Somewhat on a whim, I became curious to find out how well the 8 trading strategies discussed in the previous two posts would perform on a variety of somewhat related ticker symbols.
Mind you, these strategies were optimized to trade Market Vectors Gold Miner ETF (GDX) and never run on anything else. I was almost afraid to try this experiment because it was like flying blind - I suspected my plane would crash and burn and it would be back to that familiar and lonely blank chalkboard again.
But there were a few pleasant surprises as you will see.
What follows are the results of back testing each strategy on the entire trading history of 10 different ETFs. As the gross profit/loss would vary considerably due to the length of time an ETF had traded I devised a little metric to help me put things in perspective.
What I did was write an indicator to measure the number of trading days each ETF has traded. Then, when I divided the gross profit/loss by this measurement I could get a 'relative' sense as to the significance of the profit/loss figure.
These are the ETFs I used along with their number of trading days tested:
ETF Ticker Symbols Tested
| |||
ETF Symbol
|
Description
|
Trading Days Since Inception
| |
1
|
GDX
|
Market Vectors Gold Miners
|
1,655
|
2
|
GDXJ
|
Market Vectors Junior Gold Miners
|
766
|
3
|
GLD
|
SPDR Gold Trust
|
2,049
|
4
|
DGP
|
DB Gold Double Long ETN
|
1,197
|
5
|
NUGT
|
Direxion Gold Miners BULL 3X
|
496
|
6
|
DUST
|
Direxion Gold Miners BEAR 3X
|
496
|
7
|
SLV
|
iShares Silver Trust
|
1,674
|
8
|
USLV
|
VelocitySharesTM 3X Long Silver ETN
|
280
|
9
|
SIL
|
GlobalX Silver Miners
|
2,566
|
10
|
PALL
|
ETFS Physical Palladium Shares
|
727
|
The 8 strategies will be presented in the order they were introduced in the previous two posts. For each I have added a reflective comment (basically to help me focus on how to spend my time in the future).
Also, if the WIN % was 75%+ I highlighted it silver. If the Gross Profit divided by Trading Days was above 3.0 I highlighted it green. And if the average of the 10 ticker symbols was just less than 3.0 I highlighted it magenta.
Strategy 1: Pivot
| |||||
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win %
|
Gross Profit/Loss
Divided by Trading Days
| |
1
|
GDX
|
$8454
|
100/20
|
83.3
|
5.11
|
2
|
GDXJ
|
$1051
|
45/12
|
78.9
|
1.37
|
3
|
GLD
|
$2,901
|
31/15
|
67.4
|
1.42
|
4
|
DGP
|
$1,548
|
61/34
|
64.2
|
1.29
|
5
|
NUGT
|
$1,024
|
46/20
|
69.7
|
2.06
|
6
|
DUST
|
$5,466
|
66/26
|
71.7
|
11.02
|
7
|
SLV
|
$1,521
|
61/39
|
61.0
|
0.91
|
8
|
USLV
|
$520
|
33/19
|
63.5
|
1.86
|
9
|
SIL
|
$3,163
|
135/82
|
62.2
|
1.23
|
10
|
PALL
|
$2,999
|
37/12
|
75.5
|
4.13
|
Average Gross Profit/Loss per Trading Day
|
2.85
| ||||
Reflection: Find out why GDX, DUST and PALL worked extremely well then make adjustments.
| |||||
Strategy 2: GAP
| |||||
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win %
|
Gross Profit/Loss
Divided by Trading Days
| |
1
|
GDX
|
$5,380
|
73/15
|
82.9
|
3.25
|
2
|
GDXJ
|
$1,490
|
31/11
|
73.8
|
1.95
|
3
|
GLD
|
$8,794
|
113/29
|
79.6
|
4.29
|
4
|
DGP
|
$3,619
|
65/18
|
78.3
|
3.02
|
5
|
NUGT
|
$1,586
|
22/4
|
84.6
|
3.20
|
6
|
DUST
|
$2,223
|
26/9
|
74.3
|
4.48
|
7
|
SLV
|
$147
|
55/20
|
73.3
|
0.09
|
8
|
USLV
|
$1,115
|
11/5
|
68.7
|
3.98
|
9
|
SIL
|
$2,905
|
57/15
|
79.2
|
1.13
|
10
|
PALL
|
$2,018
|
35/11
|
76.1
|
2.78
|
Average Gross Profit/Loss per Trading Day
|
2.82
| ||||
Reflection: Best overall strategy. Suspect stopLoss mechanism can be improved.
| |||||
Strategy 3: PercentB
| |||||
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win %
|
Gross Profit/Loss
Divided by Trading Days
| |
1
|
GDX
|
$5,070
|
32/1
|
97.0
|
3.06
|
2
|
GDXJ
|
$416
|
9/2
|
81.8
|
0.54
|
3
|
GLD
|
$3,822
|
26/1
|
96.3
|
1.87
|
4
|
DGP
|
$921
|
13/1
|
92.9
|
0.77
|
5
|
NUGT
|
$123
|
2/1
|
66.6
|
0.25
|
6
|
DUST
|
$755
|
6/1
|
85.7
|
1.52
|
7
|
SLV
|
$1,146
|
18/4
|
81.8
|
0.68
|
8
|
USLV
|
$739
|
4/0
|
100.0
|
2.64
|
9
|
SIL
|
$179
|
22/5
|
81.5
|
0.07
|
10
|
PALL
|
$1802
|
12/0
|
100.0
|
2.48
|
Average Gross Profit/Loss per Trading Day
|
1.39
| ||||
Reflection: Highest Win% strategy. Suspect stopLoss mechanism can be improved considerably.
| |||||
Strategy 4: Step_MA
| |||||
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win %
|
Gross Profit/Loss
Divided by Trading Days
| |
1
|
GDX
|
$6,482
|
38/8
|
82.6
|
3.92
|
2
|
GDXJ
|
$2,230
|
15/3
|
83.3
|
2.91
|
3
|
GLD
|
$4,910
|
47/9
|
83.9
|
2.40
|
4
|
DGP
|
$681
|
16/5
|
76.2
|
0.57
|
5
|
NUGT
|
$1,340
|
5/0
|
100.0
|
2.70
|
6
|
DUST
|
$793
|
6/2
|
75.0
|
1.60
|
7
|
SLV
|
$1,600
|
13/3
|
81.2
|
0.96
|
8
|
USLV
|
$1740
|
1/1
|
50.0
|
6.21
|
9
|
SIL
|
$329
|
17/9
|
65.4
|
0.13
|
10
|
PALL
|
$1327
|
9/5
|
64.3
|
1.83
|
Average Gross Profit/Loss per Trading Day
|
0.69
| ||||
Reflection: 2nd best Win%. Needs careful study of failures and may be worth the effort.
| |||||
Strategy 5: UlcerX
| |||||
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win %
|
Gross Profit/Loss
Divided by Trading Days
| |
1
|
GDX
|
$6,160
|
18/14
|
56.2
|
3.70
|
2
|
GDXJ
|
$362
|
4/17
|
19.0
|
0.47
|
3
|
GLD
|
$1,034
|
7/9
|
43.7
|
0.50
|
4
|
DGP
|
$2,038
|
11/16
|
40.7
|
1.70
|
5
|
NUGT
|
$60
|
4/10
|
28.6
|
0.00
|
6
|
DUST
|
$1,245
|
8/6
|
57.1
|
2.51
|
7
|
SLV
|
$1,637
|
8/9
|
47.1
|
0.98
|
8
|
USLV
|
$95
|
1/2
|
33.3
|
0.34
|
9
|
SIL
|
$1,258
|
9/28
|
24.3
|
0.49
|
10
|
PALL
|
$789
|
8/11
|
42.1
|
1.09
|
Average Gross Profit/Loss per Trading Day
|
1.11
| ||||
Reflection: Dud.
| |||||
|
Strategy
6: Force Index
|
|||||
|
|
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win
%
|
Gross
Profit/Loss
Divided
by Trading Days
|
|
1
|
GDX
|
$4,001
|
8/4
|
66.6
|
2.42
|
|
2
|
GDXJ
|
$596
|
1/1
|
50.0
|
0.78
|
|
3
|
GLD
|
$3,037
|
5/2
|
71.4
|
1.48
|
|
4
|
DGP
|
$1,110
|
2/0
|
100.0
|
0.93
|
|
5
|
NUGT
|
$173
|
2/4
|
50.0
|
0.35
|
|
6
|
DUST
|
$1,350
|
0/6
|
0.0
|
2.72
|
|
7
|
SLV
|
$80
|
2/3
|
40.0
|
0.05
|
|
8
|
USLV
|
$1516
|
0/5
|
0.0
|
5.41
|
|
9
|
SIL
|
$1077
|
6/12
|
33.3
|
0.42
|
|
10
|
PALL
|
$233
|
1/0
|
100.0
|
0.32
|
|
Average Gross Profit/Loss per Trading
Day
|
1.38
|
||||
|
Reflection:
Dud.
|
|||||
|
Strategy
7: VZO
|
|||||
|
|
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win
%
|
Gross
Profit/Loss
Divided
by Trading Days
|
|
1
|
GDX
|
$5,606
|
14/5
|
73.7
|
3.39
|
|
2
|
GDXJ
|
$95
|
4/6
|
40.0
|
0.12
|
|
3
|
GLD
|
$4,011
|
15/9
|
62.5
|
1.96
|
|
4
|
DGP
|
$718
|
11/16
|
40.7
|
0.60
|
|
5
|
NUGT
|
$1,842
|
3/2
|
60.0
|
3.73
|
|
6
|
DUST
|
$597
|
1/6
|
14.3
|
1.20
|
|
7
|
SLV
|
$985
|
8/9
|
47.1
|
0.58
|
|
8
|
USLV
|
$1,666
|
1/2
|
33.3
|
5.95
|
|
9
|
SIL
|
$274
|
14/16
|
46.7
|
0.11
|
|
10
|
PALL
|
$537
|
3/7
|
30.0
|
0.74
|
|
Average Gross Profit/Loss per Trading
Day
|
1.42
|
||||
|
Reflection:
Weak. Probably not worth more effort.
|
|||||
|
Strategy
8: TSI
|
|||||
|
|
ETF
Symbol
|
Gross
Profit/Loss
|
Win/Loss
|
Win
%
|
Gross
Profit/Loss
Divided
by Trading Days
|
|
1
|
GDX
|
$6,041
|
18/8
|
69.2
|
3.65
|
|
2
|
GDXJ
|
$515
|
4/6
|
40.0
|
0.67
|
|
3
|
GLD
|
$2,026
|
13/13
|
50.0
|
0.99
|
|
4
|
DGP
|
$128
|
3/8
|
27.3
|
0.11
|
|
5
|
NUGT
|
$457
|
3/4
|
42.9
|
0.92
|
|
6
|
DUST
|
$1,581
|
2/9
|
18.2
|
3.19
|
|
7
|
SLV
|
$989
|
4/4
|
50.0
|
0.59
|
|
8
|
USLV
|
$311
|
2/1
|
66.6
|
1.10
|
|
9
|
SIL
|
$546
|
8/8
|
50.0
|
0.21
|
|
10
|
PALL
|
$219
|
4/6
|
40.0
|
0.30
|
|
Average Gross Profit/Loss per Trading
Day
|
0.51
|
||||
|
Reflection:
Dud.
|
|||||
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