Last Updated: 05/10/09
This strategy uses trend-following techniques to choose 2 ETFs from a portfolio of over 70. This portfolio attempts to catch long-term trends in the ETF portfolio. It has performed very well across different types of markets – bear and bull. As it holds only 2 ETFs, I pair it with my MOMO1 strategy to provide more diversification.
I use this portfolio to manage approximate 30% of my total portfolio – meaning that I use this as a component of an overall portfolio to reduce the effects of the volatility.
Current positions: AGG, IWM
List of Trades (CSV file)
Equity Curve/Monthly Returns (Click to enlarge):
System Statistics:
Net Profit % | 1761.98% |
Exposure % | 83.39% |
Net Risk Adjusted Return % | 2112.95% |
Annual Return % | 15.05% |
Risk Adjusted Return % | 18.05% |
All trades | 79 |
Avg. Profit/Loss | 2230.35 |
Avg. Profit/Loss % | 9.68% |
Avg. Bars Held | 112.84 |
Winners | 42 (53.16 %) |
Total Profit | 300507.2 |
Avg. Profit | 7154.93 |
Avg. Profit % | 23.00% |
Avg. Bars Held | 179.21 |
Max. Consecutive | 6 |
Largest win | 87685 |
# bars in largest win | 389 |
Losers | 37 (46.84 %) |
Total Loss | -124309.39 |
Avg. Loss | -3359.71 |
Avg. Loss % | -5.43% |
Avg. Bars Held | 37.49 |
Max. Consecutive | 7 |
Largest loss | -11935 |
# bars in largest loss | 5 |
Max. trade drawdown | -75302.5 |
Max. trade % drawdown | -33.45% |
Max. system drawdown | -153625.38 |
Max. system % drawdown | -46.33% |
Recovery Factor | 1.15 |
CAR/MaxDD | 0.32 |
RAR/MaxDD | 0.39 |
Profit Factor | 2.42 |
Payoff Ratio | 2.13 |
Standard Error | 40498.27 |
Risk-Reward Ratio | 0.27 |
Ulcer Index | 11.48 |
Ulcer Performance Index | 0.84 |
Sharpe Ratio of trades | 0.41 |
K-Ratio | 0.0221 |
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