One Year vs. Multi Year New Highs
Yesterday’s home page post looked at one of our screens “Multi-Year New Highs“. I back tested the idea utilizing the following criteria:
- SP500 is above its 100 day moving average.
- Stocks 7 day moving average of volume exceeds 500K.
- We’ll allow some room so the stop will be the trailing 3 month low.
- If not stopped out, sell in 30 trading days.
- $100K account maximum position size is 5% of equity – allowing up to 20 positions at any given time.
- Buy and Sell price is always the opening on the following day.
- Run against all stocks in the Worden Database (~7,300), from 1/1/2000 thru present.
Today we’ll use the exact same criteria against new one year (52 week) highs and we’ll compare the results to yesterday.
Both tests show a positive expectancy with the multi-year slightly better. Over the 11+ year test the multi-year screen returns an additional $196,957 over the one year which is a 3.81% better annual return. The maximum system draw down on the multi-year test is an additional 7%.
Either has a validity as a screening tool, however I think our 5 year has some distinct advantages. Of course you can probably add additional criteria that will aid in the selection process and improve results possibly dramatically.
ETF Range Projections for 5.8.12
You can’t operate a company by fear, because the way to eliminate fear is to avoid criticism. And the way to avoid criticism is to do nothing.
- Steve Ross
Current World Markets:
trade safe and
have a great day!