Sent: Wednesday, October 29, 2008 12:08 PM
Subject: TRIN SPECIAL EDITION
WHAT THE LOW TRIN MEANS
Date:
October 29, 2008
Stock, Index,
Bond or Commodity: DJIA
Summary: The Arms Index (aka TRIN) closed at 0.20
yesterday for the NYSE. This means that there was a made scramble of
volume into issues that rose on the day. Low Arms Index readings can
sometimes signal overbought conditions, but coming out of intermediate-term
oversold conditions, that's not often the case.
Even so,
exceptionally low Arms Index readings like we saw yesterday, whether or not the
market was down at the time, show bullish intermediate-term tendencies going
forward.
Detail:
(see bottom of
page for description of study terms)
| DATES |
| 06/11/40 |
| 11/07/40 |
| 02/15/43 |
| 04/05/43 |
| 05/03/43 |
| 05/08/43 |
| 08/04/43 |
| 02/15/46 |
| 02/21/46 |
| 09/11/46 |
| 10/15/46 |
| 12/09/46 |
| 06/11/47 |
| 07/19/49 |
| 12/16/50 |
| 01/11/51 |
| 02/23/52 |
| 10/23/57 |
| 08/20/82 |
| 05/11/90 |
| 06/15/06 | |
Number of
Trades
The total number of round-trip trades plus open
positions.
Avg Profit/Loss (In $ if trading a stock or ETF, and in
points if trading an index)
The average profit/loss per trade in
dollars.
Avg Profit/Loss %
The average percentage profit/loss
per trade in percent.
Winning Trades (In Green) and Losing Trades (In
Red)
A trade is marked a winner if its return after costs is above
zero. These sections present the same metrics as above, plus Max
Consecutive, which is the maximum number of consecutive winners and losers
generated in a row.
Max Drawdown
Max Drawdown is the largest
peak to valley dollar decline in the system's equity curve.
Max
Drawdown Date
Date on which the Max Drawdown was realized.
Net
Profit
The total profit generated by the trading system.
Buy &
Hold Profit (or points if trading an index)
The total profit one would
have achieved by simply buying at the beginning of the study period and holding
until the end, with no trading. For active systems with many trades,
compare the net profit against this figure to see if it would have been worth it
to trade the system, or better to just buy-and-hold.
Profit
Factor
Profit Factor is the system's Gross Profit divided by Gross Loss.
Look for systems that have a Profit Factor of 2 or higher.
Recovery
Factor
Recovery Factor is equal to the absolute value of Net Profit
divided by Max Drawdown. Recovery Factor should typically be larger than 1. A
healthy Recovery Factor is an indication that a system can overcome a
drawdown.
Payoff Ratio
Payoff Ratio is the absolute value of
the system's average percentage profit per trade divided by the average
percentage loss per trade. Unless the system has a particularly high Win/Loss
ratio, we look for high Payoff Ratios.
Ulcer Index
The Ulcer
Index measures a portfolio's overall volatility. It is calculated by summing the
squared draw downs, and then taking the square root of the quotient of this sum
divided by the period. A lower Ulcer Index indicates less volatility and draw
down, indicating that the system might be easier to tolerate in real-world
trading.
Luck Coefficient
The Luck Coefficient shows how the
largest trade compares to the average trade and is calculated by dividing the
percentage profit of the largest winning trade by the average percentage profit
of all winning trades. The larger the Coefficient value, the greater portion of
the system results are attributed to the largest winning trade, or, luck.