As promised yesterday, these are the results of the 3 Day Low system for the Qs.
The upper record is performance without a stop, the lower records includes a $10/100 share Breakeven Floor stop. The frequency of trades is strikingly similar to the IWM profiled yesterday, and when optimized, 7 days pops out as the best fixed exit, just like the IWM. Does this suggest that the major indices tend to trade lockstep, or something deeper? I'm still working on that one.
While overall returns are not as great as IWM, we've got to remember that the Qs are trading at 46 and the IWM at 72. Five years ago, when the study began, the Qs were 26 and the IWM 38, so there's a bit of a skew in underlying price to consider. Once again, max consecutive losers is 3.
One difference between IWM and Qs performance is the Qs lack of gain using the stop. This is a bit surprising and I'm open to suggestions on possible reasons.
While I was at it, I decided to run the 3 day low on the XLE and NEM, to test the robustness of the system. Below are results for XLE. NEM %s were very similar to the XLE so I didn't post those records. Although 8 days pops up in the optimizes fixed exit, 7 days is almost identical, so no big discrepancy there. Again, a similar frequency of trades, max consecutive losers and % profitable when compared to the IWM and Qs.
Upper record is without stop, lower record is with $25/100 share Breakeven stop. This is where the system really falls apart. . . both on the XLE and NEM (not shown). % profitable drops to 30% range for XLE and NEM. So here's a case where stops (or at least this type of stop) are to be avoided.