Yesterday, thinking about the stocks in the FU and their behavior (they go up and down , more up than down, with a lot of Volatility...doh!), I wanted to test an "old" system I used during the Nasdaq bubble.
It is basically a dip buyer, very similar to those you can find in Wealth lab developed by Geol.
Now unfortunately , the script is in my home in Italy (I'm in Thailand ATM), so I had to use the original DipBuyer-V6.
Anyway the results are quite interesting
I used 1 year of data for the current FU, last three month have been the best for the period.
0,5% one way slippage
commission 0.005 per share
Pos. Sizing 20% of equity
Long
Starting Capital $35,000.00
Ending Capital $70,476.26
Net Profit $35,476.26
Net Profit % 101.36%
Annualized Gain % 101.75%
Exposure 28.77%
Number of Trades 114
Avg Profit/Loss $311.20
Avg Profit/Loss % 3.42%
Avg Bars Held 3.32
Winning Trades 99
Winning % 86.84%
Gross Profit $58,696.46
Avg Profit $592.89
Avg Profit % 6.46%
Avg Bars Held 2.15
Max Consecutive 24
Losing Trades 15
Losing % 13.16%
Gross Loss $-23,220.20
Avg Loss $-1,548.01
Avg Loss % -16.63%
Avg Bars Held 11.00
Max Consecutive 2
Max Drawdown $-13,265.61
Max Drawdown % -25.73%
Max Drawdown Date 3/13/2007
Wealth-Lab Score 262.63
Profit Factor 2.53
Recovery Factor 2.67
Payoff Ratio 0.39
Sharpe Ratio 2.54
Ulcer Index 6.03
Wealth-Lab Error Term 4.98
Wealth-Lab Reward Ratio 20.45
Luck Coefficient 8.18
Pessimistic Rate of Return 1.83
Equity Drop Ratio 0.07
Now before we got all excited
if someone has an historic list of the stocks
that entered and exited the FU, I can backtest a more reliable set of data.
Anyway I think this stuff's got great potential and may add an interesting weapon to our arsenal.
I'm going to back and forward test , all my bottom buyers sys for sure.
Hope my English is clear
