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

STRATEGY 3

 Long-term filter: RS system No. 1


 Short-term systems: The trailing-stop version of the volume-weighted aver-

age system


 Markets: 28 Dow stocks, 30 NASDAQ stocks for a total of 58 symacs

This strategy has been tested on all 58 stocks, with a fictive risk of 2 percent for

the Dow stocks and 6 percent for the NASDAQ stocks. The asymmetrical risk

between the two groups of stocks is another way of making the most out of the sys-

tem and the markets it is applied to. The Sharpe ratio for this strategy comes out

352 PART 4 Money Management

Profitability Trade statistics

End. equity ($): 2,767,231 No. trades: 2,904

Total return (%): 177 Avg. trade ($): 609

Avg. annual ret. (%): 11.21 Avg. DIT: 4.6

Profit factor: 1.14 Avg. win/loss ($): 9,504 (9,715)

Avg. tied cap (%): 55 Lrg. win/loss ($): 144,675 (124,133)

Win. months (%): 61 Win. trades (%): 51.5

Drawdown TIM (%): 99 9.2

Max DD (%): 28.9 Tr./Mark./Year: 5.1

Longest flat (M): 23.0 Tr./Month: 25.3

TABLE 28.6

Strategy 3 Results

Cumulative 12 months 24 months 36 months 48 months 60 months

Most recent: –14.33% –27.86% 1.71% 33.63% 46.37%

Average: 14.58% 34.74% 59.26% 87.46% 120.36%

Best: 42.05% 85.23% 112.12% 156.93% 171.25%

Worst: –18.50% –27.86% 1.71% 28.95% 46.37%

St. dev: 13.78% 19.82% 21.09% 27.03% 27.51%

Annualized 12 months 24 months 36 months 48 months 60 months

Most recent: –14.33% –15.06% 0.57% 7.52% 7.92%

Average: 14.58% 16.08% 16.78% 17.01% 17.12%

Best: 42.05% 36.10% 28.49% 26.61% 22.09%

Worst: –18.50% –15.06% 0.57% 6.56% 7.92%

St. dev: 13.78% 9.46% 6.59% 6.16% 4.98%

TABLE 28.7

Strategy 3 Time-window Analysis