Replies to post #25930 on Profunds index and sector trading (PRO)

[positiontrader]

Thanks AJ

I also found this


Posted by: augieboo
In reply to: market_watcher who wrote msg# 6117 Date:8/4/2003 1:27:29 AM
Post #of 40945

Thanks market_watcher, that's just the kind of thing I was looking for. (:

I should have pointed out though, that the percentage gains X number of days post buy-signal were cumulative. In other words, day 4 was the TOTAL gain/loss four days after the signal. Of course I didn't even realize it was important until I tried to duplicate your results.

Sorry to say the total I come up with is "only" $13.9 per dollar invested. DARN! {g}

In any event, it got me going in the right direction, and I've added another parameter to the ST buy signal. The original signal was simply a cross of the ST indicator above its trigger line, which is just a 3 day EMA. I added to that the requirement that the IT indicator must be trending up. Perhaps "ticking" up would be more accurate, since I only require that it be above its own level from the previous day.

This cut the number of trades about in half, and netted less money by the time of the crash, about $1.5 million vs the earlier $1.7 million. (Starting with $100,000.) On the other hand, the percentage loss in the crash is smaller, with the drop going to just under $1 million vs $950K for the single buy signal version.

Most promising of all is that the new system is back up to $1.76 million (as of 06/26/03) vs the orginal system, which only got back up to $1.39 million! (:

Here, check it out!