Pristine Shorting Method Case Study - AIG

There is a request to do a case study for shorting a stock using Pristine Method. Let’s pick a US stock as I have more historical data for US market.

I have selected American International Group (Symbol: AIG) and the data stretches from 1988 to 19 May 2008.

The trading rules:

Entry
1. Price made 3 or more consecutive higher highs
2. Price made 3 or more consecutive higher lows
3. Price made 3 or more consecutive white candles
4. When condition (1) to (3) is met, enter a short position at the low of the previous bar.

Exit
1. Exit after holding the trade for 3 trading days.

Here is the result

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Draw Down %	Max Gain %	Bars Held
4/11/1988	4.144	4/14/1988	4.251	-2.58	-3.04054	0.26545	3
8/22/1988	4.693	8/25/1988	4.8	-2.28	-3.13233	0.25569	3
12/8/1988	5.149	12/13/1988	5.058	1.77	0	1.76733	3
12/27/1988	5.161	12/30/1988	5.209	-0.93	-1.31758	0.19376	3
1/30/1989	5.585	2/2/1989	5.659	-1.32	-2.22023	0.51924	3
4/11/1989	6.161	4/14/1989	6.113	0.78	0	1.76919	3
8/21/1989	7.276	8/24/1989	7.247	0.4	0	1.80044	3
10/23/1989	8.174	10/26/1989	8.278	-1.27	-1.52924	2.22657	3
4/17/1990	7.451	4/20/1990	7.419	0.43	-1.00657	0.42947	3
6/5/1990	7.883	6/8/1990	7.759	1.57	0	1.90283	3
11/7/1990	6.659	11/12/1990	6.881	-3.33	-3.37888	0.81093	3
2/5/1991	8.033	2/8/1991	8.317	-3.54	-7.68081	0.95855	3
4/1/1991	9.243	4/4/1991	9.722	-5.18	-5.42032	1.15764	3
4/5/1991	9.637	4/10/1991	9.711	-0.77	-2.5319	1.32822	3
10/15/1991	7.823	10/18/1991	7.97	-1.88	-3.04231	0.49853	3
3/23/1992	8.684	3/26/1992	8.469	2.48	0	3.48918	3
7/17/1992	9.05	7/22/1992	9.121	-0.78	-0.78453	0.65193	3
8/3/1992	9.346	8/6/1992	9.287	0.63	0	1.34816	3
9/3/1992	9.556	9/9/1992	9.276	2.93	0	2.93009	3
10/22/1992	10.919	10/27/1992	10.874	0.41	0	3.10468	3
11/16/1992	11.236	11/19/1992	10.948	2.56	0	3.45319	3
12/1/1992	11.196	12/4/1992	11.209	-0.12	-0.94677	0.80386	3
2/5/1993	12.393	2/10/1993	12.28	0.91	0	2.35617	3
3/1/1993	11.816	3/4/1993	12.006	-1.61	-3.03825	0.21157	3
5/7/1993	12.845	5/12/1993	12.624	1.72	0	1.82172	3
5/28/1993	12.617	6/3/1993	12.752	-1.07	-2.20338	0.81636	3
9/29/1993	14.596	10/4/1993	14.4	1.34	0	2.40477	3
5/20/1994	13.6	5/25/1994	13.822	-1.63	-2.05147	0.39707	3
8/29/1994	14.133	9/1/1994	13.812	2.27	0	2.27128	3
10/12/1994	13.208	10/17/1994	13.242	-0.26	-1.10539	1.15082	3
3/15/1995	15.443	3/20/1995	15.535	-0.6	-1.53468	0.45976	3
10/3/1996	22.683	10/8/1996	23.187	-2.22	-3.46515	0.13667	3
11/1/1996	24.171	11/6/1996	24.562	-1.62	-2.41198	0.02896	3
6/13/1997	32.419	6/18/1997	32.335	0.26	-1.01793	1.05802	3
9/9/1997	34.431	9/12/1997	33.947	1.41	-0.74932	3.90345	3
10/8/1997	36.352	10/13/1997	36.096	0.7	-1.0866	1.64228	3
11/24/1997	34.916	11/28/1997	33.866	3.01	0	3.44541	3
2/5/1998	37.763	2/10/1998	38.161	-1.05	-1.60739	0.23304	3
3/18/1998	42.576	3/23/1998	43.544	-2.27	-2.56952	1.18846	3
6/11/1998	45.615	6/16/1998	44.333	2.81	-1.06763	2.81048	3
6/30/1998	48.121	7/6/1998	49.491	-2.85	-3.0735	0.57147	3
11/27/1998	49.667	12/2/1998	47.445	4.47	-0.06644	6.69257	3
12/22/1998	50.046	12/28/1998	49.89	0.31	-0.81524	2.16201	3
3/9/1999	59.887	3/12/1999	61.473	-2.65	-2.86706	0.24714	3
4/1/1999	60.339	4/7/1999	64.2	-6.4	-8.29812	0.41598	3
11/19/1999	69.549	11/24/1999	67.253	3.3	0	3.92673	3
1/18/2000	70.851	1/21/2000	66.812	5.7	0	7.71478	3
3/2/2000	55.648	3/7/2000	53.981	3	-1.50769	4.33977	3
6/29/2000	75.852	7/5/2000	75.928	-0.1	-2.50224	2.61826	3
12/11/2000	97.059	12/14/2000	93.007	4.17	0	4.17477	3
4/20/2001	76.584	4/25/2001	73.686	3.78	0	4.05438	3
7/17/2001	80.867	7/20/2001	80.869	0	-1.18343	0.17436	3
3/1/2002	70.482	3/6/2002	72.342	-2.64	-3.24621	1.62879	3
3/18/2002	71.66	3/21/2002	69.574	2.91	0	2.91098	3
5/3/2002	67.462	5/8/2002	65.838	2.41	-1.04059	4.64705	3
2/19/2003	48.158	2/24/2003	48.577	-0.87	-1.60306	1.19606	3
4/24/2003	54.49	4/29/2003	54.414	0.14	-0.52303	4.32006	3
12/27/2004	63.606	12/30/2004	63.581	0.04	-0.53611	0.77036	3
2/14/2005	69.573	2/17/2005	68.026	2.22	-0.07187	2.91636	3
5/31/2005	54.039	6/3/2005	54.139	-0.19	-1.44155	0.78462	3
12/27/2005	66.137	12/30/2005	66.968	-1.26	-1.99586	0.13911	3
3/15/2006	66.63	3/20/2006	67.319	-1.03	-1.91205	1.70944	3
5/11/2006	63.41	5/16/2006	62.531	1.39	0	3.95836	3
8/21/2006	62.296	8/24/2006	62.033	0.42	-0.23115	1.26493	3
9/13/2006	63.634	9/18/2006	64.537	-1.42	-1.54792	0.07071	3
10/6/2006	65.716	10/11/2006	65.506	0.32	-0.34846	0.7289	3
10/13/2006	65.944	10/18/2006	66.193	-0.38	-0.44735	0.55501	3
11/17/2006	70.412	11/22/2006	70.486	-0.11	-0.69874	0.53827	3
12/10/2007	60.911	12/13/2007	56.959	6.49	-1.73368	7.11694	3
1/15/2008	57.278	1/18/2008	54.309	5.18	-2.59611	6.21006	3
2/28/2008	50.357	3/4/2008	46.148	8.36	0	10.13165	3
4/21/2008	47.11	4/24/2008	44.25	6.07	0	7.98132	3

There were 72 trades with 38 winners and 34 losers. In order to improve the system further, you can add in a simple 50 day moving average filter. That is, you will add the condition that the closing price must be less than the 50 day moving average before you are allowed to short the stock.

With the additional filter, you get the following result.

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Draw Down %	Max Gain %	Bars Held
4/11/1988	4.144	4/14/1988	4.251	-2.58	-3.04054	0.26545	3
10/15/1991	7.823	10/18/1991	7.97	-1.88	-3.04231	0.49853	3
3/23/1992	8.684	3/26/1992	8.469	2.48	0	3.48918	3
10/12/1994	13.208	10/17/1994	13.242	-0.26	-1.10539	1.15082	3
11/24/1997	34.916	11/28/1997	33.866	3.01	0	3.44541	3
3/2/2000	55.648	3/7/2000	53.981	3	-1.50769	4.33977	3
4/20/2001	76.584	4/25/2001	73.686	3.78	0	4.05438	3
3/1/2002	70.482	3/6/2002	72.342	-2.64	-3.24621	1.62879	3
3/18/2002	71.66	3/21/2002	69.574	2.91	0	2.91098	3
5/3/2002	67.462	5/8/2002	65.838	2.41	-1.04059	4.64705	3
2/19/2003	48.158	2/24/2003	48.577	-0.87	-1.60306	1.19606	3
5/11/2006	63.41	5/16/2006	62.531	1.39	0	3.95836	3
2/28/2008	50.357	3/4/2008	46.148	8.36	0	10.13165	3

There were a total of 13 trades with 8 winners.