ETF SWING & DAY TRADING

[MetalFillBoy]

RE: KovuLK: Using the CSGCOS, EOD or Next open.

Morning KovuLK!

I think the original intent of this system was to trade the various Profund and Rydex, 1X and 2X leveraged funds at EOD. You would be correct in that if you wanted to trade open the next day, you would have to use the Q's, either with leverage (2X) or without leverage (1X). However, it has already been shown that if you use the Q's to trades this system, the results can be, at times, significantly different. I think that tclark1 or emgall did a back test using the Q's instead of the NDX.

So that would beg the question: "What if we bought EOD next day vs. EOD same day?". The short answer: Don't! :o) See results below for EOD next day: (from 1/1/96 to 12/31/2005)

Hope this helps clarify things.

Thanks!

Performance for ^NDX

Total net profit: 58821.66 Total commissions paid: 0.00
Return on account: 588.22 % Open position gain/loss -1323.56
Buy&Hold profit: 18077.96 Bars (days) in test: 2519 (3651)
Buy&Hold % return: 180.78% System to Buy&Hold index: 225.38%

Annual system % return: 21.27% Annual B&H % return: 10.87%

System drawdown: -661.73 B&H drawdown: -879.27
Max. system drawdown: -39893.53 B&H max. drawdown: -66561.25
Max. system % drawdown: -62.50% B&H max. % drawdown: -82.90%
Max. trade drawdown: -11652.68
Max. trade % drawdown: -31.09%
Trade drawdown: -9678.49

Total number of trades: 374 Percent profitable: 50.0%
Number winning trades: 187 Number losing trades: 187
Profit of winners: 252283.67 Loss of losers: -192138.45
Total # of bars in winners: 1764 Total # of bars in losers: 1105
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00

Largest winning trade: 9519.00 Largest losing trade: -8103.78
# of bars in largest winner: 31 # bars in largest loser: 45
Commission paid in largest winner: 0.00 Commission paid in largest loser: 0.00

Average winning trade: 1349.11 Average losing trade: -1027.48
Avg. # of bars in winners: 9.4 Avg. # bars in losers: 5.9
Avg. commission paid in winner: 0.00 Avg. commission paid in loser: 0.00
Max consec. winners: 8 Max consec. losers: 6

Bars out of the market: 1 Interest earned: 0.00

Exposure: 100.0% Risk adjusted ann. return: 21.28%
Ratio avg win/avg loss: 1.31 Avg. trade (win & loss): 160.82
Profit factor: 1.31