Any idea how sensitive the results are to using opening (9:30am) prices vs. same day closing prices? I ask because one wouldn't be able to use your system with open end mutual funds, since the only available price is the 4pm NAV. This would be relevant if someone were interested in using your system on a 401K restricted to open end mutual funds. Have you been able to backtest over the past several years? I know AAII has been tracking CANSLIM for some time, but since yours only uses the market timing part of CANSLIM, it is difficult to know how much of AAII's results is attributable to market timing vs. the specific stocks (high earnings growth, institutionally owned, etc.). Would either need to precisely quantify their timing signal or have years of IBD back issues.
Thanks for your questions. I have a real good idea that this affect would be minimal, but a duplicate backtest to what you've seen previously here, would be more conclusive. It seems from my experience, since 1998, tracking IBD timing signals - that quite often next day signal shift produce negative equity...but quite favorably regain and move much forward as trend-following signal asserts historical high probability. See above & http://www.elitetrader.com/vb/showthread.php?s=&postid=3152927#post3152927 I've only backtested since 20-Mar-2008, but do have signals documented at my covered call site, for many years. Fyi - More info can be found at my profile.
Having reached 12 & 10 months, consecutively - we continue to forge new highs...capturing the latest uptrend, nicely. My FUTURES system: - including commissions. . . My ETF system: - including commissions. . . Thank you for following <b>"The IBD Experiment"</b>. (more info at Paysense's Profile)
QQQ ETF Timer & NQ Timer Statistics With the market correction underway, my systems "Stocks (ETFs)" & "Futures" are still listed with the C2 (Collective2) HOT long-term systems. Statistics are as follows (consecutively): Age 305 & 351 days, Trades 12 & 13, Avg Trade Length 3.6 & 3.9 weeks, Profit Factor 1.8 & 1.8, Sharpe 0.825 & 0.993, CAGR 18.1% & 24.1%, Ann Return 14.4% & 19.5%, Last 90 Days 5.2% & 2.8%, Last 60 Days 8.6% & 6.2%, Last 30 Days 2.5% & 1.6%, Trades Futures & Stocks, Max Drawdown 13.9% & 13.9%, C2 Score 994 & 994, Calmar 2.05 & 2.13 pay$
<b>System Description</b> for "futures" & "ETF" system: Proven EOD long-term system. All 100% mechanical trades placed prior to US stock market open. Appropriate leverage (2.5X max) ALWAYS used. Investors Business Daily or IBD provides extensive research for institutional clients. Historically, every market uptrend has been "confirmed" with a follow-through day. Conversely, a multiple distribution day stack can point to a market correction. This system is designed to profit from IBD's market shift calls as outlined in the newspaper's "The Big Picture". I also use other proprietary measures that have been back-tested for over 3 years at Collective2. All "swing" trades are market orders placed before 9:30 am EST to be executed at the Stock Market open. Also uses protective stop-loss orders in case of emergencies as capital preservation is the top priority. This system is developed to greatly out-perform stocks for the long-term, while keeping loss periods contained. This trend-following system holds NQ contracts either Long or Short based on IBD's market bias ("futures" system) & holds (long-only) ULTRA ProShares QQQ (QLD and QID/"ETF" system) based on IBD's market bias. Thank you for following and <b>welcome to the "IBD Experiment"!</b>
Currently with just 1 day to reaching one year managing my futures trading system, we've managed - 19.7% CAGR 13.9% max drawdown S&P 500 loss 1% 20.7% outperformance Currently nearly reaching 10.5 months of managing my ETF trading system, we've managed - 14.5% CAGR 13.9% max drawdown S&P 500 loss 4% 17.9% outperformance Compare to this excellent fund http://www.canslimpc.com/MonthlyReport.pdf Note: These is a 100% mechanical EOD long-term trading system that trades on average once a month. (More info at "Profile") pay$ PS - as second, third year results come in, do you think it a good idea to become an ET sponsor??
Now that you've seen my systems - and have read the System Description - I found this IBD article: IBD's 20 Rules: No. 18 You Can Time Your Market Entry Investor's Corner IBD's 20 Rules: No. 18 You Can Time Your Market Entry By DAVID SAITO-CHUNG, INVESTOR'S BUSINESS DAILY Posted 10/06/2011 04:19 PM ET IBD's 20 Rules: An Investor's Corner Series Eighteenth In A Series It seems fewer pundits these days say or write, "You can't time the market." Now, there will always be some folks who repeat that worn-out refrain. But nothing could be further than the truth. Readers who consistently read IBD's Big Picture and Market Pulse table know that not only can you or any investor time the market, but it's critical to do so if you want to succeed in growth investing. Life is all about timing. People go to high school first, then attend college. We tend to think about having a family only after we've found the right person. Autumn follows summer, not vice versa. Who, then, can say that timing the market correctly is the exception rather than the rule? Some academics and fund companies have pointed out that missing a handful of key trading sessions in any given bull market cycle costs you a big part of the market's gains. This makes complete sense â if you only invest in mutual funds. Big gains in a diversified equity fund tend to arise when you have held through a large number of market cycles and you reinvest the yearly capital gains. But in the case of stocks, getting in the market when most stocks are rising â the very definition of a bull market â truly increases your chances of making money. The market tends to turn higher when investors least expect it. When people should be buying stocks, they usually refuse to do so due to their emotions. Some don't want to get burned again. Others won't venture on a new leader and instead keep a portfolio of poor performers, hoping they'll be nursed back to health. Regardless how you or your neighbor feels, bear markets end and new bull markets begin. Why? A profound shift in supply and demand for stocks takes place. The goal of IBD's Big Picture is to spot those shifts and point out the best stocks leading the way. On Sept. 1, 2010, the major indexes surged higher in rising volume. The follow-through, as noted in the following day's Big Picture, sparked a band of new leaders breaking out of good bases and roaring to new highs. The follow-through signals that strong demand for stocks is returning to the market. As The Big Picture and the Investor's Corner have noted, not all follow-throughs are successful. But every great bull market since at least 1900 began with one. The Big Picture's other big job? To spotlight key market tops. On July 27, the S&P 500 fell 2% in higher volume. In the next day's IBD, Market Pulse switched the outlook to "Market in correction." Not only was it the third distribution day in a row, but it marked the S&P 500's eighth session of intense institutional selling in recent weeks. <u>Let me know if this is helpful.</u>
Some words and their acronyms: Investors Bullcrap Daily (IBD). Bullcrap Picture (BP, but an image would be a better representation)
Paysense, if memory serves me right there were some mutual funds started a long time ago based on the CANSLIM approach to investing. You might want to check out their history and performance.