Originally featured in November 2002, this countertrend system looks for
long positions when everyone else is selling short and vice versa. It is based on the
premise that no trend lasts forever, and the longer one lasts, the more likely a
short-term reversal will occur.
The system will take a position against the prevailing intermediate-term
trend if a price has moved in the same direction for two weeks in a row and for two
days in a row in the most recent week. The reversal that follows won’t necessarily
be of the same magnitude as the trend preceding it, but many times it will be large
enough to generate a steady profit for the system.CHAPTER 28 Combined Money Market Strategies 375
Profitability Trade statistics
End. equity ($): 4,868,697 No. trades: 18,893
Total return (%): 387 Avg. trade ($): 205
Avg. annual ret. (%): 17.96 Avg. DIT: 2.3
Profit factor: 1.24 Avg. win/loss ($): 2,870 (1,343)
Avg. tied cap (%): 57 Lrg. win/loss ($): 26,242 (22,755)
Win. months (%): 72 Win. trades (%): 38.4
Drawdown TIM (%): 100 28.0
Max DD (%): 7.3 Tr./Mark./Year: 32.9
Longest flat (M): 6.1 Tr./Month: 164.3TABLE 28.19
The Results for the Counterpunch StrategyCumulative 12 months 24 months 36 months 48 months 60 months
Most recent: 11.45% 37.60% 69.74% 144.87% 180.09%
Average: 17.80% 41.09% 69.79% 102.36% 137.81%
Best: 47.83% 82.37% 128.21% 153.66% 183.47%
Worst: 4.23% 10.48% 34.46% 47.01% 63.91%
St. dev: 10.14% 19.19% 28.64% 37.53% 39.14%
Annualized 12 months 24 months 36 months 48 months 60 months
Most recent: 11.45% 17.30% 19.29% 25.09% 22.87%
Average: 17.80% 18.78% 19.30% 19.27% 18.92%
Best: 47.83% 35.04% 31.66% 26.20% 23.17%
Worst: 4.23% 5.11% 10.37% 10.11% 10.39%
St. dev: 10.14% 9.17% 8.76% 8.29% 6.83%TABLE 28.20
The Rolling Time-window Analysis for the Counterpunch Strategy