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In about 4'200 trading days, 17 calendar years,

the system has performed with a combined

long and short strategy a total of 172% or

10% per year, on the SPY ETF.

 

Long position over the time frame yielded 123%, 7.2% per year.

Short positions over the time frame yielded 48%, 2.8% per year.

 

The performance was obtained without curve fitting. All parameters were kept the same values.

 

In the same time, the SPY ETF raised from 44 points to 111 points, a gain of 67 points, or 152% net gain, dividend payments excluded.

 

The long trading occupied 1'420 trading days of total 4'200 available trading days.

The short trading occupied 1'890 trading days of a total 4'200 available trading days.

 

Cumulated the system was in long and short position 3'310 trading days, of a total 4'200 available trading days, or 78% of the time whole available time.