Posted By: Peter   Date: Mon Feb 18, 2008

Title: Version 16.1

Message:
  It seems to me that version 16.1 has an excellent record when viewing the past forecast performance. Any idea what the annual return would be from your start date of 2/4/04 if you were in the market only during the buy signals?

Response:
  Interesting question. Below are the results. Please note that the networks were trained over all but the last 200 days, so the data presented may not be meaningful. The analyses were done for the last 1000 trading days. The start date is: February 27, 2004.

Long, cash, and short Results
Model Return: 2.69 (169 percent increase)
num of longs: 24
num of shorts: 17
num of stops: 0
days long: 472
days short: 258
days cash: 270
total days: 1000
max drawdown: 3.10 percent

Long and cash Results
Model Return: 1.80 (80 percent increase)
num of longs: 24
num of shorts: 0
num of stops: 0
days long: 472
days short: 0
days cash: 528
total days: 1000
max drawdown: 3.10 percent

Buy and hold return: 1.16 (16 percent increase)

As you can see, short positions played an important role. Being very conservative, I always set tight stops when being short.

Rich