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Hi All:
Thanks, Gary, for the info on Yahoo.
Since we're discussing about whether systems trading is good, and systems
trading vs discretionary trading etc, it should be a good opportunity to
compare notes here, you who use systems trading.
Here's one (see attached excel file) using Lichello's "How to Make a
Million Dollars in the Stock Market Automatically" - namely, the "AIM" system.
I wrote the spreadsheet in Lotus 1-2-3 (version 2.01) format. I've
translated the results into excel format.
I got the Yahoo data from Dial Data, starting Apr 96 to present.
I tried MONTHLY data on the AIM spreadsheet.
The results are shown in the attached file.
Summary:
1. Initial investment: $10,000
2. Portfolio value as of Dec 8, 1999:
a. Buy and hold: $644,655
b. AIM: $ 53,367
Admittedly, Buy and Hold fares a lot better. AIM is still not bad,
considering this IS a purely mechanical trading system with no discretion
involved.
I don't use AIM to trade myself, though I use its concepts - buy low, buy
more at lower prices, sell high, sell more at higher prices...
I don't have the discipline to stick to any mechanical system.
Anyone else here, care to dish out some results based on your systems?
Wong
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At 06:57 PM 12/08/99 -0800, Gary Funck wrote:
>Well, out of curiosity, I looked at what sort of drawdowns
>the buy/hold YHOO stock holder had to endure to have held
>it until now. Here's a table that illustrates the type of
>swings that YHOO has gyrated through over the past few
>years:
>
>Date Long Short
> days %-gain days %-drop
>960415 1 46.94 2 31.25
>960502 11 34.34 48 53.38
>960923 51 58.87 43 29.95
>970127 44 116.67 35 41.14
>970409 15 63.63 9 31.25
>971006 116 255.30 16 41.79
>980707 171 508.06 40 43.13
>980929 19 128.18 7 27.58
>990111 64 356.41 7 43.96
>990127 4 52.86 15 34.94
>990406 32 96.77 10 36.48
>990427 5 27.46 21 39.01
>990607 7 30.91 6 25.44
>990706 14 60.89 22 41.88
>990805 87 221.00
>
>The 171 day rally ending on 07/07/1998 gained 500% on its
>own. The worst drawdown was early on, beginning on
>05/02/1996, lasting 48 days and dropping 54% from high to
>low. All other drawdowns were less than 45% from the high swing
>to low. The latest up-leg has shown an increase of +221%
>in the past 87 trading days, beginning on 08/05/1999, with
>less than a 25% drawdown.
>
>Conclusion: holding from YHOO's open a 55% trailing stop
>would have kept you in the game. Holding from 5 months
>after the IPO, a 45% trailing stop would have done the job.
>Given the gain, it would have been worth it, but it is
>easy to see how a lot of investors were shaken out over
>the course of the past few years.
Attachment Converted: "f:\eudora\attach\YAHOO.xls"
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