Journal of Technical Analysis - Market Technicians Association

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Finally, due to a much larger tick value in Nymex Natural Gas, that commodity was removed of the final calculations, as Natural Gas had too much impact on
the total outcome.
II-A
Trade entry on Kijun Sen/Tanken Sen crossover, with no other condition. Exit on reverse Kijun Sen/Tenkan Sen crossover, with no other condition: this signal
is named “tk1” in this paper. (see figure 8)
Figure 8: Tk1, Example on Copper futures. (The indicators below the price chart “tk_sht1” and “TK_Lg1” represent the total
profit as a line, and the closed profit as a histogram, for respectively the short system and the long system.)
The net profits are: $146,533 for the long and $-57,191 for the short. The total profit, $89,342 was the highest of the six cases studied. However, this is
immediately mitigated by the fact the total loss on the short side is the second largest of the twelve cases studied, and this method also has the highest maximum
drawdown, at $352,000. This illustrates that this method would benefit from filters, aiming to reduce risk and preserve capital.
Not surprisingly, this method also has more than/or very close to (for one case) double the number of the trades as the other methods.
II-B
Trade entry on Kijun Sen/Tanken Sen crossover, adding both the Chikou Span and the cloud as filters. Exit when either condition no longer fulfilled. This signal
is named “tk2” in this paper. (see figure 9)
Figure 9. Tk2: example of the short signal on Copper futures. (The indicator below the price chart “tk_sht2” represents the
total profit (green) or loss (red) as a line, and the closed profit (green) or loss (red) as a histogram, for the short system.)
Jo u r n a l of Technical Analysis • 2008 • Issue 65