Random selection

This report is based on a trading system consisting of a portfolio of 25 concurrent positions created from securities selected at random from the top 500 traded companies in the US stock market and held for 6 months. When a position is closed it is replaced. The report shows the results from 580 accounts, each traded for two years, starting two weeks apart from January 1986 up to December 2010. The median gain for the accounts is 9.5% (mean 7.8%) versus 8.2% for the S&P500. Alpha is 0.09% and is calculated as the mean difference from the custom index, which is created from the gain/loss of trading all qualifying securities in place of the single security in each position. 58,965 trades were used. Click here to display the report pdf.

Random selection with 7% stop loss

This report is based on a trading system consisting of a portfolio of 25 concurrent positions created from securities selected at random from the top 500 traded companies in the US stock market and held for 6 months or until a 7% stop loss is hit. When a position is closed it is replaced. The report shows the results from 580 accounts, each traded for two years, starting two weeks apart from January 1986 up to December 2010. The median gain for the accounts is 8.7% (mean 7.4%) versus 8.2% for the S&P500. Alpha is -0.31% and is calculated as the mean difference from the custom index, which is created from the gain/loss of trading all qualifying securities in same of the single security in each position. 134,187 trades were used. Click here to display the report pdf.

Random selection with ATR-based stop loss

This report is based on a trading system consisting of a portfolio of 25 concurrent positions created from securities selected at random from the top 500 traded companies in the US stock market and held for 6 months or a stop loss based on the average true range is hit. When a position is closed it is replaced. The report shows the results from 580 accounts, each traded for two years, starting two weeks apart from January 1986 up to December 2010. The median gain for the accounts is 5.7% (mean 3.9%) versus 8.2% for the S&P500. Alpha is -4.7% and is calculated as the mean difference from the custom index, which is created from the gain/loss of trading all qualifying securities in place of the single security in each position. 162,124 trades were used. Click here to display the report pdf.