Sunday, July 3, 2011

QE Big Time Swing System 1st Half Results Update

I’ve updated the Quantifiable Edges Big Time Swing System overview page with results through June 30th. There is not a trade currently open. I don’t update results that often since the system only trades about once per month on average. The 1st half of 2011 produced a tame but still positive return of 3.00% for SPY (including dividends, commissions of $0.01/share, and an assumed interest rate on cash of 0.18%).  This was achieved with 1 short trade and 5 long trades.

While the SPY return was mild, it’s encouraging to see that most other ETFs did quite well. In the system manual I discuss how I tested the system for robustness using a list of 29 ETFs other than SPY. Statistics for each ETFs full history can be seen on the Quantifiable Edges Big Time Swing overview page. 2011 statistics can be seen in the table below:

For those looking for a system that they can use as a base to build their own system from, the Big Time Swing is an attractive option. It is all open-coded and comes complete with a substantial amount of background historical research. And since it is only in the market about ¼ of the time, it can easily be combined with other systems to provide greater efficiency of capital. Once you’re ready to try and improve the system yourself you can also refer to the system manual or the August 2010 purchaser-only webinar – both of which discuss numerous ideas for customization.

And if system development isn’t your thing, the Big Time Swing System provides easy to follow mechanical rules that you can follow. The standard parameters have performed quite well. There are only about 12 trades per year averaging 7 trading days per trade. All entries and exits are either at the open or the close. And to be sure you have everything set up properly traders may follow the private-purchasers only blog that shows all SPY signals and possible entry/exit levels. This service is free for 12 months from the date of purchase.

For more information and to see the updated overview sheet, click here.

If you’d like additional information about the system, or have questions, you may email BigTimeSwing @ Quantifiable (no spaces).


Trader Kevin said...

Now we know why you locked yourself in your office for three months!

A PF of 4.4? Nice!

How were the ETFs chosen for the robustness test?

Rob Hanna said...

Thanks Kevin.

To devise my ETF list I used the ETF Rewind product. I basically took all the ETF’s listed under “Major Index”, “Capitalization & Style” and “Major Sector”. I then eliminated any that wouldn’t trigger at least 30 trades because of their short history. What I was left with was 30 ETF’s (including SPY).

Trader Kevin said...

You wanted a minimum sample size of 30?

Uh-oh, flashbacks to Statistics 101, where every problem begins, "Assume a normal distribution..."


Trader Kevin said...

This system has some really nice features.

Love that all the trades are done at the open or close (i.e., peak liquidity).

It's also nice that there are long and short entries. It's nice to be out of the market during downtrends, but it's extra nice to profit from them!