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Journal of Technical Analysis - Market Technicians Association

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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

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