Flashback: The ULTRA EZ-Timer (10/15/97)
Some of my longtime clients will remember the EZ-Timer (EZT). I created this strategy for my friends and colleagues that simply were not advanced enough, or had enough time, to utilize more advanced computerized strategies. The EZT was my answer to the question I received over and over again, "What's an easy way to make money in the market?"
The EZT was released on 10/15/97 and never changed. In January 2000 I developed the ULRND1 strategy which was based on the EZT and is a strategy I still use and recommend today.
From 10/15/97 until 01/30/04, the EZT has produced the following results trading the SP500:
Total
Return:
+86% compared to +17% for the SP500. (5 times the gain of buy/hold)
Maximum Drawdown: -28% compared to -49.2% for the SP500. (about
1/2 the drawdown)
Ulcer Index: 8.6 compared to 23.5 for the SP500. (about 1/3rd
the daily drawdown)
Not too bad considering the EZT takes just a few minutes a week to operate without a computer.
EZT use two ULTRA systems YROC and SEAS2
SEAS2 (EZT Variation)
Buy
at the close on the next to last day of every month.
Buy at the close on the Monday before Thanksgiving.
Sell
at the close on the third trading day of every month except December.
YROC
YROC is not quite as simple. It uses four items of weekly data:
TB
= 90-day T-Bill Yield
GB= 30-year T-Bond Yield
CPI = Consumer Price Index
SPX = SP500 Index Close
Buy
on the Monday Close if any 3 of the following are true.
Sell on the Monday close if less than 2 are true:
GB
< GB 24 weeks ago.
TB < TB 24 weeks ago.
SP500 > 52 week exponential moving average of the SP500.
Change in CPI from last month < Change in CPI 24 weeks ago.
Lastly,
EZT buys if either SEAS2 or YROC generates a buy signal.
EZT sells if both SEAS2 and YROC are on sell signals.
For ULTRA Users the Composite Strategy Definition (CDF) for EZT is:
@SYS
seas2,1 *O M1=1,B1=1,S1=3, M2=1,B2=1,S2=3, 3=1,B3=1,S3=3,M4=1,B4=1,S4=3,...
M5=1,B5=1,S5=3, M6=1,B6=1,S6=3, M7=1,B7=1,S7=3, M8=1,B8=1,S8=3,...
M9=1,B9=1,S9=3, M10=1,B10=1,S10=3, M11=1,B11=1,S11=3,...
M12=1,B12=1,S12=3, TG=1,TS=3, ODE=0
yroc,1 *ND *OY2=1
@ALL
0,0
1,100
2,100
@END