Performance Analysis of NSP-33
Base Performance:
The NSP-33 system was designed to trade the stocks within the Russell 1000 stock index. This index is updated once per year and testing was performed using the 2007 reconstitution of this list. Our test period consisted of ten consecutive calendar years starting with 1998 going through 2007, as shown in the year by year breakdown. Unless noted otherwise, all results are hypothetical and do not take into account external factors such as commissions and slippage. Simulations were based on a margin account with starting balance of $1,000,000, allocating 10% of equity per trade.
Simulated Equity Curve (Russell 1000)
Year by Year Breakdown
1998 |
1999 |
2000 |
2001 |
2002 |
2003 |
2004 |
2005 |
2006 |
2007 |
||
NSP-33 |
39% |
64% |
26% |
16% |
9% |
37% |
11% |
20% |
17% |
36% |
|
S&P 500 * |
26% |
20% |
-10% |
-13% |
-24% |
26% |
9% |
3% |
14% |
4% |
|
Effect of Commissions:
When considering strategy performance it is often useful to determine what effect commissions will have trade results. While the cost of commissions varies from broker to broker, the following example demonstrates NSP-33’s performance remains strong even after these factors are taken into account. For the following curve simulates NSP-31 performance with a $.01 per share commission, as commonly found with online discount brokers. All other parameters remain unchanged from the previous example.
NSP-33 Simulated Performance with Commissions
Trading NSP-33 on other Indexes:
While NSP-33 was designed to trade stocks in Russell 1000 stock index, testing has revealed it trades well on every broad-based index we analyzed. The following equity curves show simulated results on various indices, over the same date range. Allocations of 10% of equity per trade were used, with commissions of $.01 per share.
Russell 2000
Russell 3000
S&P 400
S&P 500
S&P600
* Year by Year returns for S&P 500 calculated based on yearly percentage change of the S&P 500 Index.