|
PureBytes Links
Trading Reference Links
|
Andy what index measures breadth if Any?
Robert
andy abraham wrote:
>I use a Vix system as part of my market allocation.. It is not
>perfect ( nothing is). I use it along with Market Vane data and use
>it to make up part of my matrix of scaling in and out of the Sp 500
>and Nasdaq. My model uses Sentiment.( which Vix measures)
>Breadth.. Momentum as well as Interest rates.. Below I listed my
>results..
> Sentiment I want to point out is early ...before market
>turns.possibly..... same with interest rates... they make up the
>envirnoment that we are trading in..I would encourage to use more
>emphasis on Breadth systems..and Momentum...they can be easy
>concepts.. use groups of systems because not one is the Holy Grail..
>
>Andrew Abraham
>
>vix andrew $VIX-Daily 05/03/97 - 01/25/99
>
>Date Time Type Cnts Price Signal Name Entry P/L Cumulative
>
>10/27/97 Sell 1 39.96
>11/20/97 SExit 1 27.98 $ 11.98 $ 11.98
>12/01/97 Buy 1 24.88
>01/09/98 LExit 1 34.46 $ 9.58 $ 21.56
>01/09/98 Sell 1 34.46
>01/13/98 SExit 1 25.93 $ 8.53 $ 30.09
>01/14/98 Buy 1 24.21
>03/25/98 LExit 1 23.08 $ -1.13 $ 28.96
>03/25/98 Sell 1 23.08
>04/20/98 SExit 1 20.86 $ 2.22 $ 31.18
>04/27/98 Sell 1 26.45
>04/29/98 SExit 1 23.24 $ 3.21 $ 34.39
>05/19/98 Buy 1 20.30
>06/15/98 LExit 1 26.93 $ 6.63 $ 41.02
>06/15/98 Sell 1 26.93
>06/17/98 SExit 1 23.23 $ 3.70 $ 44.72
>06/23/98 Buy 1 19.79
>07/23/98 LExit 1 24.84 $ 5.05 $ 49.77
>07/23/98 Sell 1 24.84
>07/30/98 SExit 1 22.57 $ 2.27 $ 52.04
>07/31/98 Sell 1 26.27
>09/23/98 SExit 1 31.53 $ -5.26 $ 46.78
>09/23/98 Buy 1 31.53
>09/30/98 LExit 1 41.94 $ 10.41 $ 57.19
>09/30/98 Sell 1 41.94
>10/15/98 SExit 1 35.95 $ 5.99 $ 63.18
>10/15/98 Buy 1 35.95
>12/14/98 LExit 1 32.47 $ -3.48 $ 59.70
>12/14/98 Sell 1 32.47
>12/17/98 SExit 1 28.07 $ 4.40 $ 64.10
>12/18/98 Buy 1 24.66
>01/12/99 LExit 1 29.68 $ 5.02 $ 69.12
>01/12/99 Sell 1 29.68
>
>
>vix andrew $VIX-Daily 05/03/97 - 01/25/99
>
> Performance Summary: All Trades
>
>Total net profit $ 69.12 Open position P/L $ -1.99
>Gross profit $ 78.99 Gross loss $ -9.87
>
>Total # of trades 16 Percent profitable 81%
>Number winning trades 13 Number losing trades 3
>
>Largest winning trade $ 11.98 Largest losing trade $ -5.26
>Average winning trade $ 6.08 Average losing trade $ -3.29
>Ratio avg win/avg loss 1.85 Avg trade(win & loss) $ 4.32
>
>Max consec. winners 6 Max consec. losers 1
>Avg # bars in winners 11 Avg # bars in losers 42
>
>Max intraday drawdown $ -27.16
>Profit factor 8.00 Max # contracts held 1
>Account size required $ 27.16 Return on account 254%
>
>
> Performance Summary: Long Trades
>
>Total net profit $ 32.08 Open position P/L $ 0.00
>Gross profit $ 36.69 Gross loss $ -4.61
>
>Total # of trades 7 Percent profitable 71%
>Number winning trades 5 Number losing trades 2
>
>Largest winning trade $ 10.41 Largest losing trade $ -3.48
>Average winning trade $ 7.34 Average losing trade $ -2.31
>Ratio avg win/avg loss 3.18 Avg trade(win & loss) $ 4.58
>
>Max consec. winners 3 Max consec. losers 1
>Avg # bars in winners 18 Avg # bars in losers 44
>
>Max intraday drawdown $ -24.88
>Profit factor 7.96 Max # contracts held 1
>Account size required $ 24.88 Return on account 129%
>
>
> Performance Summary: Short Trades
>
>Total net profit $ 37.04 Open position P/L $ -1.99
>Gross profit $ 42.30 Gross loss $ -5.26
>
>Total # of trades 9 Percent profitable 89%
>Number winning trades 8 Number losing trades 1
>
>Largest winning trade $ 11.98 Largest losing trade $ -5.26
>Average winning trade $ 5.29 Average losing trade $ -5.26
>Ratio avg win/avg loss 1.01 Avg trade(win & loss) $ 4.12
>
>Max consec. winners 6 Max consec. losers 1
>Avg # bars in winners 8 Avg # bars in losers 38
>
>Max intraday drawdown $ -27.16
>Profit factor 8.04 Max # contracts held 1
>Account size required $ 27.16 Return on account 136%
>
>
>
>
|