Wednesday, October 7, 2009

some additional 'BTD Index' characteristics

  • woodshedder has a trading blog where he primarily posts entry and exit signals for his power dip system...if you are interested in this type of trading, then check out his work...
  • in a comment i left on his blog, i posted some characteristics of my 'BTD Index' model...i don't believe i have posted those specific characteristics here, so i am doing so now:
  • in the fall of 2005, i backtested this model on trading a basket of stocks (IBD 100 stocks), but the results were pretty poor…i believe they were poor because BTD does not use a price based stop, it uses a time based stop…this time based stop has worked well (so far at least) on the NDX, but it didn’t it would work well with stocks…i could build a version for stocks, but my capital is allocated primarily to the futures markets right now...
  • one of the drawbacks of the BTD Index model, is that it only generates about 5 trades/average year (more though when the trend is up, as it is now)…it also has a very steep historical max individual trade drawdown of about 15%, so i only trade this model with a small portion of my capital…

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