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Summary Overview
ETFs & Stocks
Trading
Systems vs. Market Benchmark
Hypothetical Results
2002-2006
|
test |
total |
gain |
trds |
max%
|
ddwn
|
|
wtd |
chrts |
|
System / benchmark |
yrs |
%gain |
%/yr |
/yr |
ddwn
|
wks |
CF
|
CF |
tbles |
|
Worldwide |
4.5 |
260 |
33.4 |
17 |
-16.9 |
18 |
15
|
15 |
•
|
|
Mostly USA |
4.6 |
154 |
22.5 |
8 |
-9.8 |
6 |
16 |
57 |
•
|
|
SP-500 |
4.5 |
43 |
8.3 |
|
-19.1 |
14 |
2 |
3 |
|
|
SP-500 |
4.6 |
24 |
4.8 |
|
-27.0 |
25 |
1 |
1 |
|
|
Portfolio/Stocks |
- |
- |
- |
- |
- |
- |
- |
- |
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The test years begin when the first trading data are available for all the components in each system.The end date is the date when the test was completed. Results since then are 'real-time' and may be viewed on the site.
4.5 years from June 28, 2002 to December 8, 2006
4.6 years from April 12, 2002 to November 10, 2006
Comments. Doesn't it bother you that the test periods are short? Well, yes, it would, but for the fact that the central process in these versions of the system is identical with the central processes in previous tests dating back to 1986.
The central process is the method of sorting and ranking portfolios, based on weekly Friday closing prices alone.
The smoothing and momentum constants have not been changed. You may find an earlier commentary helpful click here. The timing factor, a peripheral process in the versions, has been modified to vary tempo and volatility. It is not essential. You can still get superior results without it.
I would like to see ten years or more of performance data, but only time will cure that, given the fixed, earliest possible dates of the test data. ETFs are a recent development. Long histories of prices do not exist.
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Descriptions
Mostly USA is a portfolio holding 17 ETFs, all big, volatile, and actively traded. It tends to have slower tempo and less volativity as shown by its trades per year and drawdown data. It has the best
CF
and weighted CF on the page.
Worldwide is a portfolio holding 23 ETFs, all big, volatile, and actively traded. The tempo is faster. The gains are bigger. But the mental cost is larger drawdowns.
Portfolio/Stocks is the original site since 1999. It covers 100 stocks divided into three tradeable portfolios with strength rankings and market timing. They were designed originally as, and still are, sets of tools with which to encounter and exploit profitably the Market. Comprehensive testing is underway. Meantime, they are available here for independent research or application.
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TABLE NOTES
Table is prices only, no margin, dividends, interest, or expenses.
Hypothetical means that the numbers in the top three rows
did not occur at the same time as the numbers in the bottom three rows.
All the numbers are 'real', that is, they actually happened.
The upper set just happened later.
They represent how things could have worked out
had they had been applied at the same time as the lower set.
Other factors, including if the system itself had it existed
and
been in common use at the time of the test, it
might thave affected results adversely (or beneficially).
The table does not foretell the future.
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CF is the 'Copernicus Factor'. It measures the best thing that happened
vs. the worst thing that happened during the entire course of a trading period. It is: the total %gain divided by the max% ddwn.
wtd CF equalizes different time periods and duration of drawdowns.
This reduces all portfolios across time to the same scale
for direct comparisons.
It is the best comprehensive metric of the relationship
of investment risk to reward.
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max%ddwn (drawdown) is the largest price decline from the highest price after purchase.
It is not a realized loss but can create
mental distress.
The whole table tells you clearly that if you own stocks or their derivatives,
you will go through periods when you will 'lose' money.
It is law, like the law of Gravity.
The second thing the the table tells you is that you can be
very well paid
for your mental stress.
The first two items are 'winning' systems portfolios of ETFs.
The third item is a trio of portfolios. These provide independent tools to time and rank the markets.
SP-500 is standard market index benchmark which many people use as a self-standing investment itself through index mutual funds or ETFs or options and futures. It is used interchangeably in these tables and charts with SPY, a tradeable ETF that tracks the underlying S&P 500 Common Stock Index.
It is representative of an investment grade portfolio that is bought and held with no trades after initial purchase.
This table best compares with the original table from an
early version of the system (ETFs Mostly USA) that shows the results of different methods of using the tools the system provides. Take a look.
Remember always the probability of a drawdown.
Expect it. Be not surprised when it arrives.
If that bothers you, you should not invest.
If you start, you should commit to a full market cycle.
If you don't commit, you should not start.
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st dev 52wks 24BASE FM542
© 2007 The 2000 Corporation
All rights reserved.
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