Results from "weekly" system - Entry in May, exit in follwoing March. Universe of stocks was the ASX200 from 1998 to July 2005. System was developed on the ASX100 stocks, but appears to work on other stock universes. Drawdown is not brilliant at 15%, but for a lazy system it certainly shows promise. I used IO and AmiBroker to determine the system criteria as shown in the IO status "swarm" shown below.

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THis IO test shows an optimization on, of all things, buy and sell months. The buy month selected is May and the sell month is the following march. A 42 week ROC above 36 is a selection criteria, along with turnover. Exit trigger is either the month of March, or ROC below -23. Not suggesting that this is tradeable, it's just inspired by Dogs Of the Dow type strategies.

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MBL gave a "quick" 3 week trade for the super fund. Profit exits are pretty rare with this system. They trigger due to a rapid upward price move.

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JHX is a surprising trade, currently breaking out to new highs.

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Telstra - no signals on this one!

SFE trade using long term system

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Monte Carlo 10 positions. This one makes more than the 4 position test.

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Monte Carlo using only 4 positions - Percent Profit

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4 positions versus 10 positions

The 2 charts above are monte carlo simulations of a system that I have been working on. The 10 position position sizing gives better results in terms of drawdown than the the 4 positions only test.

See;

http://lightning.he.net/cgi-bin/suid/~reefcap/ultimatebb.cgi?ubb=get_topic;f=15;t=000236;p=1#000010

Posts for Reef

Seems like a good post to put up charts for Reef.