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I am an independent investor blogging at Scott's Investments (http://scottsinvestments.blogspot.com/). My site focuses on consolidating and tracking free online investment resources for the public with an emphasis on ETFs, portfolio strategies, and macroeconomics.
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Scott's Investments
  • Backtesting Marketclub's Trade Triangles as a Portfolio Strategy 0 comments
    Oct 20, 2009 11:12 PM | about stocks: SKF, SPY, SQM, SSO, UNG, UYG, AUY, C, EWZ, FXE, GG, GLD, GOOG, IBM, INTC, NOK, PBR, QQQQ
     I previously detailed a potential trading service for retail investors from MarketClub. I found a backtest of the MarketClub Trade Triangle technology at the Shocked Investor blog. The results have been reproduced below.
     
    Here is my no BS interpretation of the backtest: My first impression is that Marketclub has held up very well the past 3-4 years, with the exception of leveraged ETFs (which I would not be trading/holding over long time periods to begin with) and one stock (GG). Any trend trading system is going to perform well in trending markets (strong up/down moves). The volatility in recent years helped Marketclub's system. Flat/choppy markets typically are the toughest markets on any trend system. In addition, if you decide to try their system you are still going to need to have your own money management system. In other words, stop losses and position sizes are up to the individual investor.

    That being said, if you are interested in a free 30 day trial of Marketclub, click here or check out their free video here. The backtest from Shocked Investor below, unverified by myself:

    The methodology is incredibly simple to use. I ran the same methodology they describe on several different stocks, backtesting from 2005/2006, wherever there was available data.

    Here are the results for an initial capital at risk of $10k:



    Sorted version:


    He concludes that:

    Out of 22 stocks that I normally trade or pay attention to, there were 19 winners. The average of the winners was 61.3%. This is not bad at all. It is quite impressive for such an easy to use tool (you just follow the buy and sell alerts).

    There were three losers: Goldcorp, SDS, and SKF. Goldcorp was ran twice, using extended time frames. The losses were reduced by using a longer timeframe. SDS is an ultra short (leveraged) ETF that tracks inversely the SPX. SKF is also an ultra-short that inversely tracks financials.

    It seems that the methodology works well on regular stocks, and also on long leveraged ETFs. It does not work so well on the short (bear) versions, at least the oens we ran. The stocks that are not too volatile do fine. The indicators alerts tend to lag and it seems as if the tool awaits for clear confirmation of trend changes before issuing an alert. With fast moving stocks, this may lag too much and it may or not work. For regular, solid companies this seems ok. Now it also wokrs fine for the bull leveraged versions.

    The above was all based on the monthly timeframes. It is also possible to use weekly and daily timeframes
    Disclosure: I am a Marketclub affiliate, primarily because I find their services of use.
    Themes: Marketclub Stocks: SKF, SPY, SQM, SSO, UNG, UYG, AUY, C, EWZ, FXE, GG, GLD, GOOG, IBM, INTC, NOK, PBR, QQQQ
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