'SPY Gopher' has generated an Entry signal for the SPY at yesterday's Close. This is one of my favorite systems. I have been trading this model since about Trade 65 (Equity Curve chart above). Whenever it goes through a drawdown, it has always gone on to ultimately make new Equity Curve highs. And it has just generated another entry signal.
Model Performance Stats:
- Model Tracking Vehicle=SPY
- Start Date=2/2/1993
- Number of Trades=94
- Average Trade Return=1.2%
- Win Rate=69%
- Average Win/Average Loss=1.4
- Profit Factor=3.18
The caveat with this model is its Money Management Stop is very high, currently about 3.5%. Historically, if I can handle risking that much capital on the trade, the performance of the model over the following year has been very good. The model generates 5-6 trades/year, which on average returns 6-7%/year. Each position is modeled to be open for 5 days unless the Money Management Stop closes the position sooner.
Disclosure: Long the ESU09.
Disclosure: The performance results shown above are for Model analysis purpsoses and do not include commission or slippage. The model is built on data from the SPY, but I trade the model with the ES e-mini. Actual trading results from the ES usually differ from the model results of the SPY, with the ES showing somewhat weaker performance data. Nonetheless, I still trade this model with the ES and when executed according to the plan, it has generated consistent profitability for me.
***remember this is an illustration of what i am trading and my thinking...it is not a recommendation for you or anyone else to buy or sell this or any other security***
Posts
No comments:
Post a Comment