David,
Over the long run, very few systems can beat simple system like Dahl, even with an optimized DNS system, the return is still less than that of the buy and hold. In fact, looking at the yearly result, most of the gain from this particular system, came in 95 and 96. So selecting the right stocks for the type of market is critical. I am still looking for a good "trading market" system, let me know if you know of one!
Jerry
======================================================================
Intel Corp-Daily (09/02/87-04/01/97)
System: Modified DNS
Starting Capital: $100,000
System Analysis
Net Profit $250,551.43 Open Position $0.00
Gross Profit $289,907.29 Interest Earned $281.76
Gross Loss ($39,355.87) Commission Paid $1,103.02
Percent profitable 53.33% Profit factor 7.37
Ratio avg. win/loss 6.45 Adjusted profit factor 3.46
Annual net profit 27.59% Sharpe Ratio 0.37
Return on Initial Capital 250.55% Return Retracement Ratio 1.70
Return on Max. Drawdown 2979.41% K-Ratio 2.28
Buy/Hold return 1741.55% Time ratio 1.57
Cumulative return 662.40% Return ratio 0.38
Total Trade Analysis
Number of total trades 15 Total stopped trades 6
Average trade $16,703.43 Avg. trade ñ 1 STDEV $55,947.15 / ($22,540.29)
1 Std. Deviation (STDEV) $39,243.72 Coefficient of variation 234.94%
Run-up
Maximum Run-up $166,650.00 Max. Run-up Date 2/3/97
Average Run-up $36,038.47 Avg. trade ñ 1 STDEV $87,292.37 / ($15,215.44)
1 Std. Deviation (STDEV) $51,253.91 Coefficient of variation 142.22%
Drawdown
Maximum Drawdown ($8,409.42) Max. Drawdown Date 1/19/94
Average Drawdown ($4,045.66) Avg. trade ñ 1 STDEV ($1,653.53) / ($6,437.79)
1 Std. Deviation (STDEV) $2,392.13 Coefficient of variation 59.13%
Reward/Risk Ratios
Largest Loss Ratio 27.24 Max. Drawdown Ratio 29.79
Adj. Largest Loss Ratio 14.48 Adj. Max. Drawdown Ratio 15.84
Annual Trading Summary
Annual Analysis (Mark-To-Market):
Period Net Profit % Gain Profit Factor # Trades % Profitable
YTD $13,534.00 4.02% 100.00 1 100.00%
12 month $96,152.00 37.80% 3.59 1 100.00%
96 $111,169.49 49.22% 100.00 1 100.00%
95 $68,779.89 43.79% 7.31 3 33.33%
94 ($21,211.67) (11.90%) 0.00 3 0.00%
93 $29,144.72 19.54% 100.00 2 100.00%
92 $39,440.00 35.95% 100.00 2 100.00%
91 $9,900.00 9.92% 100.00 2 100.00%
90 $3,335.00 3.46% 34.35 2 50.00%
89 $3,705.00 3.99% 100.00 2 100.00%
88 ($7,245.00) (7.25%) 0.00 2 0.00%
|
