Friday, 13 April 2007

New Markets: Russell 2000 and SOX

I'm expanding my market coverage to include the Russell 2000 Index and SOX Semiconductor Index. For full details of both trades, click on "Profit/Loss Results" in the right-hand column.

My system has been long the Russell 2000 since March 2003. It has had a 266-percent return since the first trade signal in 1999 - compared to a 102-percent gain from buying-and-holding the Russell 2000. The average weekly profit was 0.63 percent, with the largest loss being 10 percent.

As for the SOX, I found the COTs data for the NASDAQ gave excellent historical returns for the Semiconductors - an 890-percent profit, compared to 23 percent from buying-and-holding the SOX itself. Just as with the NASDAQ trade (see below), my system gave a buy for the SOX on March 30 - for execution with a one-week delay on the open Monday, April 9.

The average weekly profit was 2.18 percent since the first trade signal in 1999. The largest drawdown for the SOX trade was 24 percent.

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