Some SL50 Statistics

on March 2 | in sl50table | by

I ran a few numbers on the SL50 list since it became a Premium Product. The list is equal weighted and updated weekly. Changes are announced during the weekend. All new buys and sells happen at the open on Monday.

Here are the details:

39% losers, average loser -5.8%; the average loser stays 3.7 weeks on the list

61% winners, average winner: +19.2%; the average winner stays 11 weeks on the list

Average performance of a stock after it is sold: +12.9%, which means that the List sold too early to free up cash for new positions.

These are some very solid numbers, but also turnover has been high and it has been a bull market. SL50 is more of a position trading than trend following system. A longer-term trend following system will have bigger size of losers and winners and a lot less turnover.

2013 SL50

2014 SL50

THERE IS A HUGE DIFFERENCE between trend following based on weekly signals and trend following based on daily signals.

Let’s take $CSIQ as an example:

On a weekly trend following systems, CSIQ gave one buy signal in April at $5.50. The stock is currently $42 and the system hasn’t given a sell signal. It sells when the blue line (5-week MA) goes below the orange line (20-week MA). The weekly trend following system is a lot more laid-back. Most stocks stay on for multiple months. Drawdowns are deeper. CSIQ had one 50% and two 25% pullbacks without giving a sell signal. Hence the saying – if you want to catch a big multi-year gainer, you have to be able to stomach some huge drawdowns – not an easy task if you use bigger position size.

csiq-weekly trend following

Look at the difference in CSIQ on a daily trend following system: for the same time frame, it has given 5 buy and 4 sell signals already. It has captured most of the trend, but still there have been quite a few entries and exits. The daily trend following system is a lot more aggressive as it tries to capture the meat of every move and stay away during sideways consolidations through time. Also, its drawbacks are a lot more shallow.

daily csiq

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