<font color=red>2002 backtest results for the CONSERVATIVE SYSTEM trading the SP500 with Profunds mutual funds.</font>
BLPIX was used for going long the index.BRPIX was used for going short the index.These are not leveraged funds,they are designed to match the index long and short.
*(Trading signals are EOD the day before trade dates)
* Trade dates 2002
Jan.10 short / Feb.27 closed $ 9,999.99 /$10,361.77
Feb.27 long /March 21 closed $10,361.77 /$10,748.59
March 21 short / May 15 closed $10,748.59 /$11,292.99
May 15 long / May 29 closed $11,292.99 /$11,034.55
May 29 short / Aug 9 closed $11,034.55 /$12,690.15
Aug 9 long / Sept 12 closed $12,690.15 /$12,374.96
Sept 12 short / Oct 14 closed $12,374.96 /$13,193.18
Oct 14 long / Dec 5 closed $13,193.18 /$14,189.21
Dec 5 short / Dec 27 closed $14,189.21 /$14,565.74
One problem I see here is one trade is closed and another is opened on the same day.If one is using all their capital in the trade, there will be a lag before they can actually do this.Will have to find out if Profunds allows a direct switch of funds.I think they might.Brokers wouldn't.
Not bad at all though ...45% on the SP500 is damn good.
Caveat:I did this pretty much by hand....Argggh!I need some tools to do this in the future and it would be great if someone would try to doublecheck these results.I used historical prices from Yahoo so perhaps using the Profunds data from their website would be a wise choice for a doublecheck.Regardless,this is very encouraging even if the numbers are a little off...whipsaws were minimal and trends were captured.I think we have something here.
Can't wait to see the leveraged fund numbers and how it performs in a choppier year 2000. |
