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 rules are the same as those used for YangZiJiang case study.
Trading record is as follows:
| Entry Date | Entry Price | Exit Date | Exit Price | % Change | Draw Down % | Max Gain % | Bars Held |
|---|---|---|---|---|---|---|---|
| 1/2/2004 | 0.615 | 3/9/2004 | 0.88 | 43.09 | 0 | 54.4715 | 44 |
| 3/11/2004 | 0.89 | 4/27/2004 | 0.85 | -4.49 | -5.0562 | 30.3371 | 32 |
| 5/28/2004 | 0.8 | 6/4/2004 | 0.755 | -5.63 | -7.5 | 0.625 | 4 |
| 6/7/2004 | 0.765 | 6/15/2004 | 0.745 | -2.61 | -2.6144 | 2.6144 | 6 |
| 6/30/2004 | 0.775 | 8/11/2004 | 0.855 | 10.32 | -1.9355 | 16.129 | 29 |
| 9/7/2004 | 0.835 | 11/2/2004 | 1.04 | 24.55 | 0 | 34.1317 | 40 |
| 11/8/2004 | 1.11 | 12/7/2004 | 1.13 | 1.8 | -1.8018 | 9.9099 | 19 |
| 12/24/2004 | 1.16 | 5/3/2005 | 1.75 | 50.86 | -1.7241 | 58.6207 | 86 |
| 5/5/2005 | 1.8 | 5/18/2005 | 1.69 | -6.11 | -6.6667 | 3.3333 | 9 |
| 6/1/2005 | 1.81 | 6/3/2005 | 1.79 | -1.1 | -2.7624 | 0.5525 | 2 |
| 6/6/2005 | 1.82 | 8/26/2005 | 2.38 | 30.77 | -0.5495 | 42.8571 | 54 |
| 9/5/2005 | 2.56 | 10/3/2005 | 2.55 | -0.39 | -1.5625 | 3.125 | 19 |
| 11/17/2005 | 2.27 | 11/29/2005 | 2.31 | 1.76 | -3.5242 | 5.2863 | 8 |
| 1/6/2006 | 2.32 | 1/24/2006 | 2.31 | -0.43 | -51.2931 | 2.1552 | 12 |
| 3/16/2006 | 1.22 | 3/23/2006 | 1.2 | -1.64 | -5.7377 | 2.459 | 5 |
| 3/24/2006 | 1.23 | 4/10/2006 | 1.21 | -1.63 | -3.252 | 3.252 | 11 |
| 4/11/2006 | 1.24 | 4/13/2006 | 1.22 | -1.61 | -2.4194 | 0 | 2 |
| 4/17/2006 | 1.22 | 5/16/2006 | 1.33 | 9.02 | 0 | 21.3115 | 19 |
| 7/5/2006 | 1.27 | 9/12/2006 | 1.52 | 19.69 | -2.3622 | 28.3465 | 48 |
| 9/15/2006 | 1.57 | 12/19/2006 | 2.1 | 33.76 | 0 | 46.4968 | 62 |
| 12/29/2006 | 2.32 | 3/1/2007 | 2.73 | 17.67 | -2.1552 | 30.1724 | 40 |
| 3/21/2007 | 2.91 | 4/17/2007 | 2.88 | -1.03 | -3.7801 | 1.7182 | 18 |
| 4/19/2007 | 2.9 | 4/20/2007 | 2.85 | -1.72 | -4.8276 | 0.6897 | 1 |
| 4/27/2007 | 2.9 | 5/2/2007 | 2.83 | -2.41 | -2.4138 | 0.3448 | 2 |
| 6/4/2007 | 2.74 | 8/8/2007 | 4.8 | 75.18 | -1.0949 | 111.6788 | 47 |
| 9/3/2007 | 5.05 | 11/13/2007 | 6.8 | 34.65 | -2.1782 | 62.3762 | 50 |
| 12/12/2007 | 6.55 | 12/14/2007 | 6.05 | -7.63 | -9.1603 | 0 | 2 |
| 3/31/2008 | 3.73 | Open | Open | -0.8 | -4.5576 | 5.0938 | 6 |
The winning probability is 46%. The average gain for the winning trade is 27% and average loss for the losing trade is 2.6%. The expectation is therefore positive.
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