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Performance Comparison
Worldwide ETFs & Mostly USA ETFs
Trading Systems vs. Market Indexes
Hypothetical Results--Yearly
2002 through 2008
|
Value |
|
|
|
|
Yearly % Gain |
|
|
SP500 |
NDX |
USA |
WW |
|
SP500 |
NDX |
USA |
WW |
|
start date* |
1111 |
1352 |
100 |
100 |
|
a |
a |
a |
b |
|
12/27/2002 |
875 |
998 |
149 |
119 |
|
-21.2 |
-26.2 |
49.1 |
19.4 |
|
12/26/2003 |
1096 |
1144 |
224 |
199 |
|
25.2 |
44.7 |
50.2 |
66.8 |
|
12/31/2004 |
1212 |
1621 |
276 |
235 |
|
10.6 |
12.3 |
23.1 |
17.9 |
|
12/30/2005 |
1248 |
1645 |
309 |
326 |
|
3.0 |
1.5 |
12.1 |
39.0 |
|
12/29/2006 |
1418 |
1757 |
385 |
407 |
|
13.6 |
6.8 |
24.6 |
24.7 |
|
12/28/2007 |
1478 |
2107 |
409 |
552 |
|
4.2 |
19.9 |
6.2 |
35.7 |
|
12/26/2008 |
873 |
1185 |
529 |
804 |
|
-41.0 |
-43.7 |
29.4 |
45.6 |
|
|
|
|
|
|
|
|
|
|
|
total %gain |
-21 |
-12 |
429 |
704 |
|
* |
a 4/12/2002 |
|
|
compound %/yr |
-3.5 |
-1.9 |
28.2 |
36.4 |
|
|
b 6/21/2002 |
|
|
|
|
|
|
|
|
|
|
|
|
worst drawdown % |
-48.8 |
-51.0 |
-25.5 |
-30.3 |
|
|
|
|
|
|
duration-weeks |
59 |
55 |
21 |
11 |
|
|
|
|
|
|
CF** |
-0.4 |
-0.2 |
17 |
23 |
|
|
|
|
|
(Real-time Results here)
Descriptions
Mostly USA (USA) is a portfolio holding 17 ETFs, all big, volatile, and actively traded. It tends to have slower tempo and less volativity with fewer trades per year and lower drawdown events. It is a good proxy for the U.S. stock market.
Worldwide (WW) 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. It reflects well the global stock market.
Market Indexes: Standard & Poor's 500 Composite Stock Index (SP500) and the Nasdaq 100 Index (NDX).
** CF is the 'Copernicus Factor'. See below.
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TABLE NOTES
The systems and methods on the site use Friday closing prices exclusively.
The table is based on final Friday of the year closing prices.
It excludes dividends, interest, or expenses, if any.
No margin or leverage is used.
Systems results include short sales.
'Drawdown' is the maximum percent decline from a price peak until the next price above the peak.
It is not a realized loss but can create mental stress.
The Copernicus Factor (CF) takes the best thing that can happen to you, gains, and compares it with the worst thing that can happen
to you outside your control, drawdowns.
CF is the ratio of total % gain divided by the worst drawdown.
Hypothetical means that part of the systems' results
are based on historic testing, that is, they did not occur in real time. They have been real-time, subject to periodic modifications, since August 2004 for Mostly USA and May 2006 for Worldwide, that is,
they actually took place
based on real prices that occurred when
signals to buy or sell were given.
These results include systems upgrades after the fact.
See modifications for Worldwide here.
Adaptivity is a systems policy. It is discussed here.
Other factors, including if the systems themselves had existed
and been in common use at the time of the test,
might thave affected results
adversely (or beneficially).
The table does not foretell the future.
More comments and caveats are included by reference
here and should be read in connection
with these results.
N.B. Since all calendar reporting conventions are arbitrary and random, unusually high or low results should not be special cause for excessive elation or disappointment.
Perhaps now is a good time
for your
periodic review of
Expectations vs Reality
and/or the Most Important Page.
Some of my data handling is manual. Errors can occur.
If you spot any, please let know, and I will correct them.
Complete list of all trades to date
posted
through current open positions
here
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There are two key pages on this site. Each takes less than 20 seconds a week to read. With either of these, you will need nothing else. They are clear, short, complete, simple, action specific. See to believe. Past samples: one,
two. Free trial here
The rest of the site is full explanation, abundant details, and extensive documentation with ample comparisons and illustrations--all optional, at your convenience. The letters alone provide you with total, brief instructions for weekly action. Use either or both.
A third key page ranks 100 stocks in three portfolios weekly. The top ten and bottom five are shown here.
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data sources: Telechart, 'Copernicus'
Xworking/--3portf / RESLT-YR
© 2009 The 2000 Corporation
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