Updated systems based on revised filtering
I have done extensive testing with regards to the filtering mechanism used for these systems. This testing included looking at multiple stock indices and index futures going back to as far as 1983, and I removed 2008 trades since that was an outlier year. Based on this testing, I have altered part of the filtering criteria to be what I believe is better in tune with stock market behavior (at least that is what historical testing shows). These updated systems will go into effect starting Monday (3/21/11).
I am showing results from 1/1/04 to 3/18/11 to give you more data than just the past 5 years (liquidity was low before mid-2003 so I started with 1/1/04). The “Old” reports include using previous updates for the entire backtest period and the “Updated” reports use the current update for the entire backtest period to give you the best comparison of this update (to see comparison results of previous updates, look at older posts in this blog under “Articles / Announcements”).
Hypothetical performance reports are shown below. They include $50 roundtrip for commission and slippage. They are all based on a $15,000 account (which is different than the amount I have used in the past for many of the systems). Past performance is not necessarily indicative of future results (see disclaimers). Reports must be viewed with Internet Explorer.
Bobcat I (Old) Bobcat I (Updated)
Bobcat II (Old) Bobcat II (Updated)
Cougar Alt (Old) Cougar Alt (Updated)
Jaguar Alt (Old) Jaguar Alt (Updated)
Leopard (Old) Leopard (Updated)
Leopard Alt (Old) Leopard Alt (Updated)
Lion II (Old) Lion II (Updated)
Lion II Alt (Old) Lion II Alt (Updated)