119 It has been said that a trading system can be very good for a certain security and may not be as good for other ones. For example, on Microsoft (MSFT), we have found (see the worksheet Riassunto) the following summary of performances of various trading systems: Security MSFT From 8/9/2010 To 8/11/2011 Days 367 Trading system Initial capital Final capital Number of operations Average investment Average duration of trades Yearly return (%) B&CB 200,000 200,668 9 4,000 28 17 Chande Kroll 200,000 199,814 5 4,000 48 −5 Envelops 200,000 200,112 2 3,000 99 4 SMA 200,000 200,475 17 4,000 15 12 EMA 200,000 200,439 12 4,000 22 11 KAMA 200,000 200,009 13 4,000 20 0 KAMA o 200,000 200,036 5 4,000 51 1 Parabolic Sar 200,000 200,146 19 4,000 13 4 WMAS 200,000 199,874 21 4,000 12 −3 So we have a good yield (17 % yearly) with B&CB, but there are very disappointing results with other trading systems. However, if we should want to make a quick swing trading, we should opt for the intersection of two SMAs that have a decent performance (12 %), but whose operations last only 15 days instead of 28. Summary of Part I
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Oct 01, 2015
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119
It has been said that a trading system can be very good for a certain security and may not be as good for other ones.
For example, on Microsoft (MSFT), we have found (see the worksheet Riassunto) the following summary of performances of various trading systems:
Security MSFTFrom 8/9/2010To 8/11/2011Days 367
Trading system Initial capital
Final capital
Number of operations
Average investment
Average duration of trades
Yearly return (%)
B&CB 200,000 200,668 9 4,000 28 17Chande Kroll 200,000 199,814 5 4,000 48 5Envelops 200,000 200,112 2 3,000 99 4SMA 200,000 200,475 17 4,000 15 12EMA 200,000 200,439 12 4,000 22 11KAMA 200,000 200,009 13 4,000 20 0KAMA o 200,000 200,036 5 4,000 51 1Parabolic Sar 200,000 200,146 19 4,000 13 4WMAS 200,000 199,874 21 4,000 12 3
So we have a good yield (17 % yearly) with B&CB, but there are very disappointing results with other trading systems.
However, if we should want to make a quick swing trading, we should opt for the intersection of two SMAs that have a decent performance (12 %), but whose operations last only 15 days instead of 28.
Summary of Part I
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120 Summary of Part I
However, we have very different indications on the Geox shares:
Security GEOXFrom 8/9/2010To 8/11/2011Days 367
Trading system
Initial capital
Final capital
Number of operations
Average investment
Average duration of trades
Yearly return (%)
EMA 200,000 201,584 6 4,000 44 39KAMA o 200,000 201,544 5 4,000 51 38SMA 200,000 201,464 10 4,000 26 36KAMA 200,000 201,379 7 4,000 37 34Chande Kroll 200,000 201,279 6 4,000 44 32B&CB 200,000 201,275 9 4,000 28 32Envelops 200,000 201,172 9 4,000 29 29Parabolic Sar 200,000 200,915 11 4,000 23 23WMAS 200,000 200,223 22 4,000 12 6
The intersection of two EMAs is in this case the more convenient trading system, with a fine performance. If one wanted to do a faster swing trading, instead, a good compromise would be the intersection of two SMAs or the Parabolic SAR.
Each security, and any style of trading, has its own protocol.
Summary of Part I
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