John Pitera's Market Laboratory Message Board

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Strategies & Market Trends : John Pitera's Market Laboratory

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To: John Pitera who wrote (2579)	8/9/2000 12:09:23 PM
From: YxY	Read Replies (1) of 33421

This is a simple and interesting system but How do you evaluate it ? FWIW I have backtested it on the NAZ Composite index since mid 92 on the long side only. A portfolio invested in the system would be valued now at 2578 against 3860 if invested in NAZ as a buy and hold. Also according to my backtest the portfolio valuation has always remained quite lower than a buy and hold portfolio. Out of 51 trades 19 were winning trades and 32 were loosing trades with a 12.3% average gain for winners (best was 58.30%) and 2.17% loss for loosing trades (worst was 8.40%) Do you have the same kind of results ?

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