|
Table 3.
Current Real-time Results
Trading System Mostly USA Versions 1.0 and 2.0
Including Short Sales
From October 15, 2004 to
the Present
See footnotes below
|
Market |
|
|
Event |
|
|
$ |
% |
weeks |
*avg |
cum% |
cum% |
|
|
Trend |
Date |
Fund |
Buy |
Sell |
Date |
Gain |
Gain |
held |
%Gain |
Gain |
SP500 |
SP500 |
|
up |
8/27/2004 |
XLE |
31.50 |
36.58 |
12/24/2004 |
5.08 |
16.1 |
17 |
16.1 |
8.1 |
8.9 |
1205 |
|
up |
8/27/2004 |
OIH |
73.00 |
82.60 |
12/3/2004 |
9.60 |
13.2 |
14 |
14.6 |
15.2 |
7.7 |
1191 |
|
up |
12/3/2004 |
HHH |
70.42 |
66.74 |
1/7/2005 |
-3.68 |
-5.2 |
5 |
8.0 |
12.2 |
7.2 |
1186 |
|
up |
12/24/2004 |
IJR |
162.88 |
153.46 |
1/7/2005 |
-9.42 |
-5.8 |
2 |
4.6 |
8.9 |
7.2 |
1186 |
|
down |
2/25/2005 |
SMH |
34.47 |
31.48 |
1/7/2005 |
-2.99 |
-9.5 |
7 |
1.8 |
-1.4 |
9.5 |
1211 |
|
down |
5/20/2005 |
HHH |
57.12 |
56.80 |
2/25/2005 |
-0.32 |
-0.6 |
12 |
1.4 |
-2.0 |
7.9 |
1194 |
|
up |
5/20/2005 |
BBH |
164.72 |
189.54 |
8/26/2005 |
24.82 |
15.1 |
14 |
3.3 |
5.4 |
8.9 |
1205 |
|
up |
5/20/2005 |
XLE |
39.90 |
47.18 |
7/22/2005 |
7.28 |
18.2 |
9 |
5.2 |
15.0 |
11.1 |
1229 |
|
up |
7/22/2005 |
OIH |
111.09 |
112.86 |
8/26/2005 |
1.77 |
1.6 |
5 |
4.8 |
15.9 |
8.9 |
1205 |
|
down |
9/9/2005 |
DIA |
106.70 |
103.90 |
8/26/2005 |
-2.80 |
-2.7 |
2 |
4.0 |
12.8 |
8.9 |
1205 |
|
down |
11/18/2005 |
OEX |
574.69 |
574.13 |
9/9/2005 |
-0.56 |
-0.1 |
10 |
3.7 |
12.7 |
12.8 |
1248 |
|
up |
11/18/2005 |
EWJ |
12.62 |
13.27 |
12/30/2005 |
0.65 |
5.2 |
6 |
3.8 |
15.6 |
12.8 |
1248 |
|
up |
11/18/2005 |
BBH |
210.15 |
208.80 |
11/25/2005 |
-1.35 |
-0.6 |
1 |
3.4 |
15.2 |
14.6 |
1268 |
|
up |
11/25/2005 |
OIH |
126.25 |
130.23 |
12/30/2005 |
3.98 |
3.2 |
5 |
3.4 |
17.0 |
12.8 |
1248 |
|
down |
2/24/2006 |
OEX |
583.75 |
570.00 |
12/30/2005 |
-13.75 |
-2.4 |
8 |
3.0 |
14.2 |
16.5 |
1289 |
|
down |
7/28/2006 |
HHH |
45.12 |
60.00 |
2/27/2006 |
14.88 |
24.8 |
21 |
4.4 |
42.5 |
15.6 |
1279 |
|
up |
7/28/2006 |
XLE |
58.20 |
50.70 |
9/22/2006 |
-7.50 |
-12.9 |
8 |
3.4 |
33.4 |
18.8 |
1315 |
|
up |
7/28/2006 |
EFA |
65.94 |
69.22 |
10/13/2006 |
3.28 |
5.0 |
11 |
3.5 |
36.7 |
23.4 |
1366 |
|
up |
9/22/2006 |
XLF |
34.41 |
35.02 |
10/20/2006 |
0.61 |
1.8 |
4 |
3.4 |
37.9 |
23.7 |
1369 |
|
up |
10/13/2006 |
OEX |
633.61 |
652.60 |
11/17/2006 |
18.99 |
3.0 |
5 |
3.4 |
40.0 |
26.6 |
1401 |
|
up |
10/20/2006 |
XLK |
22.75 |
22.98 |
12/22/2006 |
0.23 |
1.0 |
9 |
3.2 |
40.7 |
27.5 |
1411 |
|
up |
11/17/2006 |
QQQQ |
44.16 |
42.93 |
12/22/2006 |
-1.23 |
-2.8 |
5 |
3.0 |
38.7 |
27.5 |
1411 |
|
down |
2/9/2007 |
SMH |
33.92 |
33.27 |
12/22/2006 |
-0.65 |
-2.0 |
7 |
2.8 |
36.0 |
30.0 |
1438 |
|
down |
3/23/2007 |
OIH |
147.72 |
137.00 |
2/9/2007 |
-10.72 |
-7.8 |
6 |
2.3 |
25.4 |
29.8 |
1436 |
|
down |
4/20/2007 |
BBH |
187.99 |
177.50 |
3/23/2007 |
-10.49 |
-5.9 |
4 |
2.0 |
17.9 |
34.2 |
1484 |
|
up |
4/20/2007 |
EFA |
79.60 |
80.69 |
5/11/07 |
1.09 |
1.4 |
3 |
2.0 |
18.8 |
36.1 |
1506 |
|
up |
4/20/2007 |
MDY |
159.91 |
161.29 |
4/27/2007 |
1.38 |
0.9 |
1 |
1.9 |
19.3 |
35.0 |
1494 |
|
up |
4/27/2007 |
OIH |
159.99 |
170.26 |
5/18/2007 |
10.27 |
6.4 |
3 |
2.1 |
23.1 |
37.6 |
1523 |
|
up |
5/11/07 |
XLE |
65.19 |
68.07 |
5/18/2007 |
2.88 |
4.4 |
1 |
2.2 |
25.8 |
37.6 |
1523 |
|
down |
6/1/2007 |
BBH |
182.25 |
178.04 |
5/18/2007 |
-4.21 |
-2.4 |
2 |
2.0 |
22.8 |
38.9 |
1536 |
|
up |
6/1/2007 |
OIH |
169.15 |
167.76 |
6/8/2007 |
-1.39 |
-0.8 |
1 |
1.9 |
22.3 |
36.3 |
1508 |
|
up |
6/1/2007 |
XLE |
68.73 |
68.06 |
6/8/2007 |
-0.67 |
-1.0 |
1 |
1.8 |
21.7 |
36.3 |
1508 |
|
down |
9/14/2007 |
BBH |
172.00 |
179.18 |
6/8/2007 |
7.18 |
4.0 |
14 |
1.9 |
26.6 |
29.8 |
1436 |
|
up |
9/14/2007 |
OIH |
182.90 |
190.41 |
11/2/2007 |
7.51 |
4.1 |
7 |
2.0 |
29.2 |
36.1 |
1506 |
|
up |
9/14/2007 |
XLE |
72.35 |
74.97 |
11/2/2007 |
2.62 |
3.6 |
7 |
2.0 |
31.6 |
36.1 |
1506 |
|
down |
12/7/2007 |
XLF |
31.54 |
30.96 |
11/2/2007 |
-0.58 |
-1.9 |
5 |
1.9 |
29.1 |
36.0 |
1505 |
|
down |
12/14/2007 |
SMH |
32.56 |
33.50 |
12/7/2007 |
0.94 |
2.8 |
1 |
1.9 |
32.7 |
32.4 |
1465 |
|
down |
2/8/2008 |
XLF |
27.07 |
29.20 |
12/14/2007 |
2.13 |
7.3 |
8 |
2.1 |
42.4 |
20.4 |
1332 |
|
down |
2/29/2008 |
SMH |
28.58 |
28.20 |
2/8/2008 |
-0.38 |
-1.3 |
3 |
2.0 |
40.5 |
20.2 |
1330 |
|
up |
2/29/2008 |
XLE |
76.10 |
86.60 |
6/6/2008 |
10.50 |
13.8 |
14 |
2.3 |
50.2 |
23.0 |
1361 |
|
up |
2/29/2008 |
IBB |
75.74 |
73.20 |
3/7/2008 |
-2.54 |
-3.4 |
1 |
2.1 |
38.1 |
16.9 |
1293 |
|
up |
3/7/2008 |
BBH |
169.80 |
168.35 |
4/18/2008 |
-1.45 |
-0.9 |
6 |
2.1 |
37.5 |
25.4 |
1388 |
|
up |
4/18/2008 |
OIH |
208.73 |
213.00 |
6/6/2008 |
4.27 |
2.0 |
7 |
2.1 |
38.9 |
25.4 |
1388 |
|
down** |
7/16/2008 |
XLF |
17.75 |
23.46 |
6/6/2008 |
5.71 |
24.3 |
6 |
2.6 |
72.8 |
9.8 |
1215 |
|
down |
8/8/2008 |
DIA |
117.03 |
115.41 |
7/18/2008 |
-1.62 |
-1.4 |
3 |
2.5 |
70.3 |
17.0 |
1294 |
|
up |
8/8/2008 |
OIH |
181.67 |
179.96 |
8/15/2008 |
-1.71 |
-0.9 |
1 |
2.4 |
69.5 |
17.3 |
1298 |
|
up |
8/8/2008 |
BBH |
201.70 |
187.94 |
9/26/2008 |
-13.76 |
-6.8 |
7 |
2.2 |
63.7 |
9.3 |
1209 |
|
up |
8/15/2008 |
IBB |
90.29 |
83.58 |
9/26/2008 |
-6.71 |
-7.4 |
6 |
2.0 |
57.7 |
9.3 |
1209 |
|
down |
10/3/2008 |
EFA |
51.18 |
56.78 |
9/26/2008 |
5.60 |
9.9 |
1 |
2.2 |
73.2 |
-0.8 |
1098 |
|
down |
1/2/2009 |
OIH |
79.15 |
120.36 |
10/3/2008 |
41.21 |
34.2 |
13 |
2.8 |
132.5 |
-16.0 |
929 |
|
up |
1/2/2009 |
BBH |
90.56 |
86.97 |
5/8/2009 |
-3.59 |
-4.0 |
18 |
2.7 |
127.9 |
-16.6 |
923 |
|
up |
1/2/2009 |
IBB |
71.95 |
64.45 |
4/3/2009 |
-7.50 |
-10.4 |
13 |
2.4 |
120.4 |
-24.1 |
840 |
|
up |
4/3/2009 |
HHH |
37.01 |
42.96 |
6/26/2009 |
5.95 |
16.1 |
12 |
2.7 |
146.2 |
-16.9 |
920 |
|
up |
5/8/2009 |
XLK |
16.93 |
17.00 |
5/15/2009 |
0.07 |
0.4 |
1 |
2.6 |
120.9 |
-19.9 |
886 |
|
up |
5/15/2009 |
QQQQ |
33.59 |
36.28 |
6/12/2009 |
2.69 |
8.0 |
4 |
2.7 |
129.7 |
-14.8 |
942 |
|
up |
6/12/2009 |
OIH |
109.31 |
100.77 |
6/26/2009 |
-8.54 |
-7.8 |
2 |
2.6 |
120.7 |
-16.9 |
920 |
|
down |
7/17/2009 |
IBB |
72.29 |
72.82 |
6/26/2009 |
0.53 |
0.7 |
3 |
2.5 |
122.3 |
-14.9 |
942 |
|
down |
10/9/2009 |
XLE |
56.60 |
49.09 |
7/17/2009 |
-7.51 |
-15.3 |
12 |
2.2 |
88.3 |
-3.1 |
1072 |
|
down |
11/20/2009 |
BBH |
96.81 |
100.85 |
10/9/2009 |
4.04 |
4.0 |
6 |
2.2 |
95.9 |
-1.0 |
1095 |
|
down |
11/27/2009 |
EWJ |
9.57 |
9.45 |
11/20/2009 |
-0.12 |
-1.3 |
1 |
2.2 |
93.4 |
-1.4 |
1091 |
|
down |
2/12/2010 |
SP500 |
1079.13 |
1092.40 |
1/22/2010 |
13.27 |
1.2 |
3 |
2.2 |
95.7 |
-2.5 |
1079 |
|
up |
2/12/2010 |
IBB |
85.08 |
91.63 |
4/9/2010 |
6.55 |
7.7 |
8 |
2.3 |
103.3 |
8.0 |
1195 |
|
up |
2/12/2010 |
MDY |
131.38 |
142.34 |
3/12/2010 |
10.96 |
8.3 |
4 |
2.4 |
111.7 |
3.8 |
1149 |
|
up |
3/12/10 |
IJR |
59.44 |
63.30 |
4/30/2010 |
3.86 |
6.5 |
7 |
2.4 |
118.6 |
7.4 |
1189 |
|
up |
4/9/2010 |
HHH |
62.67 |
62.94 |
4/16/2010 |
0.27 |
0.4 |
1 |
2.4 |
119.1 |
7.7 |
1192 |
|
up |
4/16/2010 |
IWM |
71.06 |
73.31 |
4/30/2010 |
2.25 |
3.2 |
2 |
2.4 |
122.5 |
7.4 |
1189 |
|
down |
5/7/2010 |
BBH |
94.41 |
96.81 |
4/30/2010 |
2.40 |
2.5 |
-1 |
2.4 |
128.1 |
1.4 |
1122 |
|
down |
6/11/2010 |
SP500 |
1095.00 |
1122.27 |
5/7/2010 |
27.27 |
2.4 |
-5 |
2.4 |
133.6 |
-1.0 |
1095 |
|
up |
6/11/2010 |
IJR |
58.05 |
59.52 |
6/18/2010 |
1.47 |
2.5 |
1 |
2.4 |
136.6 |
7.7 |
1192 |
|
up |
6/11/2010 |
MDY |
139.47 |
142.15 |
6/18/2010 |
2.68 |
1.9 |
1 |
2.4 |
138.8 |
7.7 |
1192 |
|
up |
6/18/2010 |
SMH |
28.86 |
27.14 |
6/25/2010 |
-1.72 |
-6.0 |
1 |
2.3 |
131.7 |
-2.6 |
1078 |
|
up |
6/18/2010 |
QQQQ |
47.60 |
45.27 |
6/25/2010 |
-2.33 |
-4.9 |
1 |
2.2 |
126.0 |
-2.6 |
1078 |
|
down* |
7/9/2010 |
SP500 |
1077.23 |
1077.50 |
6/25/2010 |
0.27 |
0.0 |
-2 |
2.2 |
126.1 |
-2.6 |
1077 |
|
up |
7/9/2010 |
SMH |
27.30 |
-- |
Open |
|
|
|
|
|
|
|
|
up |
7/9/2010 |
DIA |
101.87 |
-- |
Open |
|
|
|
|
|
|
|
Symbol Lookup
* This is the latest dated row which contains all closed trades.
Friday dates, Monday opening prices.
** This date is a Wednesday, due to special circumstances.
When new trades occur, time lapses
before posting here.
Allow up to three weeks from transaction date.
The earlier of the two dates in each row is the entry
signal date
from the weekly letters for the 'Event' (Buy
or Sell).
The later date is the exit date. For short
sales, the second date is the entry date.
The Sell column
includes original short sales.
Short-sale dates are
shaded gray.
cumul %Gain assumes a
two-fund long or one-fund short portfolio at all times.
avg %Gain is the average profit of all trades since
inception.
This table overlaps the 18-year and
2.5-year back-test tables.
Dividends, interest, and
transaction costs are not included.
'Event' prices are
based on Friday closing signals and
show Monday's first
opening prices at or after 9:30am ET.
Real-time. These prices really happened on the dates specified.
But unless you personally participated in the reported openings,
the table is hypothetical relative to yourself.
The table has
been revised since it was first published
to reflect as
accurately as possible
a record of real-world results as
they occur.
There was one period which lasted nine
weeks out of 2.5 years
during which the SP500 did 3%
better than the System.
The risk of the System
underperforming a buy/hold approach
to the market always
remains but appears unlikely
based on 18 years of
backtesting.
Modifications and effective dates:
9-4-09: Lagging Trend quickened; result:
four percentage points per annum improvement in returns.
11-27-09: Timing module replaced and sell-short positions are limited
exclusively to the S&P500 or its equivalents: result:
annualized
test returns moved up from 25% to 29% per year.
Modifications do not alter any previously reported
Real-time Results.
All real-time results are
reported as they occur.
Some of my data handling is manual. Errors can occur.
If you spot any, please let know, and I will correct them.
Beyond that, this page is the Rock of Gibraltar;
except for fixing errors,
no alterations
permitted after the fact.
|
On 6/2/2006, a system processing
error gave bad signals. They were fixed within one trading
day, 6/6, and were announced to be corrected in the real-time
results records as of the opening on either 6/7 or 6/8. They
were 'corrected' on 6/8, the worse of the two openings.
Possible net combined errors up to -0.8% could have occurred
in real accounts in real-time. See mistakes.
On 12/4/2009, a system processing
error created some corrupted data in the rankings table. It was discovered and fixed 1/15/2010. No losses occurred. Real-time system signals are not affected.
On 4/30/2010, BBH was erroneously recommended, forgetting the 11/27/09 policy change of using only the S&P 500 for short selling from that date forward. A profit of 2.4% resulted on the immediate cover purchase next week.
|
DATA/3PORT/ARCHV/WKLY/TRADWORK
©
2005-10 THE 2000 CORPORATION
ALL RIGHTS RESERVED
| | |