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, PASSBaseObj, . , , momentum . Excel:

ProfitChange  DrawdownChange  SignalResult  SignalDate  ProfitChangeSign
21,52% 28,03%  Sell  01.06.2002 4,55%
97,62% 5,56%  Buy  01.10.2002 13,65%
0,00% 195,81%  Sell  01.04.2003 -19,83%
153,38% 2,77%  Buy  01.05.2003 106,41%
32,69% 15,08%  Sell  01.04.2004 -5,65%
8,93% 36,29%  Buy  01.09.2004 -12,35%
27,32% 40,06%  Sell  01.11.2004 -11,59%
43,01% 18,49%  Buy  01.02.2005 -14,67%
4,48% 73,09%  Sell  01.04.2005 -11,11%
105,19% 0,29%  Buy  01.06.2005 97,69%
6,41% 68,37%  Sell  01.09.2006 -11,34%
51,22% 4,24%  Buy  01.10.2006 53,71%
76,15% 27,58%  Sell  01.01.2008 -17,29%
8,77% 79,67%  Buy  01.02.2008 -13,92%
80,09% 2,06%  Sell  01.06.2008 64,96%
112,32% 3,66%  Buy  01.03.2009 64,32%

? 10 , . , . 19.97% ( / ). , , . : 5,7 8 , 9 . . " "*:

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, , , .

. , , ProfitChange DrawdownChange, , . :

ProfitChange  DrawdownChange  SignalResult  SignalDate  ProfitChangeSign
21,52% 11,67%  Sell  01.06.2002 4,55%
34,13% 5,56%  Buy  01.10.2002 13,65%
0,00% 117,04%  Sell  01.04.2003 -19,83%
133,10% 2,77%  Buy  01.05.2003 106,41%
27,05% 7,23%  Sell  01.04.2004 -5,65%
8,93% 36,29%  Buy  01.09.2004 -12,35%
27,32% 11,86%  Sell  01.11.2004 -11,59%
8,87% 18,49%  Buy  01.02.2005 -14,67%
4,48% 47,10%  Sell  01.04.2005 -11,11%
45,65% 0,29%  Buy  01.06.2005 97,69%
6,41% 44,46%  Sell  01.09.2006 -11,34%
29,75% 4,24%  Buy  01.10.2006 53,71%
1,02% 27,58%  Sell  01.01.2008 -17,29%
8,77% 39,41%  Buy  01.02.2008 -13,92%
76,38% 2,06%  Sell  01.06.2008 64,96%
80,84% 3,66%  Buy  01.03.2009 64,32%
6,21% 29,21%  Sell  01.08.2009 -10,52%

ProfitChange DrawdownChange .

ProfitChange DrawdownChange
10 51,82% 37,56%
5 30,61% 24,05%

, , . DrawdownChange.

ProfitChange DrawdownChange :

ProfitChange DrawdownChange
3 21,63% 16,18%
1 12,33% 8,55%

:

  • . , , 12,33%. , 7 17 , , .
  • (19.97% , - ) .

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, * ,    "Microsoft Excel", " Microsoft"

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