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Felix wrote
> Since you use it, in real time. Can you release the returns you get the
past 5
>years. Private or Public,Your call!
I'm a discretionary trader and discretionary investor. When it comes to
investing, I use a couple of models: my improved Zweig VL model with
TBill/EarningsYield filter, which uses weekly data only, and a much improved
version of Appel's TimeTrend III, which uses both Weekly and Daily data and
gives more frequent signals. Then I throw in the same pivot/pattern/channel
techniques on monthly and weekly charts, which I use for trading. Finally,
and most important to me, I use my judgement, and tend to stay in money
market when market is extremely choppy. Example: my modified TimeTrend III
went Sell 7/21, Buy 9/4, Sell 9/9, Buy 9/11, Sell 10/11, Buy 10/12, however
I ignored the Buy signals on 9/4 and 9/11.
Here's the trade by trade from the improved VL model - it's continuously in
the market and the system does not incorporate a stop loss - my stop loss
routines will not fit in EL's 64k. Even without adequate stop loss
protection, it has a nice equity curve. It's one bad trade has been going
short in mid-96 based on combination of market decline and historically high
TBill/EarningsYield ratio. Personally, I do not consider this model suitable
for timing short sales. As of last weekend, it's TB/EY ratio had declined
from 1.495 to 1.051 with .835 being required before a Buy can be generated.
Just to recap the general characteristics for those inclined to experiment,
this model is run on weekly S&P Cash as data1 and weekly
TBill/S&PEarningsYield as data2. It uses a simple combination of price
decline and high TB/EY ratio to trigger a sell and price advance and low
TB/EY to trigger a buy. The TB/EY trigger levels are adaptive. S&P
EarningsYield is the inverse of PE: (S&P Earnings / S&P Price).
sy_PriceYield S & P 500 History-Weekly 01/03/41 - 10/09/98
Date Time Type Cnts Price Signal Name Entry P/L Cumulative
10/09/53 Buy 1 23.660 Long Rev
09/30/55 LExit 1 43.670 Short Rev $ 20.01 $ 20.01
09/30/55 Sell 1 43.670 Short Rev
01/31/58 SExit 1 41.700 Long Rev $ 1.97 $ 21.98
01/31/58 Buy 1 41.700 Long Rev
09/11/59 LExit 1 57.410 Short Rev $ 15.71 $ 37.69
09/11/59 Sell 1 57.410 Short Rev
06/17/60 SExit 1 57.440 Long Rev $ -0.03 $ 37.66
06/17/60 Buy 1 57.440 Long Rev
01/03/69 LExit 1 103.990 Short Rev $ 46.55 $ 84.21
01/03/69 Sell 1 103.990 Short Rev
11/13/70 SExit 1 83.370 Long Rev $ 20.62 $ 104.83
11/13/70 Buy 1 83.370 Long Rev
07/06/73 LExit 1 101.280 Short Rev $ 17.91 $ 122.74
07/06/73 Sell 1 101.280 Short Rev
09/20/74 SExit 1 70.140 Long Rev $ 31.14 $ 153.88
09/20/74 Buy 1 70.140 Long Rev
06/09/78 LExit 1 99.930 Short Rev $ 29.79 $ 183.67
06/09/78 Sell 1 99.930 Short Rev
06/13/80 SExit 1 115.810 Long Rev $ -15.88 $ 167.79
06/13/80 Buy 1 115.810 Long Rev
12/05/80 LExit 1 134.030 Short Rev $ 18.22 $ 186.01
12/05/80 Sell 1 134.030 Short Rev
08/20/82 SExit 1 113.020 Long Rev $ 21.01 $ 207.02
08/20/82 Buy 1 113.020 Long Rev
09/04/87 LExit 1 316.700 Short Rev $ 203.68 $ 410.70
09/04/87 Sell 1 316.700 Short Rev
02/26/88 SExit 1 262.460 Long Rev $ 54.24 $ 464.94
02/26/88 Buy 1 262.460 Long Rev
07/12/96 LExit 1 646.190 Short Rev $ 383.73 $ 848.67
07/12/96 Sell 1 646.190 Short Rev
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