Wednesday, December 16, 2009

WMT Double 6s w/stop

Here's a follow up to my previous post on WMT and the double 6s. Last time around I'd suggested a $100 per trade stop to minimize drawdown and Ramon offered a brief critique of that idea.
I re-optimized using a $110 stop and TS kicked out a slightly different set of inputs . .in this case 6,7,4,6.
The new model has a slightly smoother equity curve but we're still showing some imminent rollover in the curve at the present time.
The rolling profit curve shown below has essentially been flat since April, missing the price retracement from April to November, but also avoiding the drawdown that would have been a consequence of a buy and hold position.
Comparing the two models side by side shows the relative safety of the later model at the expense of more frequent trades and an increased number of consecutive losers.

No comments: