surpassing 15 percent on the way. But as soon as the bear market grabs hold of it,
the results are less tantalizing. Maybe the thing to do with this strategy would be
to put it aside for now and then use it as a complement to other strategies once the
long-term trend shows signs of having reversed itself?STRATEGY 10
Long-term filter: Rotation
Short-term systems: Same as for Strategy 9, plus the stop-loss versions of
the Harris 3L-R pattern variation and the expert exits system, and the trail-
ing-stop version of the expert exits system
Markets: 10 NASDAQ stocks, for a total of 60 symacsHere’s another example of a very aggressively traded strategy. In this case, I sub-
stituted the systems trading Dow stocks with three more systems trading the NAS-
DAQ stocks. The systems added are the stop-loss versions of the Harris 3L-R pat-
tern variation and expert exits systems, and the trailing-stop version of the expert
exits system. All systems and markets were tested with the fictive risk set to 25
percent.
This time the percentage of winning months, at 49 percent, is definitely too
low. But looking at the equity curve, we can see that the reason is the long periods
of complete inactivity early on in the testing period. This occurs because a few of
the 10 stocks used in the testing weren’t trading at the time, which also explains
the exceptionally long flat period and slow equity growth over the first half of the
period. (I picked the stocks at random, so I had no way of controlling this.)
Excluding this period from the testing, the average annual return, which now
comes out to 16.6 percent, most likely would have been at least twice as high.CHAPTER 28 Combined Money Market Strategies 365
Profitability Trade statistics
End. equity ($): 4,372,678 No. trades: 1,377
Total return (%): 337 Avg. trade ($): 2,449
Avg. annual ret. (%): 16.64 Avg. DIT: 3.2
Profit factor: 1.15 Avg. win/loss ($): 36,194 (30,097)
Avg. tied cap (%): 70 Lrg. win/loss ($): 727,346 (452,035)
Win. Months (%): 49 Win. trades (%): 47.2
Drawdown TIM (%): 66 3.1
Max DD (%): 40.9 Tr./Mark./Year: 2.4
Longest flat (M): 32.0 Tr./Month: 12.0TABLE 28.14
Strategy 10 Results