Tuesday 17 April 2007

New Market: HUI Gold Bugs Index

I'm expanding my coverage to the Gold Bugs Index (symbol HUI). See the details on the "Profit/Loss Results" page in the right-hand column.

This HUI trade has returned a 2,914-percent profit since 1996, compared to 96 percent from buying-and-holding the index itself. That's a 5.51-percent gain on average per week. There were eight winning trades and one losing one as of this date. (The one losing trade is actually the current signal - a sell on the open of trading on Feb. 19 - so it may yet turn out to be a winner.)

It was a risky trade, though. Although all completed trades were eventually winners, there was a huge drawdown to ride out - 42 percent. So I won't be allocating more than a maximum 5 percent to this trade. (See "Portfolio allocation" under "Glossary" in the right-hand column for an explanation of how I calculate this figure.)

2 comments:

Unknown said...

Alex,

I backtested the COTS approach you outlined in the past issue of Stocks & Commodities magazine this past issue for commercials & small traders for the S&P 500.

The methodology had a high correlation except for the period of 6/5/95-11/3/97 for the small traders, fading the buy signal indicated a sell for the S&P and it went up 75%.

Using the comercials for the period 10/16/95 - 8/17/98 gave a sell signal for the S&P and it went up 85.9%.

Have you noticed this discrepancy in you study of the method?

Jim

Alex Roslin said...

Hi Jim,

Thanks for your message. I'm glad to have encouraged your COTs research. My signals aren't the same as yours for the small traders. I'm not sure which setup you're using for the commercials, but my signals aren't the same there either.

I've just updated my "Profit/Loss Results and Signals" page with the signals and running profit/loss results for the S&P 500, DJIA and USERX. Have a look and see if your S&P 500 "Std Dev." values correspond with mine.

Best regards,
Alex