The chart below illustrates the relationship between duration of trade and gain/loss. The CMI 3.0 is represented by the light blue squares; last year's CMI 2.0 is represented by the dark blue diamonds.
It is apparent that the CMI 3.0 provided far fewer trades (22 vs.40 for this six year history) than CMI 2.0; 55% winners versus 50% winners respectively.
Duration of CMI 3.0 trades were longer as you can see that the light blue squares are generally higher on the vertical axis than the dark blue diamonds.
Losing trades are grouped to the left of the vertical axis. Staying as close to the vertical line when on this side is preferable, and the CMI 3.0 did a fairly good job of keeping the losses small. Conversely, gains (located to the right of the vertical axis) are highest when they are as far as possible to the right.
CMI 2.0 has a higher total return but the multi-faceted, volatility centric CMI 3.0 provides more robust signals and some degree of risk management that was absent from the previous version.
Thursday, January 13, 2011
Time In Trade, Gain/Loss Comparison
