stop versions of the

Meander system v. 1.0


 Markets: 28 Dow stocks, for a total of 56 symacs

Tables 28.4 and 28.5, and Figures 28.3 and 28.4 show the result from trading both

the stop-loss version and the trailing-stop version of the Meander system on the

Dow Jones stocks. In this case, we take the initial $1,000,000 to $2.9 million, for

an average annual return of 11.72 percent over the 10-year testing period. The

Sharpe ratio came out to 1.42.

CHAPTER 28 Combined Money Market Strategies 349

Profitability Trade statistics

End. equity ($): 2,892,596 No. trades: 7,176

Total return (%): 189 Avg. trade ($): 264

Avg. annual ret. (%): 11.72 Avg. DIT: 6.0

Profit factor: 1.26 Avg. win/loss ($): 2,310 (1,950)

Avg. tied cap (%): 53 Lrg. win/loss ($): 29,226 (17,471)

Win. months (%): 69 Win. trades (%): 48.2

Drawdown TIM (%): 100 30.6

Max DD (%): 10.8 Tr./Mark./Year: 12.5

Longest flat (M): 9.9 Tr./Month: 62.4

TABLE 28.4

Strategy 2 Results

Cumulative 12 months 24 months 36 months 48 months 60 months

Most recent: –4.28% –0.54% 16.20% 29.06% 48.57%

Average: 13.24% 30.73% 51.44% 74.58% 101.28%

Best: 34.89% 54.36% 82.71% 110.11% 132.33%

Worst: –4.69% –0.54% 16.20% 24.47% 46.36%

St. dev: 8.26% 12.03% 16.60% 21.44% 22.14%

Annualized 12 months 24 months 36 months 48 months 60 months

Most recent: –4.28% –0.27% 5.13% 6.59% 8.24%

Average: 13.24% 14.34% 14.84% 14.95% 15.02%

Best: 34.89% 24.24% 22.25% 20.40% 18.36%

Worst: –4.69% –0.27% 5.13% 5.63% 7.92%

St. dev: 8.26% 5.85% 5.25% 4.98% 4.08%

TABLE 28.5

Strategy 2 Time-window Analysis