YangZiJiang Trend Score Case Study

This is a case study for using Trend Score Indicator on YangZiJiang Shipbuilding.

To recap, Trend Score indicator is a indicator invented by Tuschar Chande. For more information on Trend Score indicator, please refer to my earlier post http://stockstudent.blogspot.com/2008/03/trend-score.html

I have assumed the following trading rules.

Entry (For long trades)

1. Trend Score for today is greater than 5.
2. Trend Score yesterday is less than or equal to 5.
3. If condition 1 and 2 are true, buy at the market open on the next trading day,

Exit (For long trades)

1. Trend Score for today is less than 0
2. If condition 1 is true, sell at the market open on the next trading day.

The trading record for long trades is as follows:

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Draw Down %	Max Gain %	Bars Held
5/18/2007	1.63	7/31/2007	2.01	23.31	-1.227	40.4908	51
9/4/2007	1.86	9/18/2007	1.74	-6.45	-6.4516	3.7634	10
9/27/2007	2.09	10/31/2007	2.53	21.05	-2.8708	37.3206	24
2/20/2008	1.37	2/21/2008	1.32	-3.65	-7.2993	0.7299	1

Entry (For Short trades)

1. Trend Score for today is less than -5.
2. Trend Score yesterday is greater than or equal to -5.
3. If conditions 1 and 2 are true, short at the market open on the next trading day,

Exit (For Short trades)

1. Trend Score for today is greater than 0
2. If condition 1 is true, cover the short position at the market open on the next trading day.

This simple shorting rule gives the following trades:

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Draw Down %	Max Gain %	Bars Held
8/1/2007	1.95	8/29/2007	1.75	10.26	-0.5128	30.2564	19
9/24/2007	1.81	9/26/2007	1.9	-4.97	-5.5249	0	2
11/2/2007	2.35	12/12/2007	2.04	13.19	-2.9787	20.8511	27
12/17/2007	1.92	12/27/2007	2.04	-6.25	-6.7708	3.6458	6
1/3/2008	1.92	2/18/2008	1.44	25	-2.0833	39.5833	30
2/25/2008	1.28	Open	Open	23.05	-0.7812	39.0625	24

The trading record shows that the percentage gain for the winners outweighs the percentage loss for the losing trades.