Comments on: The Gap Momentum System

By: Martin

Martin — Sun, 31 Mar 2024 09:16:52 +0000

Thanks Petra for again this excellence post. I am using your codes as a basis for my own development quite often. I do learn a lot from your coding.
Actually Perry Kaufmanns bible is a lifetime work for testing his ideas.

Martin

By: Silva

Silva — Thu, 28 Mar 2024 20:39:38 +0000

Thanks for clarifying, this makes more sense. I appreciate the responses as I am a rookie.
On the calculation, how are you calculating average annual ROI for QQQ? My quick calculations show ~38%.
If you could share the formula or source that would be really helpful.

By: Petra Volkova

Petra Volkova — Thu, 28 Mar 2024 16:26:46 +0000

The CAGR is indeed the normal metric, but in this case the ROI is used because capital is not re-invested. The misunderstanding is simply that you were confusing the end value with the annual return. Financial performance metrics are annual averages. The difference of some start and end value is not very meaningful.

By: Silva

Silva — Thu, 28 Mar 2024 15:19:47 +0000

Thanks again, but I think we may have a misunderstanding.

Are you referring to CAGR?

Because returning 12%, or even 20% over the entire duration of 11 years doesn’t seem to be a noteworthy return at all.

Physically buying and holding QQQ over that time period will clearly net way above 12% from the time of the buy through the duration of the hold.

By: Petra Volkova

Petra Volkova — Thu, 28 Mar 2024 10:01:41 +0000

Index ETFs like SPY or QQQ are in the area of 5% to 15%, not 370%. 12% would beat the index when it is combined with smaller volatility. The best portfolio rotating systems produce about 20%, so the Gap Momentum system is not in the top area.

By: silva

silva — Thu, 28 Mar 2024 04:21:05 +0000

Please disregard my previous comment. I realized the initial capital was 100,000.

A more pressing question is about beating buy and hold. It seems that if one bought+held QQQ from 2011 to 2023, the return would have been more like 370%, going from ~$60 to ~$280. The strategy would have to beat a 370% return, so 12% wouldnt be a beat.

By: silva

silva — Thu, 28 Mar 2024 04:12:13 +0000

thanks for this. in the equity curve above, it shows a return of $90,000 , which is a lot more than the stated “12% return on investment” that you mention in the text. Is this the right equity curve?

By: Petra Volkova

Petra Volkova — Tue, 19 Mar 2024 12:40:29 +0000

Yes, Perry Kaufman, sorry for the typo. With the bible I meant the 1100 pages ‘New Trading Systems and Methods’.

By: kssinath

kssinath — Tue, 19 Mar 2024 02:51:05 +0000

Thanks for sharing this. Very insightful.
Question: did you mean “Perry” Kaufman? And by ‘Technical Indicator Bible” did you mean his book: “A Short Course in Technical Trading”?

Thanks in advance.

By: Quantocracy's Daily Wrap for 03/17/2024 - Quantocracy

Quantocracy's Daily Wrap for 03/17/2024 - Quantocracy — Mon, 18 Mar 2024 05:30:07 +0000

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