Stats for the new(ish) CCI system are pretty much complete. I will be posting them over the next few days.
Here are the CCI Stats for SPY.
Compound Annual Growth Rate: 26.55%
Profit Factor (2008-Present): 1.52
Win/Loss record: 123 wins, 52 losses (70.90%)
Average return per Trade: 0.54%
Median return per Trade: 0.96%
Top 3 Max Gains: 17.95%, 10.17%, 8.50%
Top 3 Worst Losses: -22.69%, -12.71%, -11.77%
Profit curves section:
I should mention up front that the system performed blah in 2009 for some reason. I need to examine that further to see why and possibly find a fix. I mentioned the other day I was going to look into partial positions to account for trends, but that was blah, too. Too much whipsawing. I did stumble onto something, but that's for another post.
The system has 218 trades since mid 2008. It comes out to about 60 trades per year. Just over 1 per week, so this is a nice & easy swing trading system which requires little time and effort to follow. It favors mean-reversion and only very short term trends. The most recent short trade was a great example. Strong, steady, powerful moves in 1 direction are definitely its Achilles' heel.
If you can't stomach big swings, please avoid using leverage! :) You'll see what I mean when looking at the TNA curve. SPY offers a nice steady gain over time.
That's all for right now...Like I said, more coming soon... Happy Sunday!