TRENDROOM proprietary mechanical trading systems


Below are shown the results from my mechanical  trend following system with shares of Bulgarian Central Cooperative Bank Plc..

Nothing shown here can be taken as investment advice.

Central Cooperative Bank Plc. (4CF) – Bulgarian  Stock Exchange

Initial Capital: 10 000 BGN

Сигнал: BUY – (description of signal is not shown here)

Сигнал: SELL – (description of signal is not shown here)

System plays only on LONG side . SELL signals mean exit from current long position.

Observation period: Nov 2004 – Nov 2009

Deals based on generated signals from the system

Signal Price Date
BUY 1.634 28/12/2004
SELL 2.911 20/04/2005
BUY 3.162 13/05/2005
SELL 3.027 31/05/2005
BUY 3.017 12/7/2005
SELL 3.723 26/10/2005
BUY 2.601 3/11/2005
SELL 3.694 25/11/2005
BUY 3.858 6/12/2005
SELL 4.458 25/05/2006
BUY 4.603 13/06/2006
SELL 4.613 11/8/2006
BUY 4.642 26/09/2006
SELL 7.32 6/3/2007
BUY 7.929 11/4/2007
SELL 7.63 20/04/2007
BUY 8.121 16/05/2007
SELL 9.298 21/08/2007
BUY 9.26 29/08/2007
SELL 11.28 16/11/2007
BUY 5.45 23/05/2008
SELL 5.179 6/6/2008
BUY 0.918 30/03/2009
SELL 1.318 19/06/2009
BUY 1.311 6/8/2009
SELL 1.441 5/10/2009
BUY 1.567 21/10/2009
SELL 1.49 27/10/2009

System analysis

Initial Capital in Bulgarian leva 10,000.00
Ending capital in Bulgarian leva 95,840.15
Total # of deals (Buy+Sell) 14
# of winning deals 10
# of lossing deals 4
Total return 858.40%
Average annual return 59.60%
Return of BUY & HOLD strategy -8.81%

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: