continue FAS_FAZ double short. 100 simulation results

I am also interested to look at the double short of fas_faz. I did 100 simulations. Each simulation is based on random day to day percent change of IYF (DOW financials) between -10% and 10%. At the time I do simulation, IYF = 34.76, FAZ = 17.18, FAS = 6.48. I assume initial investment of faz_value = 100000, fas_value = 100000; We look for the results after 500 trading days in each simulation.

Among 100 simulations, only 4 times (huge finacial bull markets) double shorts will lose money.

it does not seem like a bad idea to short both given the fact that a huge financial bull market is not in order for a while to come.









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total_
IYF FAZ FAS faz_value fas_value value simulation

552.418 0.0000 187.160 0.00 2888278.31 2888278.31 1
2.143 4.4403 0.000 25845.57 0.14 25845.71 2
41.118 0.0004 0.066 2.38 1017.79 1020.17 3
9.773 0.0202 0.001 117.81 9.70 127.51 4
290.775 0.0000 28.527 0.01 440229.68 440229.69 5
3.043 1.1246 0.000 6545.71 0.35 6546.06 6
11.271 0.0285 0.002 166.06 23.73 189.79 7
26.755 0.0013 0.017 7.50 258.96 266.46 8
10.455 0.0282 0.001 164.13 15.82 179.95 9
51.400 0.0001 0.097 0.62 1492.94 1493.57 10
13.493 0.0154 0.003 89.47 38.97 128.44 11
5.848 0.1504 0.000 875.66 2.51 878.17 12
29.391 0.0010 0.023 5.89 359.45 365.34 13
15.044 0.0049 0.002 28.33 35.53 63.86 14
28.536 0.0014 0.024 8.35 364.06 372.41 15
4.573 0.3293 0.000 1917.00 1.22 1918.22 16
9.991 0.0361 0.001 210.12 14.57 224.69 17
170.767 0.0000 6.991 0.06 107878.56 107878.62 18
15.572 0.0093 0.004 54.26 56.97 111.23 19
83.141 0.0000 0.572 0.25 8829.01 8829.26 20
16.066 0.0052 0.003 30.31 50.66 80.97 21
66.546 0.0001 0.233 0.32 3592.23 3592.55 22
38.896 0.0003 0.039 1.55 605.43 606.98 23
83.043 0.0001 0.562 0.33 8667.78 8668.11 24
20.062 0.0035 0.007 20.14 111.01 131.15 25
30.293 0.0006 0.020 3.56 310.83 314.39 26
13.961 0.0055 0.002 32.14 28.60 60.73 27
5.645 0.1700 0.000 989.61 2.45 992.06 28
7.238 0.0879 0.000 511.92 5.35 517.27 29
22.786 0.0032 0.012 18.42 182.65 201.08 30
109.668 0.0000 1.558 0.16 24035.82 24035.98 31
12.115 0.0076 0.001 44.39 16.73 61.12 32
0.965 18.3519 0.000 106821.13 0.01 106821.14 33
8.778 0.0275 0.000 159.84 7.45 167.29 34
270.855 0.0000 18.563 0.01 286467.60 286467.61 35
2.582 1.6168 0.000 9410.67 0.21 9410.88 36
38.811 0.0004 0.051 2.44 781.94 784.39 37
30.362 0.0011 0.026 6.25 404.05 410.29 38
21.543 0.0023 0.008 13.28 116.84 130.12 39
52.461 0.0001 0.110 0.70 1695.91 1696.62 40
4.519 0.3031 0.000 1764.47 1.12 1765.60 41
3.814 0.3624 0.000 2109.29 0.57 2109.86 42
14.417 0.0054 0.002 31.37 30.52 61.89 43
13.661 0.0110 0.002 64.05 32.79 96.84 44
1.592 9.0516 0.000 52686.64 0.05 52686.69 45
373.879 0.0000 55.781 0.00 860810.40 860810.40 46
6.506 0.0727 0.000 423.08 2.91 425.99 47
33.508 0.0004 0.027 2.45 420.42 422.87 48
7.217 0.1048 0.000 610.23 5.57 615.79 49
44.342 0.0006 0.106 3.63 1632.27 1635.90 50
39.658 0.0003 0.048 1.81 738.98 740.79 51
5.921 0.1519 0.000 884.24 2.89 887.12 52
19.761 0.0038 0.007 22.04 105.33 127.37 53
1.779 5.7755 0.000 33617.82 0.07 33617.89 54
26.610 0.0010 0.014 5.69 208.98 214.67 55
75.198 0.0001 0.51329 0.51 7921.07 7921.58 56
39.883 0.0003 0.05291 1.91 816.48 818.39 57
10.458 0.0198 0.00086 115.04 13.29 128.33 58
35.617 0.0004 0.03208 2.04 495.13 497.17 59
17.657 0.0108 0.00708 62.58 109.21 171.79 60
12.872 0.0073 0.00137 42.58 21.07 63.65 61
11.456 0.0133 0.00099 77.16 15.30 92.46 62
209.390 0.0000 7.96049 0.01 122847.05 122847.06 63
10.318 0.0250 0.00092 145.72 14.12 159.84 64
13.943 0.0088 0.00203 51.35 31.36 82.71 65
20.649 0.0020 0.00577 11.39 89.11 100.51 66
28.271 0.0007 0.01618 4.15 249.69 253.84 67
27.719 0.0013 0.01987 7.37 306.66 314.03 68
3.834 0.4123 0.00004 2399.63 0.57 2400.20 69
1.464 11.1125 0.00000 64682.98 0.04 64683.02 70
6.400 0.0920 0.00021 535.26 3.25 538.51 71
8.341 0.0668 0.00056 389.03 8.57 397.61 72
15.697 0.0064 0.00315 37.01 48.64 85.66 73
19.941 0.0023 0.00561 13.17 86.65 99.82 74
25.982 0.0022 0.01907 12.64 294.29 306.93 75
1.213 12.2807 0.00000 71482.35 0.02 71482.37 76
24.393 0.0020 0.01376 11.89 212.34 224.23 77
27.133 0.0025 0.02678 14.82 413.27 428.10 78
21.286 0.0037 0.00998 21.34 153.97 175.31 79
17.429 0.0042 0.00405 24.19 62.50 86.69 80
42.061 0.0004 0.07039 2.36 1086.22 1088.58 81
44.285 0.0002 0.07131 1.18 1100.45 1101.64 82
13.215 0.0142 0.00212 82.94 32.74 115.68 83
21.339 0.0022 0.00775 13.04 119.63 132.68 84
13.023 0.0118 0.00180 68.56 27.71 96.26 85
74.528 0.0000 0.31681 0.27 4889.07 4889.34 86
22.686 0.0018 0.00827 10.30 127.66 137.96 87
4.922 0.2104 0.00009 1224.95 1.39 1226.34 88
25.561 0.0020 0.01616 11.44 249.38 260.81 89
4.577 0.3008 0.00009 1750.96 1.32 1752.28 90
3.295 0.8780 0.00003 5110.48 0.44 5110.93 91
46.496 0.0003 0.08545 1.46 1318.65 1320.10 92
3.036 1.2900 0.00002 7508.47 0.35 7508.82 93
184.005 0.0000 5.66221 0.02 87379.74 87379.76 94
32.664 0.0006 0.02802 3.53 432.48 436.01 95
1.208 20.7514 0.00000 120788.18 0.02 120788.21 96
31.586 0.0015 0.04059 8.80 626.32 635.12 97
31.395 0.0014 0.03499 8.28 539.91 548.20 98
25.704 0.0019 0.01628 11.18 251.17 262.35 99
6.484 0.0757 0.00019 440.49 2.89 443.38 100

所有跟帖： 

• interesting, you take the spared between those two -tank- ♂ (245 bytes) () 04/07/2009 postreply 12:04:20

• assuming bear market, right? -美西游子- ♀ (44 bytes) () 04/07/2009 postreply 12:04:55

• No, works for both bear or bull market -Frontline- ♀ (167 bytes) () 04/07/2009 postreply 12:42:36

• I see. having said that, does it work the same to long both? -美西游子- ♀ (0 bytes) () 04/07/2009 postreply 12:45:56

• Long and short are completely mirrored -Frontline- ♀ (171 bytes) () 04/07/2009 postreply 13:03:12

• what logic, thanks! -美西游子- ♀ (0 bytes) () 04/07/2009 postreply 13:14:44

• 该法在熬破心里称作为：Naked Straddle Sale， 为常用方法之一。 -老顽石- ♂ (0 bytes) () 04/07/2009 postreply 12:15:24

• Great work and expected result -Frontline- ♀ (94 bytes) () 04/07/2009 postreply 12:29:48