STOCK TO BUY FOR OCT 30, 2006 (ALY) STOCK TO BUY FOR OCT 30, 2006 (NSIT) STOCK TO SELL FOR OCT 30, 2006 (PWI) 5.3% est. RETURN STOCK TO SELL FOR OCT 30, 2006 (CCMP) -2.4% est. RETURN
alpha, since you say your system has been in use five years on your web page - how did it perform during the 2001-02 period? was the downdraft mitigated by constantly rolling over each stock in 20 days? what was the worst drawdown for the portfolio? I think it would be a good idea to run some standard statistics and show an equity curve for the system. Lot's of systems can do very well over the long term just by picking highly volatile stocks. unfortunately those same system blow most people out when there is a strong draw down.
The system has been traded in a live account for more than a year with very good results. The five year performance record is the result of a backtest of the Longs only. Since there is an element of discretion in this strategy the backtest is not a perfect match, but a close approximation. I am working on perfecting it and also have a backtest of the shorts. http://www.elitetrader.com/vb/showthread.php?s=&threadid=75845&perpage=6&pagenumber=7
STOCK TO BUY FOR NOV 01, 2006 (OII) STOCK TO BUY FOR NOV 01, 2006 (ASCA) STOCK TO SELL FOR NOV 01, 2006 (IIG) 14.2% est. RETURN STOCK TO SELL FOR NOV 01, 2006 (DPL) 5.1% est. RETURN