Investment Strategies
Sample Stocks Analysis
Here is
a sample summary analysis of 21 stocks and stock indexes traded with one of the
675 strategies. This is what volumes 8, 9 and 10 contain. The
programs produce an analysis in much greater detail for each stock. This
is a summary of some of the information from that analysis.
This
analysis is based on trading 1000 shares of stock with a $100 round turn commission,
no slippage, and no margin for stocks. (The margin
column represents the initial purchase price for stocks and the futures margin
for the 3 stock indexes included here.
This strategy tends to buy and hold these stocks, so the average number of trades per year (over a many year period) is zero. The entries for SP, NASD, and MAJMKT are for those stock indexes. Note that there are more trades for the stock indexes. These indexes are tradable in the futures market. However, the SP (S&P 500) price fluctuation is almost identical to the OEX (S&P 100) price fluctuation. The OEX can be traded through a stock broker.
Most of these stocks are high tech stocks because that was the industry I worked in for many years.
Stock $/Yr
$/Trd Trd/Yr Draw Str %Mgn %D+Mgn %Win %W/Yr Margin
AMZN 25330
61215 0 0
0 1705 1705
100 100 1485
BAC 1787
49591 0 0
0 19 19
100 100 8984
BMY 2409
71692 0 0
0 212 212
100 100 1133
BOL 2068
61544 0 0
0 42 42
100 100 4906
DAL 1410
41950 0 0
0 18 18
100 100 7500
DE 1204
35845 0 0
0 32 32
100 100 3667
FON 1420
42262 0 0
0 24 24
100 100 5813
GE 3885 115607 0
0 0 170
170 100 100
2281
HWP 3634 108134 0
0 0 214
214 100 100
1691
IBM 3817 113562 0 0
0 20 20
100 100 18388
KO 1775
52835 0 0
0 102 102
100 100 1740
MSFT 6879
93452 0 0
0 3698 3698
100 100 186
ORCL 3365
45712 0 0
0 1413 1413
100 100 238
T 25330
61215 0 0
0 1705 1705
100 100 1485
TX 1721
51200 0 0
0 11 11
100 100 14750
TXU 395
11762 0 0
0 1 1
100 100 27188
XON 2501
74427 0 0
0 64 64
100 100 3898
YHOO 44295 155033 0
0 0 949
949 100 100
4667
SP 22116
5119 4 25187
3 86 43
55 66 25465
NASD 9791
86488 0 0
0 269 269
100 100 3632
MAJMKT 14224
1206 11 42350
40 219 29
64 90 6482
21 $/Yr
$/Trd Trd/Yr Draw Str %Mgn %D+Mgn %Win %W/Yr Margin
Total 1793561339851 15
67537 43 10973
10740 2019 2056 145579
Average 8540
63802 1 3216
2 522 511
96 97 6932
Return on account size of 213116 = 179356 or 84.1%
The abbreviations at the top of the analysis table are:
Stock The stock symbol for stocks or the futures name for stock indexes
$/Yr The
average dollars per year made by trading this commodity with this
particular
strategy.
$/Trd The
average dollars per trade
Trd/Yr The
average number of trades in a year
Draw The
largest drawdown ever seen in the multi-year period of testing
Str Ignore
this column
%Mgn The
average annual percent profit on the required margin
%D+Mgn The
average annual percent profit on the sum of the required margin
plus
the largest drawdown observed over the test period
%Win The percent of winning trades
%W/Yr The
percent of years with a profit
Margin The
amount of margin required for this stock
The account size in the last line of the analysis is
the sum of the largest observed drawdown for each stock plus the margin required
for each stock.