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--- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> My data begin on 3/1/2000.
I think you should get more data :)
Since the QQQ is designed to track the NDX (Nasdaq 100) I ran the
system on the NDX data (Oct 1985 - present) and got found two 200%
drawdowns while the system was short. All I can say is this: one
should be prepared for margin calls when trading this one.
There may be a way to avoid these two drawdowns because they are
rather unusual. The first was from 1987 to 1995 (a rather long time
to hold a loosing short position). Similarly the second was big
short loss was for a lengthy period (1998-2000). A "smaller" short
loss of 90% was also a multi-year hold (1995-1997). If an
appropriate stop exit could be added, the system might be more
attractive.
^NDX Short 10/1/1985 10/19/1987 -38.80 -38.8%
^NDX Long 10/19/1987 11/2/1987 -1.36 -2.2%
^NDX Short 11/2/1987 7/19/1995 -155.28 -259.5%
^NDX Long 7/19/1995 7/20/1995 -0.56 0.6%
^NDX Short 7/20/1995 10/28/1997 86.62 -90.2%
^NDX Long 10/28/1997 10/31/1997 0.24 -2.6%
^NDX Short 10/31/1997 8/31/1998 1.08 -11.8%
^NDX Long 8/31/1998 9/14/1998 -1.19 14.7%
^NDX Short 9/14/1998 4/4/2000 19.26 -208.4%
^NDX Long 4/4/2000 4/28/2000 -0.65 -6.5%
^NDX Short 4/28/2000 5/23/2000 1.86 19.9%
^NDX Long 5/23/2000 6/9/2000 2.74 24.4%
^NDX Short 6/9/2000 10/13/2000 1.79 12.8%
^NDX Long 10/13/2000 11/2/2000 0.15 0.9%
^NDX Short 11/2/2000 12/19/2000 4.37 27.5%
^NDX Long 12/19/2000 1/30/2001 2.42 11.9%
^NDX Short 1/30/2001 9/19/2001 12.49 55.0%
^NDX Long 9/19/2001 10/1/2001 -1.66 -4.7%
^NDX Short 10/1/2001 10/3/2001 -2.86 -8.5%
^NDX Long 10/3/2001 10/15/2001 3.18 10.4%
^NDX Short 10/15/2001 10/17/2001 1.57 4.7%
^NDX Long 10/17/2001 10/26/2001 3.77 10.7%
^NDX Open Sh 10/26/2001 6/21/2002 11.30 28.8%
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