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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: How to achieve 20% annual gains with 12% max drawdown while only in the market ¼ of the time |
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Total posts in this thread: 4 |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
All, Now that I got your attention with the title let me explain. I read an article that claimed that most of the gains in the stock market can be attributed to the last few days of a month and the first few days of the next month. So I set up a Sim to test that. Below is a 10 stock daily Sim I set up that buys on or after the 27th of the month and then sells all after 7 days. It uses a liquidity rule of AvgDailyTot(60) > 200 & Close(0) > 1. The results are annual return = 22.89, Max drawdown = 12.88, and it is only invested 1 week / month. So, that is VERY interesting, and it only works well with the Compustat data. Any ideas or comments? Here is the Sim (on the Compustat test server): Buy End of Month, 10 Stks, $200K Denny  ---------------------------------------- 
Buy End of Month.png
(11542 bytes)
(Download Count: 126)
---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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danparquette
Advanced Member
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Hi Denny. I changed the liquidity rule to AvgDailyTot(60) > 200000. You had it set to 200. Unless the syntax changed and its now in thousands, 200 means they only trade $200 a day. Using 200k/day, the performance changed to 8.7% a year. I'd still take that on a low risk porfolio, but thats a different ball game then the 20% you saw. I'd be curious to see how this system does just using an etf like one for the russell 3k. That would tell you the performance gained from buying the 28th and holding for a week without the ranking system's effect. ---------------------------------------- Dan |
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DennyHalwes
Advanced Member UNITED STATES Joined: Apr 28, 2004 Posts: 1532 Status: Offline |
Opps! I made a typo. I typed AvgDailyTot(60) > 200, in the above Sim insted of AvgDailyTot(60) > 200000. That made a BIG difference. Se the corrected Sim here: Buy End of Month, 10 Stks, $200K - Fixed Annual return = 11% and max drawdown = 28%. Not very impressive. Denny ----------------------------------------
Buy End of Month, 10 Stks, $200K - Fixed .png
(14181 bytes)
(Download Count: 130)
---------------------------------------- "The significant problems we face cannot be solved at the same level of thinking that we were at when we created them". Albert Einstein |
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hemmerling
Advanced Member
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Actually, find use for your cash the other 3 weeks of the month and that's pretty sweet. High transaction costs though. If only you could find a system that worked well on week 2, and week 3 and rotate. |
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How to achieve 20% annual gains with 12% max drawdown while only in the market ¼ of the time
Re: How to achieve 20% annual gains with 12% max drawdown while only in the market ¼ of the time
Re: How to achieve 20% annual gains with 12% max drawdown while only in the market ¼ of the time
