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TASC 2012-10 | Seasonal Strategy with Leveraged ETFs (Gardner)

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Traders' Tip text

Mr. Gardner presented legacy WealthScript code in the article, so we’ll provide WealthScript Version 6 C# code here. Not satisfied testing with the short history of the leveraged ETFs (DBC and DDM) since 2006, we ran 12-year (8/2000 to 8/2012) simulations on 10 Sector ETFs (IXP, XLB, XLE, XLF, XLI, XLK, XLP, XLU, XLV, and XLY) using 10% of equity sizing on $100,000 starting capital, optimizing on the moving average period. While all periods produced solid returns, a smooth profit peak occurred when using a 30-bar period. With a maximum equity drawdown of only ­-14.7%, annualized gain was 7.9% equating to a $147,896 net profit, which includes $15,475 in dividends. Only years 2002 and 2008 had negative returns of -1.0% and -2.4%, respectively.

Figure 1. The Buy and Hold comparison emphasizes how the strategy “rachets up” equity while evading multiple drawdown periods between May and October. (Inset: annual period returns.)

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WealthScript Code (C#)


using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies { public class GardnerSeasonal : WealthScript { StrategyParameter _period; public GardnerSeasonal() { _period = CreateParameter("Period", 50, 10, 100, 5); } protected override void Execute() { DataSeries sma = SMA.Series(Close, _period.ValueInt); PlotSeries(PricePane, sma, Color.Blue, LineStyle.Solid, 2); for(int bar = GetTradingLoopStartBar(5); bar < Bars.Count; bar++) { if (IsLastPositionActive) { Position p = LastPosition; if (Date[bar].Month == 5) SellAtMarket(bar + 1, p); } else { if (Date[bar].Month == 10 && Close[bar] > sma[bar] ) BuyAtMarket(bar + 1); } } } } }

Robert Sucher
wealth-lab.com

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