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I'm not sure what Roy is going to publish in the April MSTT so I can't
post a lot about TechTrader to avoid messing him up.
I have the code for it. I will test it on US markets next week if I
get time.
It was interesting when I first read the code for TechTrader because
the system I use on the Value Line is very close.
Like the TechTraders guys, I don't take every signal. Just as they
suggested I look at the charts. However, I have worked out a
mechanical version to use for back testing. Here are the results. I
can say that for the last few years--since 2003--the live results have
been better than the test results. A lot better. I guess that's the
value of the discretionary portion. In addition, I don't always trade
if I don't like the market. The back tester always trades.
Prior to 2003 I didn't use a Value Line system exclusively. I mostly
traded dividend stocks using a specific method of prescreening. I made
over 20% per year in 2001 and 2002. I don't know what I would have
made in 2001 and 2002 using the valueline list. I think it would have
been about the same as the dividend stocks based on the paper trading
results I achieved once I got into the Valueline stocks.
Remember these test results are for the Value Line 100 stocks ranked 1
for timeliness, not the S&P, NASDAQ or anything else.
2006 19.4% 15.8%
2005 15.5% 4.9%
2004 9.5% 10.8%
2003 25.5% 28.7%
2002 1.0% -22.1%
2001 8.8% -11.9%
2000 17.6% -9.1%
1999 35.5% 21.1%
1998 18.9% 28.6%
The Value Line numbers are in the middle next to year and the S&P500
numbers are on the far right. (Yahoo always messes up my columns and
rows when I send the post. Sorry about that.) To me these are great
test results. Why? Because I hate losing money and consistency is
important. Winners ranged between 45 and 60%, which is great under
mechanical conditions and relative drawdowns were insignificant
usually under 2%.
I don't know if Roy will publish the test returns for the TechTrader
on a year by year basis. I can't run the back tests because I don't
have ASX data and don't want to test a market I don't trade.
I'll do tests on a couple of US markets if I can.
The Valueline data is not impacted by survivorship, because companies
on the valueline list are all viable companies in good financial
health at the time the list is published. Some are acquired but
usually for higher prices than they are trading at.
Cameron supplied the data for the years before 2003. Thanks Cameron.
These test numbers are subject to change as the historical lists of
Valueline stocks get refined. I'm still looking at a couple of ways to
deal with valueline's changing entries versus using only the list
publish in January.
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