About a year ago I showed 2 systems that looked to take advantage of the market’s choppy nature. Since that time I have tracked the performance of these two incredibly simple systems in the Quantifiable Edges Subscriber Letter. I’ve referred to them as the “2 Days In Chop” systems. As a quick refresher the rules for each are below:

Long System (2 Days Down In Chop):
1) Buy the SPX any time it closes lower 2 days in a row.
2) Sell the 1st profitable close up to 3 days later.
3) Sell on the 3rd day regardless of profitability.

Short System (2 Days Up In Chop):
1) Short the SPX any time it closes higher 2 days in a row.
2) Cover the 1st profitable close up to 4 days later.
3) Cover on the 4th day regardless of profitability.

A few quick notes:
At the time the market was locked in a downtrend which is why I gave the shorts an extra day.
I noted the systems were very raw and were not something I would trade “as is”.

Below I will show the combined performance of the 2 systems since I introduced them. In upcoming posts I’ll discuss how I use the systems and also discuss some thoughts on them and some ideas in which the basic systems could be improved.

Here is the performance over the last year +.

A 73% return would seem very impressive for something so simple. It has had a bit of a drawdown lately, though. Below is a profit curve.

The system peaked on 6/22 and has had a few rough trades as of late. Still, the recent drawdown is very small compared to the overall gains of the system.

So why haven’t I simply traded the system “as is” for the last year? I guess you could say that I’m just not smart enough to blindly trade a system this dumb.

I’m getting a little smarter, though. And I’ll have more in upcoming posts.