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Tomasz was gracious enough to provide the appropriate formula in
"Trader's Tips" for article "Trading Moving Average Pullbacks" that
appears in the current (April) issue of TASC (it is also posted in
the members section of the AmiBroker web site). The system looks for
stocks in an uptrend that have not been below the 30-day SMA for at
least 30 days, and have currently pulled back within 1.5% of the
30-day average. Tomasz added a few enhancements like; limits on the #
of simultaneous open positions and single position value plus fixed
time-based stops so all trades are closed on the 5th day since entry.
He used the NASDAQ 100 stocks for the test over the period from
1/1/2000 to 12/31/2004. The systems generated a profit of + 118% (17%
compounded annual return) with a -8.7% maximum system drawdown. I
have emulated his system (as I can best determine) but get different
results. Instead of $11853.84 profit I get $7402.41 with a net profit
of 79% and a drawdown of -15.84%. I'm using the up-to-date NASDAQ 100
list. I would be interested to know if anyone else tried this system.
And, if so what kind of results have you achieved? Obviously I must
be doing something different (or wrong) to generate this much of a
difference. Thanks of you anticipated response.
Dick H
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