I've created a powerful formula in TD Ameritrade Strategy Desk. It's working very well with me, trading only with QQQQ and IWM. The statistics are as follows:
BackTesting : 5 years ago (from 1,Jan, 2004)To (5,Nov. 2008)
P-L : From $25,000 To $570,310 .
P-L % : 2181%
Number of winners: 132
Numbers of losers: 17
% winners : 89%
Profit Factor: 5.13
Max. Consec. Winners: 24
Max. Consec. Losers: 1
I will post the strategy signals on my blog for you to judge their effectiveness.
Regards
Khaled
-------------------
The strategy Backtesting signals
Symbol | Date | Action | Price | Profit-Loss % |
qqqq | 1/29/2004 | Buy | 37.24 | 0 |
qqqq | 2/3/2004 | Sell | 36.93 | -0.86 |
qqqq | 2/5/2004 | Buy | 36.47 | 0 |
qqqq | 2/6/2004 | Sell | 37.13 | 1.79 |
iwm | 2/9/2004 | Buy | 58.27 | 0 |
iwm | 2/10/2004 | Sell | 58.97 | 1.17 |
iwm | 3/16/2004 | Buy | 56.65 | 0 |
iwm | 3/17/2004 | Sell | 57.7 | 1.83 |
qqqq | 3/30/2004 | Sell Short | 35.91 | 0 |
qqqq | 3/31/2004 | Buy to Cover | 35.84 | 0.17 |
iwm | 4/20/2004 | Buy | 57.26 | 0 |
iwm | 4/21/2004 | Sell | 58.2 | 1.62 |
qqqq | 4/22/2004 | Buy | 36.92 | 0 |
qqqq | 4/23/2004 | Sell | 37.21 | 0.76 |
iwm | 4/26/2004 | Buy | 59 | 0 |
iwm | 4/28/2004 | Sell | 57.62 | -2.36 |
iwm | 5/26/2004 | Sell Short | 56.63 | 0 |
iwm | 6/3/2004 | Buy to Cover | 56 | 1.09 |
iwm | 6/10/2004 | Sell Short | 56.85 | 0 |
iwm | 6/14/2004 | Buy to Cover | 55.73 | 1.94 |
qqqq | 6/23/2004 | Buy | 37.12 | 0 |
qqqq | 6/25/2004 | Sell | 37.21 | 0.22 |
iwm | 7/12/2004 | Buy | 56 | 0 |
iwm | 7/13/2004 | Sell | 56.07 | 0.1 |
iwm | 7/14/2004 | Buy | 55.75 | 0 |
iwm | 7/15/2004 | Sell | 55.87 | 0.19 |
qqqq | 8/3/2004 | Sell Short | 34.23 | 0 |
qqqq | 8/5/2004 | Buy to Cover | 33.6 | 1.81 |
iwm | 8/20/2004 | Sell Short | 54.51 | 0 |
qqqq | 8/23/2004 | Sell Short | 34.09 | 0 |
iwm | 8/23/2004 | Buy to Cover | 54.31 | 0.34 |
qqqq | 8/30/2004 | Buy to Cover | 33.98 | 0.3 |
iwm | 9/7/2004 | Sell Short | 56.17 | 0 |
iwm | 9/8/2004 | Buy to Cover | 55.87 | 0.51 |
iwm | 9/28/2004 | Buy | 56.4 | 0 |
iwm | 9/29/2004 | Sell | 56.92 | 0.9 |
iwm | 9/30/2004 | Buy | 56.92 | 0 |
iwm | 10/1/2004 | Sell | 58.36 | 2.5 |
iwm | 10/19/2004 | Buy | 56.46 | 0 |
iwm | 10/20/2004 | Sell | 56.75 | 0.49 |
qqqq | 10/29/2004 | Buy | 36.9 | 0 |
qqqq | 11/1/2004 | Sell | 37.04 | 0.35 |
iwm | 12/13/2004 | Buy | 63.79 | 0 |
iwm | 12/14/2004 | Sell | 64.13 | 0.51 |
qqqq | 12/22/2004 | Buy | 39.73 | 0 |
qqqq | 12/28/2004 | Sell | 39.97 | 0.58 |
iwm | 1/7/2005 | Buy | 60.93 | 0 |
qqqq | 1/10/2005 | Buy | 38.53 | 0 |
iwm | 1/10/2005 | Sell | 61.55 | 0.99 |
qqqq | 1/12/2005 | Sell | 38.58 | 0.1 |
iwm | 1/13/2005 | Buy | 60.86 | 0 |
iwm | 1/14/2005 | Sell | 61.44 | 0.93 |
iwm | 1/31/2005 | Sell Short | 62.12 | 0 |
qqqq | 2/4/2005 | Sell Short | 37.75 | 0 |
iwm | 2/4/2005 | Buy to Cover | 63.39 | -2.07 |
qqqq | 2/7/2005 | Buy to Cover | 37.67 | 0.18 |
qqqq | 2/9/2005 | Sell Short | 37.11 | 0 |
qqqq | 2/14/2005 | Buy to Cover | 37.87 | -2.07 |
qqqq | 2/16/2005 | Sell Short | 37.98 | 0 |
qqqq | 2/17/2005 | Buy to Cover | 37.47 | 1.32 |
iwm | 2/28/2005 | Buy | 63.14 | 0 |
iwm | 3/1/2005 | Sell | 63.62 | 0.73 |
qqqq | 3/10/2005 | Sell Short | 37.52 | 0 |
qqqq | 3/11/2005 | Buy to Cover | 37.17 | 0.91 |
qqqq | 4/4/2005 | Sell Short | 36.46 | 0 |
qqqq | 4/13/2005 | Buy to Cover | 36.06 | 1.07 |
iwm | 4/26/2005 | Sell Short | 58.39 | 0 |
iwm | 4/28/2005 | Buy to Cover | 56.87 | 2.58 |
iwm | 5/5/2005 | Sell Short | 59.14 | 0 |
iwm | 5/12/2005 | Buy to Cover | 58.3 | 1.39 |
iwm | 5/20/2005 | Sell Short | 60.6 | 0 |
iwm | 5/25/2005 | Buy to Cover | 60.29 | 0.49 |
qqqq | 6/13/2005 | Buy | 37.73 | 0 |
qqqq | 6/16/2005 | Sell | 37.9 | 0.43 |
iwm | 6/29/2005 | Buy | 63.84 | 0 |
iwm | 7/1/2005 | Sell | 63.98 | 0.19 |
iwm | 7/27/2005 | Buy | 67.27 | 0 |
iwm | 7/28/2005 | Sell | 67.96 | 1 |
iwm | 8/10/2005 | Buy | 65.75 | 0 |
iwm | 8/11/2005 | Sell | 66.32 | 0.84 |
iwm | 8/12/2005 | Buy | 65.52 | 0 |
iwm | 8/15/2005 | Sell | 66.22 | 1.04 |
qqqq | 8/16/2005 | Buy | 38.81 | 0 |
qqqq | 8/17/2005 | Sell | 39.04 | 0.57 |
iwm | 8/18/2005 | Buy | 64.77 | 0 |
iwm | 8/19/2005 | Sell | 65.11 | 0.5 |
iwm | 8/22/2005 | Buy | 65.48 | 0 |
iwm | 8/25/2005 | Sell | 65.57 | 0.11 |
qqqq | 8/29/2005 | Buy | 38.76 | 0 |
qqqq | 8/31/2005 | Sell | 38.98 | 0.54 |
iwm | 9/1/2005 | Buy | 66.53 | 0 |
iwm | 9/6/2005 | Sell | 67.16 | 0.92 |
iwm | 9/26/2005 | Buy | 65.62 | 0 |
iwm | 9/29/2005 | Sell | 66.03 | 0.6 |
iwm | 10/5/2005 | Sell Short | 64.1 | 0 |
iwm | 10/6/2005 | Buy to Cover | 63.53 | 0.86 |
qqqq | 10/26/2005 | Sell Short | 38.81 | 0 |
qqqq | 10/27/2005 | Buy to Cover | 38.03 | 1.98 |
iwm | 11/3/2005 | Sell Short | 65.62 | 0 |
iwm | 11/4/2005 | Buy to Cover | 65.48 | 0.19 |
qqqq | 12/5/2005 | Buy | 41.8 | 0 |
qqqq | 12/6/2005 | Sell | 41.94 | 0.3 |
qqqq | 12/14/2005 | Buy | 41.9 | 0 |
qqqq | 12/15/2005 | Sell | 41.97 | 0.14 |
iwm | 12/21/2005 | Buy | 67.79 | 0 |
qqqq | 12/22/2005 | Buy | 41.4 | 0 |
iwm | 12/22/2005 | Sell | 67.97 | 0.24 |
qqqq | 12/28/2005 | Sell | 40.99 | -1.01 |
qqqq | 1/5/2006 | Buy | 41.92 | 0 |
qqqq | 1/6/2006 | Sell | 42.68 | 1.79 |
iwm | 2/13/2006 | Buy | 70.71 | 0 |
iwm | 2/14/2006 | Sell | 71.53 | 1.13 |
iwm | 2/15/2006 | Buy | 72.16 | 0 |
iwm | 2/16/2006 | Sell | 72.8 | 0.86 |
iwm | 2/17/2006 | Buy | 72.65 | 0 |
qqqq | 2/22/2006 | Sell Short | 41.26 | 0 |
iwm | 2/22/2006 | Sell | 72.82 | 0.21 |
qqqq | 2/23/2006 | Buy to Cover | 41.15 | 0.24 |
qqqq | 2/27/2006 | Sell Short | 41.72 | 0 |
qqqq | 2/28/2006 | Buy to Cover | 41.1 | 1.46 |
qqqq | 3/1/2006 | Sell Short | 41.66 | 0 |
qqqq | 3/3/2006 | Buy to Cover | 41.45 | 0.48 |
qqqq | 3/6/2006 | Sell Short | 41.09 | 0 |
qqqq | 3/7/2006 | Buy to Cover | 40.85 | 0.56 |
iwm | 3/10/2006 | Buy | 72.32 | 0 |
iwm | 3/13/2006 | Sell | 72.47 | 0.18 |
iwm | 3/15/2006 | Buy | 73.94 | 0 |
qqqq | 3/17/2006 | Sell Short | 41.45 | 0 |
iwm | 3/17/2006 | Sell | 74.07 | 0.15 |
qqqq | 3/21/2006 | Buy to Cover | 41.11 | 0.79 |
qqqq | 3/23/2006 | Sell Short | 41.09 | 0 |
qqqq | 3/29/2006 | Buy to Cover | 41.92 | -2.05 |
iwm | 4/17/2006 | Buy | 74.61 | 0 |
iwm | 4/18/2006 | Sell | 76.7 | 2.78 |
qqqq | 4/21/2006 | Buy | 42 | 0 |
qqqq | 4/26/2006 | Sell | 41.86 | -0.36 |
qqqq | 5/5/2006 | Buy | 42.16 | 0 |
qqqq | 5/8/2006 | Sell | 42.2 | 0.07 |
iwm | 5/17/2006 | Buy | 71.95 | 0 |
iwm | 5/22/2006 | Sell | 71.1 | -1.21 |
iwm | 6/5/2006 | Sell Short | 71.09 | 0 |
qqqq | 6/6/2006 | Sell Short | 38.75 | 0 |
iwm | 6/6/2006 | Buy to Cover | 70.79 | 0.4 |
qqqq | 6/7/2006 | Buy to Cover | 38.46 | 0.72 |
qqqq | 6/20/2006 | Sell Short | 38.08 | 0 |
qqqq | 6/27/2006 | Buy to Cover | 37.53 | 1.42 |
qqqq | 6/29/2006 | Sell Short | 38.96 | 0 |
qqqq | 6/30/2006 | Buy to Cover | 38.77 | 0.46 |
iwm | 7/3/2006 | Sell Short | 72.63 | 0 |
qqqq | 7/5/2006 | Sell Short | 38.15 | 0 |
iwm | 7/5/2006 | Buy to Cover | 71.57 | 1.43 |
qqqq | 7/6/2006 | Buy to Cover | 38.11 | 0.08 |
qqqq | 7/28/2006 | Sell Short | 37.11 | 0 |
qqqq | 8/1/2006 | Buy to Cover | 36.48 | 1.67 |
iwm | 8/2/2006 | Sell Short | 69.5 | 0 |
qqqq | 8/7/2006 | Sell Short | 36.71 | 0 |
iwm | 8/7/2006 | Buy to Cover | 69.35 | 0.19 |
qqqq | 8/8/2006 | Buy to Cover | 36.48 | 0.6 |
qqqq | 8/18/2006 | Sell Short | 38.79 | 0 |
qqqq | 8/21/2006 | Buy to Cover | 38.42 | 0.93 |
qqqq | 9/12/2006 | Buy | 39.68 | 0 |
qqqq | 9/13/2006 | Sell | 39.96 | 0.68 |
iwm | 10/6/2006 | Buy | 73.5 | 0 |
iwm | 10/9/2006 | Sell | 74.06 | 0.74 |
qqqq | 11/2/2006 | Buy | 42.04 | 0 |
qqqq | 11/6/2006 | Sell | 42.54 | 1.16 |
qqqq | 11/7/2006 | Buy | 42.83 | 0 |
qqqq | 11/8/2006 | Sell | 43.03 | 0.44 |
qqqq | 11/9/2006 | Buy | 42.8 | 0 |
qqqq | 11/10/2006 | Sell | 43.03 | 0.51 |
iwm | 12/1/2006 | Buy | 77.78 | 0 |
iwm | 12/4/2006 | Sell | 79.32 | 1.95 |
qqqq | 12/7/2006 | Buy | 43.7 | 0 |
qqqq | 12/8/2006 | Sell | 43.9 | 0.43 |
qqqq | 12/13/2006 | Buy | 43.88 | 0 |
qqqq | 12/14/2006 | Sell | 44.37 | 1.09 |
iwm | 12/22/2006 | Buy | 77.11 | 0 |
qqqq | 12/26/2006 | Buy | 43.11 | 0 |
iwm | 12/26/2006 | Sell | 78.21 | 1.4 |
qqqq | 12/27/2006 | Sell | 43.33 | 0.48 |
iwm | 12/28/2006 | Buy | 78.78 | 0 |
iwm | 1/4/2007 | Sell | 78.37 | -0.55 |
iwm | 1/11/2007 | Buy | 78.23 | 0 |
iwm | 1/12/2007 | Sell | 78.98 | 0.93 |
qqqq | 1/29/2007 | Buy | 43.61 | 0 |
qqqq | 1/31/2007 | Sell | 44.07 | 1.03 |
iwm | 3/5/2007 | Buy | 75.17 | 0 |
iwm | 3/6/2007 | Sell | 77.07 | 2.5 |
iwm | 3/21/2007 | Sell Short | 80.34 | 0 |
iwm | 3/23/2007 | Buy to Cover | 80.24 | 0.1 |
iwm | 5/4/2007 | Buy | 82.87 | 0 |
iwm | 5/9/2007 | Sell | 82.62 | -0.33 |
qqqq | 5/16/2007 | Buy | 46.55 | 0 |
qqqq | 5/18/2007 | Sell | 46.71 | 0.32 |
iwm | 5/21/2007 | Buy | 82.76 | 0 |
iwm | 5/22/2007 | Sell | 83.33 | 0.66 |
iwm | 5/23/2007 | Buy | 83 | 0 |
iwm | 5/29/2007 | Sell | 83.33 | 0.37 |
qqqq | 5/31/2007 | Buy | 47.41 | 0 |
qqqq | 6/4/2007 | Sell | 47.58 | 0.33 |
iwm | 6/13/2007 | Buy | 82.59 | 0 |
iwm | 6/14/2007 | Sell | 83.34 | 0.88 |
iwm | 6/18/2007 | Buy | 84.17 | 0 |
iwm | 6/19/2007 | Sell | 84.39 | 0.24 |
iwm | 7/2/2007 | Buy | 83.99 | 0 |
iwm | 7/3/2007 | Sell | 84.36 | 0.41 |
qqqq | 7/30/2007 | Buy | 48.55 | 0 |
qqqq | 7/31/2007 | Sell | 47.53 | -2.13 |
qqqq | 8/1/2007 | Buy | 47.9 | 0 |
qqqq | 8/2/2007 | Sell | 48.34 | 0.89 |
qqqq | 8/6/2007 | Buy | 47.97 | 0 |
qqqq | 8/7/2007 | Sell | 48.31 | 0.68 |
iwm | 8/13/2007 | Sell Short | 77.67 | 0 |
iwm | 8/14/2007 | Buy to Cover | 76.31 | 1.73 |
iwm | 8/15/2007 | Sell Short | 75.2 | 0 |
iwm | 8/16/2007 | Buy to Cover | 76.75 | -2.09 |
iwm | 8/22/2007 | Sell Short | 79.63 | 0 |
iwm | 8/23/2007 | Buy to Cover | 78.61 | 1.26 |
qqqq | 8/27/2007 | Sell Short | 47.88 | 0 |
qqqq | 8/28/2007 | Buy to Cover | 46.74 | 2.36 |
iwm | 9/4/2007 | Sell Short | 79.75 | 0 |
iwm | 9/5/2007 | Buy to Cover | 79.01 | 0.9 |
iwm | 9/6/2007 | Sell Short | 79.03 | 0 |
iwm | 9/7/2007 | Buy to Cover | 77.66 | 1.71 |
iwm | 9/21/2007 | Sell Short | 80.96 | 0 |
iwm | 9/24/2007 | Buy to Cover | 80.34 | 0.74 |
iwm | 10/22/2007 | Buy | 80.76 | 0 |
iwm | 10/23/2007 | Sell | 81.38 | 0.74 |
iwm | 10/25/2007 | Buy | 80.66 | 0 |
iwm | 10/26/2007 | Sell | 82.01 | 1.65 |
qqqq | 11/13/2007 | Buy | 50.74 | 0 |
qqqq | 11/16/2007 | Sell | 50.28 | -0.93 |
iwm | 12/3/2007 | Sell Short | 75.75 | 0 |
iwm | 12/4/2007 | Buy to Cover | 75 | 0.96 |
iwm | 12/10/2007 | Sell Short | 79.11 | 0 |
iwm | 12/11/2007 | Buy to Cover | 76.33 | 3.49 |
iwm | 12/27/2007 | Sell Short | 77.39 | 0 |
iwm | 12/28/2007 | Buy to Cover | 76.56 | 1.05 |
iwm | 1/28/2008 | Sell Short | 69.92 | 0 |
iwm | 1/30/2008 | Buy to Cover | 69.22 | 0.98 |
qqqq | 2/5/2008 | Sell Short | 43.67 | 0 |
qqqq | 2/6/2008 | Buy to Cover | 42.81 | 1.94 |
qqqq | 2/14/2008 | Sell Short | 43.97 | 0 |
qqqq | 2/15/2008 | Buy to Cover | 43.82 | 0.32 |
iwm | 2/19/2008 | Sell Short | 70.73 | 0 |
iwm | 2/21/2008 | Buy to Cover | 69.39 | 1.87 |
qqqq | 2/28/2008 | Sell Short | 44.12 | 0 |
qqqq | 2/29/2008 | Buy to Cover | 42.95 | 2.63 |
qqqq | 3/14/2008 | Sell Short | 42.25 | 0 |
qqqq | 3/17/2008 | Buy to Cover | 41.48 | 1.8 |
iwm | 3/24/2008 | Sell Short | 69.99 | 0 |
iwm | 3/26/2008 | Buy to Cover | 69.64 | 0.47 |
iwm | 4/4/2008 | Sell Short | 71.16 | 0 |
iwm | 4/7/2008 | Buy to Cover | 70.96 | 0.26 |
iwm | 4/17/2008 | Buy | 70.92 | 0 |
iwm | 4/18/2008 | Sell | 71.67 | 1.03 |
iwm | 5/13/2008 | Buy | 73.49 | 0 |
iwm | 5/16/2008 | Sell | 73.95 | 0.6 |
qqqq | 5/28/2008 | Buy | 49.25 | 0 |
qqqq | 5/29/2008 | Sell | 49.69 | 0.87 |
iwm | 5/30/2008 | Buy | 74.67 | 0 |
iwm | 6/4/2008 | Sell | 74.3 | -0.52 |
qqqq | 6/13/2008 | Buy | 48.37 | 0 |
qqqq | 6/16/2008 | Sell | 48.8 | 0.86 |
qqqq | 6/17/2008 | Buy | 48.54 | 0 |
qqqq | 6/19/2008 | Sell | 48.77 | 0.45 |
iwm | 7/21/2008 | Sell Short | 69.72 | 0 |
iwm | 7/22/2008 | Buy to Cover | 71.47 | -2.54 |
qqqq | 7/28/2008 | Sell Short | 44.42 | 0 |
qqqq | 7/29/2008 | Buy to Cover | 45.34 | -2.1 |
qqqq | 7/30/2008 | Sell Short | 45.57 | 0 |
qqqq | 7/31/2008 | Buy to Cover | 45.46 | 0.22 |
iwm | 8/1/2008 | Sell Short | 71.41 | 0 |
iwm | 8/4/2008 | Buy to Cover | 70.75 | 0.9 |
qqqq | 8/8/2008 | Sell Short | 47.32 | 0 |
qqqq | 8/19/2008 | Buy to Cover | 47.01 | 0.63 |
iwm | 8/27/2008 | Buy | 73.03 | 0 |
iwm | 8/28/2008 | Sell | 74.51 | 2 |
iwm | 8/29/2008 | Buy | 73.87 | 0 |
iwm | 9/3/2008 | Sell | 74.15 | 0.35 |
iwm | 9/10/2008 | Buy | 71.47 | 0 |
iwm | 9/11/2008 | Sell | 71.92 | 0.6 |
iwm | 9/15/2008 | Buy | 69.01 | 0 |
iwm | 9/16/2008 | Sell | 71 | 2.86 |
iwm | 9/24/2008 | Sell Short | 69.94 | 0 |
iwm | 9/29/2008 | Buy to Cover | 65.05 | 6.97 |
qqqq | 9/30/2008 | Sell Short | 38.91 | 0 |
qqqq | 10/1/2008 | Buy to Cover | 38.5 | 1.03 |
qqqq | 10/16/2008 | Sell Short | 32.26 | 0 |
qqqq | 10/20/2008 | Buy to Cover | 33.2 | -2.94 |
qqqq | 10/21/2008 | Sell Short | 31.48 | 0 |
qqqq | 10/22/2008 | Buy to Cover | 30.61 | 2.74 |
iwm | 10/23/2008 | Sell Short | 48.99 | 0 |
iwm | 10/24/2008 | Buy to Cover | 47.17 | 3.69 |
iwm | 10/31/2008 | Sell Short | 53.75 | 0 |
iwm | 11/5/2008 | Buy to Cover | 51.59 | 3.99 |
10 comments:
I hope it goes well for you :)
Thank you bojacob
Very nice equity curve. Have you tried with long and inverse ETF's? Direxion has new 3X funds. If it works with them you can improve your equity curve significantly?
Hi Khaled, did you try other equities as well? Did you backtest on fixed shares/capital? Any trailing involved?
Keith,
Thanks for your comment,
I did not tried with inverse ETF's.
Also I use it from 2001 to now, and it gave me a strong result, I will post it soon.
Anonymouse,
I'm using Ameritrade margin account with 2.8 times of my cash.
also Im backtesting on a fix capital.
Thanks
hi,
I can't find your formula?
tnx
I'm not going to post my formula,
I just want to show the results, maybe someone interested to buy it.
Thanks
You said you just want to show the results, maybe someone interested to buy it.
well, i am interested to buy your formula. How much?
Adel,
Could you please write your email address at here,or send to me email at khaledhhh@gmail.com
Thanks
Khaled
Post a Comment