AI
Tuesday, October 03, 2006 5:01:49 AM
daaverage.- all the results are based on end of day prices. The Profunds systems in updated weekly and the IMS daily.
I used the IMS system to give me a bias in how to position option spreads trying to play them in the way that NM does/did in the CS board.
Currently the system is long and in the next sell signal I will be shorting it using profunds together with spreads. This system is a market system, I mean it is not specific for Q's but I found that the best returns come from using the Q's as vehicle.
I basically finished the system early this year with very good results, only one small loosing trade, but I have backtested it until 2000. I prefer not to comment on that because results are incredible good. I rather concentrate in the negatives of it which are these trades:
Initiated..........IN......OUT
24/01/00 short 183.25 208.50 -12.1% loss
19/04/00 long 89.19 90.75 1.7%(win) but drawdown -16.1%
16/03/01 long 41.20 48.65 18.1%(win) but drawdown -17.4%
After those years the system shows a robust performance.
The signals for this year:
I used the IMS system to give me a bias in how to position option spreads trying to play them in the way that NM does/did in the CS board.
Currently the system is long and in the next sell signal I will be shorting it using profunds together with spreads. This system is a market system, I mean it is not specific for Q's but I found that the best returns come from using the Q's as vehicle.
I basically finished the system early this year with very good results, only one small loosing trade, but I have backtested it until 2000. I prefer not to comment on that because results are incredible good. I rather concentrate in the negatives of it which are these trades:
Initiated..........IN......OUT
24/01/00 short 183.25 208.50 -12.1% loss
19/04/00 long 89.19 90.75 1.7%(win) but drawdown -16.1%
16/03/01 long 41.20 48.65 18.1%(win) but drawdown -17.4%
After those years the system shows a robust performance.
The signals for this year:
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