The AIQ code and EDS file for Gerald Gardner’s article in October 2012 Stocks and Commodities, “A Seasonal Strategy With Leveraged ETFs,” is provided at the following website: www.TradersEdgeSystems.com/traderstips.htm.
To test Gardner’s seasonal system with the leveraged exchanged traded funds (ETFs) DBC and DDM using AIQ’s Portfolio Manager, a trading simulation was run with the following capitalization and cost settings:
- Maximum of two open positions
- Size each position at 50 % of mark-to-market total capital
- Take no more than two new positions per day
- Compute the mark-to-market capital each day
- Three cents per share was deducted for each round turn trade.
In Figure 7, I show the resulting statistics and equity curve compared to the S&P 500 index (SPX). For the period 9/1/2006 to 8/13/2012, the system returned an average internal rate of return of 13.7% with a maximum drawdown of 32% on 3/5/2009. These statistics differ from the author’s due to my test starting earlier, and also, I picked up three trades that the author did not show in his list of trades with returns of -15.4%, -8.0%, and 1.0%. These differences may be due to differences in our data. In my test, there were only 12 trades and I would like to see more trades before I would rely on this as a trading strategy. This is the problem with testing systems on ETFs — there is not enough data.
! Author: Gerald Gardner
! Coded by: Richard Denning 8/14/12
! www.TradersEdgeSystems.com
! ABBREVIATIONS:
C is [close].
C1 is valresult(C,1).
O is [open].
H is [high].
H1 is valresult(H,1).
L is [low].
L1 is valresult(L,1).
V is [volume].
PEP is {position entry price}.
PD is {position days}.
OSD is offsettodate(month(),day(),year()).
! UDFs AND RULES FOR STRATEGY:
SMA50 is simpleavg(C,50).
OK_BUY if (month() >= 1 and month() <= 4)
or (month() >= 10 and month() <=12).
BUY if OK_BUY and C > SMA50.
SELL if month() = 5.
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