The premise of the model is mean reversion, such that when the NDX is in a longer term uptrend, buy the shorter term dips. Clearly defining the 'longer term uptrend', the 'shorter term dip', as well as the price target exit and the money management stop (which is time based, not price based), is key to this model's success.
Here are some of the model's Performance Statistics:
- Model Tracking Vehicle=NDX
- Start Date=11/1/1985
- Number of Trades=124
- Average Trade Return=1.70%
- Average Winning Trade Return=2.71%
- Average Losing Trade Return=-2.51%
- Win Rate=81%
- Ratio of Average Win/Average Loss (RAWAL)=1.08
- Profit Factor=4.51
The Average Winning Trade is just a bit more than the Average Losing Trade (RAWAL=1.08), but this model generates 81% winners.
Historically, this model has incurred a very high open and closed trade drawdown (20% and 12% respectively). This drawdown is so high, that I will only trade a small position when an entry signal is generated. At 4pm today, I went long 1 NQZ09 contract at 1719.25.
Disclosure: The performance results shown above are for Model analysis purposes and do not include commission or slippage. The model is built on data from the NDX, but I trade the model with the NQ e-mini. Actual trading results from the NQ usually differ from the model results of the NDX, with the NQ showing somewhat weaker performance data. Nonetheless, I still trade this model with the NQ and when executed according to the plan, it has generated consistent profitability for me.
Disclosure: Long NQZ09.
***remember this is an illustration of what i am trading and my thinking...my trading plan may change without notice...this is not a recommendation for you or anyone else, to buy or sell this or any other security...trade at your own risk***
Posts
No comments:
Post a Comment