20.03.2013 Views

Journal of Technical Analysis - Market Technicians Association

Journal of Technical Analysis - Market Technicians Association

Journal of Technical Analysis - Market Technicians Association

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

46<br />

Finally, due to a much larger tick value in Nymex Natural Gas, that commodity was removed <strong>of</strong> the final calculations, as Natural Gas had too much impact on<br />

the total outcome.<br />

II-A<br />

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<br />

is named “tk1” in this paper. (see figure 8)<br />

Figure 8: Tk1, Example on Copper futures. (The indicators below the price chart “tk_sht1” and “TK_Lg1” represent the total<br />

pr<strong>of</strong>it as a line, and the closed pr<strong>of</strong>it as a histogram, for respectively the short system and the long system.)<br />

The net pr<strong>of</strong>its are: $146,533 for the long and $-57,191 for the short. The total pr<strong>of</strong>it, $89,342 was the highest <strong>of</strong> the six cases studied. However, this is<br />

immediately mitigated by the fact the total loss on the short side is the second largest <strong>of</strong> the twelve cases studied, and this method also has the highest maximum<br />

drawdown, at $352,000. This illustrates that this method would benefit from filters, aiming to reduce risk and preserve capital.<br />

Not surprisingly, this method also has more than/or very close to (for one case) double the number <strong>of</strong> the trades as the other methods.<br />

II-B<br />

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<br />

is named “tk2” in this paper. (see figure 9)<br />

Figure 9. Tk2: example <strong>of</strong> the short signal on Copper futures. (The indicator below the price chart “tk_sht2” represents the<br />

total pr<strong>of</strong>it (green) or loss (red) as a line, and the closed pr<strong>of</strong>it (green) or loss (red) as a histogram, for the short system.)<br />

Jo u r n a l <strong>of</strong> <strong>Technical</strong> <strong>Analysis</strong> • 2008 • Issue 65

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!