(Because of the compounding effect, making the same money over half the time
requires an average annual return for the shorter time period that is more than dou-
ble the return of the longer period.)
Had it just so happened that the stocks used in the test were available for trad-
ing from the very beginning, most likely the results would have been much better
with both a higher average annual return and Sharpe ratio, which now comes out
to 0.36. I doubt, however, that we could have done that much about the latest 41
percent drawdown in the current bear market. Perhaps it wouldn’t have been quite
as severe, but judging from all the other strategies that use the NASDAQ stocks,
we still would have been in a deep drawdown, no matter which and how many
NASDAQ stocks we traded. If anything, perhaps one or two more equity highs
would have broken apart the current flat period into several shorter periods.STRATEGY 11
Long-term filters: Either the relative-strength bands or the rotation, work-
ing independently from one another
Short-term systems: Both versions of hybrid system No. 1, Meander sys-
tem v.1.0, and the volume-weighted average system
Markets: 10 Dow stocks, for a total of 60 symacs366 PART 4 Money Management
FIGURE 28.14
The equity curve for Strategy 10.