Hello everyone, I've finally finished the preliminary trade statistics for the XLE/ERX swing system that I've been working on for a quite while now.  However note, I still have some trade rules to double check, so it's possible that a few of the past entries may change slightly when all said and done (but only slightly), however here's what it looks like thus far from 2005 - present.  

This is a swing system that stays in the market most of the time, it's not a reversion to the mean system like the RSI 2 S&P systems that I've posted, it's goal is  to catch the whole trends.  I base the signals off the XLE chart vs ERX because XLE has a lot more history, plus I don't trust taking signals of ERX which is a 3X ETF.  The primary component of the system is the BPENER indicator, however I use a plethora of indicators and rules -there are a ton of rules and this isn't a system that I can program into Tradestation, way too complicated, however I'm not divulging the rules to the system, the BPENER used by itself does not work well, the other indicators are needed. 

The statistics are pretty ridiculous, about 530% since 2005 and that's non compounded - no profit reinvestment.  I suppose ERX would be about 1500 - 1600% since it's 3X ETF or over 200 - 220% a year, and XLE returning about 70% - 100% a year, note I have not yet made up the table for the ERX trades, however obviously they would be taken exactly on the same days since all signals are based on XLE.  Trades can last anywhere from a just a few days to weeks and months with one trade lasting 8 months between 2010 - 2011 (see the trade table), but otherwise all trades are taken at the close, save for a few that could be stopped out intra day.  The average number of trades is about 12 per year. Please note that the statistics trade table is quite tall and will look very small when you first click on it, however if you open it up in another window you can expand it to full size by clicking on the picture, it's a standard feature of any web browser).

My goal would be to send signals out to the website members and place the statistics into the 'Mechanical Systems' section, however I'm not set up for that yet.  Currently the system is still in an open short.

One thing really cool is that the same trade rules and methodology should work on other ETF's, for example I should be able to use the exact same rules to come up with an S&P 500 swing system based on the BPSPX indicator, etc.  But again one step at a time, first I have to finalize this. 

However one of my major concerns is being able to always decide if the system is going to do a trade before the market close - The BPENER doesn't update until 1 hr after the market closes and how it closes as well as the many other indicators is very important to my rules.  I have a calculation that I run in Stockcharts.com intra day, but it sometimes doesn't match, hopefully I can figure that out.  The worst case scenario is that I would confirm the signal 1 hr after the market close, which for me is fine because I can simply enter or exit the trade after hrs - I know for some of you that can be an issue, but for me it's not.  

anyway when I have more info I'll let you know

Have a nice Thanksgiving!!