On this page we are presenting some of the performance data on our Country Rotation System. Displayed below are data for our nine core countries. We ran the Country Rotation System on 5 years of data. We assumed in all cases that we started with $100,000 capital and allowed only $10,000 per trade. We also assume that each trade costs $10 with slippage of $10. Hence, each trade costs $20.

The columns displayed are as follows. Total Net Profit is Gross Profit minus Gross Loss. The profit factor is the ratio of Gross Profit to Gross Loss

So how was performance? The profit factors are all over the place, ranging from 32 for Brazil to 0.8 for Germany (which indicates a loss). The system seems to work better with emerging markets than with developed markets. Latin America and Asia do better than Europe.

It will be argued that trading systems can be easily made to look good by optimizing parameters over past data before presentation. The parameters in this model have not been changed for over two years. Further, the parameters selected at that time were determined more on logic than optimization. The system seems to have a solid core logic. However, no system works under all conditions. The sytem did not catch our recent worldwide correction. It works well when there is a trend like all good trading systems. We chose this system because it makes good intuitive sense.

The application of this system to individual ADRs is more complicated but seems to do reasonably well. The core logic is the same, but it is definitely a level higher in complexity. We will present some individual ADR results in a few days.