STRATEGY 12
Long-term filters: Either the relative-strength bands or the rotation, work-
ing independently of 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 NASDAQ stocks, for a total of 60 symacsThe very last strategy is the same as the previous one, except 10 Dow stocks are
replaced by 10 NASDAQ stocks. In this case, the average annual return comes out
to 12.24 percent, the Sharpe ratio to 0.34, the maximum drawdown to 36 percent,
and the longest flat time to 21.5 months.
Comparing these numbers to the buy-and-hold stats for the NASDAQ 100 in
Table 28.1, we can see that this strategy is doing much better, not only on an
absolute return basis, but also on a relative basis, than the previous strategy did
when compared to the buy-and-hold stats for the Dow. In this case, the only num-
ber that does not hold up is the percentage of profitable months, which, at a mere
53 percent, is not only lower than the 56 percent for the buy-and-hold strategy, but
also much lower than we would like it to be.
Two good things are that the drawdown is much lower and the flat time is
much shorter than for the buy-and-hold strategy. Although the latest bear marketCHAPTER 28 Combined Money Market Strategies 369
FIGURE 28.16
The drawdown curve for Strategy 11.