China XLX Trend Score Case Study

This is a case study of using Trend Score Indicator on China XLX.

For definition of Trend Score Indicator, please refer to my earlier post.

Entry Rules:
1. Today’s trend score is less than -5.
2. Yesterday’s trend score is greater than -5.
3. Enter a short position on the next trading day at the market opening price.

Exit Rules:
1. Close the trade after 10 trading days.


The trading result is as follows:

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Draw Down %	Max Gain %	Bars Held
8/1/2007	1.25	8/16/2007	1.03	17.6	-0.8	17.6	10
10/25/2007	1.16	11/9/2007	1.21	-4.31	-15.5172	1.7241	10
11/15/2007	1.16	11/29/2007	0.97	16.38	-0.8621	22.4138	10
1/4/2008	1.04	1/18/2008	0.93	10.58	-19.2308	12.9808	10
1/15/2008	1.04	1/29/2008	0.92	11.54	-1.9231	24.0385	10
2/27/2008	0.82	3/12/2008	0.805	1.83	-10.9756	9.1463	10
3/10/2008	0.765	3/25/2008	0.56	26.8	-5.2288	39.2157	10
4/1/2008	0.76	4/15/2008	0.745	1.97	-11.1842	3.9474	10
5/27/2008	0.92	Open	Open	8.7	-2.7174	9.7826	5
5/30/2008	0.925	Open	Open	9.19	-0.5405	10.2703	2

Average gain is about 10%.

COSCO Trend Score Case Study 2

Based on an initial investment of $10,000 dollars, your account would have grown to $130,000 in 4 years.

Entry Date	Entry Price	Exit Date	Exit Price	% Change	Account
1/2/2004	0.615	3/9/2004	0.88	43.09	$14309
3/11/2004	0.89	4/27/2004	0.85	-4.49	$13667
5/28/2004	0.8	6/4/2004	0.755	-5.63	$12897
6/7/2004	0.765	6/15/2004	0.745	-2.61	$12560
6/30/2004	0.775	8/11/2004	0.855	10.32	$13857
9/7/2004	0.835	11/2/2004	1.04	24.55	$17259
11/8/2004	1.11	12/7/2004	1.13	1.8	$17569
12/24/2004	1.16	5/3/2005	1.75	50.86	$26505
5/5/2005	1.8	5/18/2005	1.69	-6.11	$24885
6/1/2005	1.81	6/3/2005	1.79	-1.1	$24612
6/6/2005	1.82	8/26/2005	2.38	30.77	$32185
9/5/2005	2.56	10/3/2005	2.55	-0.39	$32059
11/17/2005	2.27	11/29/2005	2.31	1.76	$32623
1/6/2006	2.32	1/24/2006	2.31	-0.43	$32483
3/16/2006	1.22	3/23/2006	1.2	-1.64	$31950
3/24/2006	1.23	4/10/2006	1.21	-1.63	$31430
4/11/2006	1.24	4/13/2006	1.22	-1.61	$30924
4/17/2006	1.22	5/16/2006	1.33	9.02	$33713
7/5/2006	1.27	9/12/2006	1.52	19.69	$40351
9/15/2006	1.57	12/19/2006	2.1	33.76	$53974
12/29/2006	2.32	3/1/2007	2.73	17.67	$63511
3/21/2007	2.91	4/17/2007	2.88	-1.03	$62857
4/19/2007	2.9	4/20/2007	2.85	-1.72	$61775
4/27/2007	2.9	5/2/2007	2.83	-2.41	$60287
6/4/2007	2.74	8/8/2007	4.8	75.18	$105610
9/3/2007	5.05	11/13/2007	6.8	34.65	$142204
12/12/2007	6.55	12/14/2007	6.05	-7.63	$131354
3/31/2008	3.73	Open	Open	-0.8	$130303

This result is due to the super bull run that we had for the past 4 years.

COSCO Trend Score Indicator Case Study

This is a case study of trading COSCO based on Trend Score Indicator.

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.

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.

Trend Score

This is a trend indicator that was derived by by Tuschar Chande. It is a method of rating the trend by comparing the current day’s close to the close x days ago.

If today’s close is greater than close x days ago, score = 1

If today’s close is less than the close x+1 days ago, score = -1

Tuschar Chande suggested comparing the close to the closes from 11 to 20 days ago.

Therefore,

Trendscore = 10 day sum of the scores from days 11 to 20.

The trend score for this case will oscillate between +10 to -10.

The metastock formula is given below:
If(C>=Ref(C,-11),1,-1)+
If(C>=Ref(C,-12),1,-1)+
If(C>=Ref(C,-13),1,-1)+
If(C>=Ref(C,-14),1,-1)+
If(C>=Ref(C,-15),1,-1)+
If(C>=Ref(C,-16),1,-1)+
If(C>=Ref(C,-17),1,-1)+
If(C>=Ref(C,-18),1,-1)+
If(C>=Ref(C,-19),1,-1)+
If(C>=Ref(C,-20),1,-1)

Let’s say that we buy 1 lot of Straits Times Index (STI) when the Trendscore reaches +10 and exit the trade when Trendscore becomes negative.

The trade record is given below:




The average gain for winning trades is around 14% whereas the average loss for losing trades is around 3%.