LottaBits System Test Performance
The LottaBits Systems have been thoroughly back-tested and modeled over 20 years of historical data. Future results, of course, depend upon many factors, including market conditions, portfolio management, and the continuing performance of the systems. Thus, although the results below are considered representative, no future performance claims or guarantees of any kind are made or implied.
Refer to the table below for back-tested performance percentages for each system. The numbers are produced by a model that assumes $100,000 starting capital and no more than 5% of current equity risked on any one trade. This means that a) not all signals are necessarily traded, and b) available capital may not always be fully deployed. In later years larger positions are taken in the model, which in practice might have to be diversified or skillfully entered and exited. The first column for a system shows non-margined performance. The second (marked "m") shows performance with 50% margin applied to cash balances only.
|
Year |
NASD-1 |
NASD-1 (m) |
Whole Mkt |
Whole Mkt (m) |
SP500LO |
SP500LO(m) |
HIVOL |
HIVOL(m) |
|
1996 |
11.2 |
31.1 |
14.1 |
23.4 |
3.1 |
6.7 |
10.2 |
26.5 |
|
1997 |
23.5 |
56.4 |
51.2 |
148.8 |
13.2 |
35.0 |
18.3 |
47.4 |
|
1998 |
44.5 |
76.8 |
27.7 |
48.1 |
20.2 |
32.7 |
35.7 |
47.8 |
|
1999 |
63.4 |
113.9 |
48.1 |
107.4 |
25.7 |
77.9 |
50.5 |
109.2 |
|
2000 |
55.6 |
88.9 |
85.1 |
205.4 |
3.9 |
-7.4 |
46.1 |
116.8 |
|
2001 |
310.7 |
1,140.0 |
173.4 |
552.0 |
31.8 |
69.4 |
131.4 |
427.5 |
|
2002 |
23.6 |
58.6 |
6.4 |
7.9 |
5.7 |
11.3 |
-5.7 |
-2.6 |
|
2003 |
49.6 |
102.7 |
46.5 |
115.0 |
12.7 |
32.5 |
45.2 |
121.5 |
|
2004 |
15.5 |
28.8 |
5.9 |
24.2 |
2.1 |
4.8 |
0.5 |
-2.7 |
|
2005 |
23.3 |
59.6 |
32.0 |
72.0 |
2.2 |
4.9 |
10.0 |
29.1 |
|
|
|
|
|
|
|
|
|
|
|
Avg. /Year |
49.1 |
99.4 |
43.5 |
98.1 |
11.6 |
24.1 |
29.8 |
67.8 |
|
Best Month |
35.7 |
66.4 |
47.2 |
117.1 |
14.2 |
27.6 |
29.2 |
57.7 |
|
Worst Month |
-11.8 |
-22.3 |
-19.7 |
-32.6 |
-5.0 |
-13.0 |
-10.6 |
-23.1 |
|
Max Drawdown (2) |
-23.6 |
-43.3 |
-34.4 |
-58.0 |
-9.1 |
-24.9 |
-27.0 |
-49.9 |
(1) Data for full years 1996-2005 (2,519 days).
(2) Max Drawdown is computed from the last "high water" mark.
Limitations of Back-testing
The later performance numbers (last 6 years or so) are considered to be
more representative than the 1996-99 timeframe for a variety of reasons:
a) Due to stocks splits the selection criteria does not work well on earlier
years which are normalized (adjusted) for the splits.
b) The list of stocks selected for trading is this year's list. Lists from
earlier years would have been used for those earlier years.
c) A large number of stocks have been merged, gone private, or gone out of
business. We've observed the disappearance of over 1,500 symbols over the past
few years.
d) Large variations can be produced depending on the amount of capital, size of
positions entered, leverage, slippage in fills, commissions and other
trade-related factors.
e) Results when real cash is at stake often differ from those produced by a
model.