Richard Donchian
6-Month-Rule System
Richard Donchian (1905-1993)
Clip: http://www.rddonchian.org
Note: These results are for educational purposes only.
They do not imply any kind of trading recommendation.
This particular sytem is particularly difficult to follow
and attempts to follow it may lead to substantial losses.
The System Rules:
1. Place a buy stop to cover shorts and to go long at the 210-day high.
2. Place a sell stop to liquidate longs and to go short at the 210-day low.
3. Size position so that risk to protective stop = 7% of current equity.
This sample portfolio contains S&P, 30-Bonds, Soybeans, Copper and Eurodollar.
| Equity Curve |
|
| Results Summary |
| Starting Date |
01/02/1990 |
|
Starting Equity |
$1,000,000.00 |
|
| Ending Date |
08/11/2006 |
|
Ending Equity |
$11,727,775.08 |
|
| Annualized Percent Return |
0.16 |
|
Maximum % Drawdown |
0.34 |
|
| Bliss |
0.47 |
|
Annualized Sharpe Ratio (Rfr=1%) |
0.75 |
|
| Margin/Equity (est) |
0.00 |
|
Ulcer Index |
0.14 |
|
| Monthly Performance |
|
JAN |
FEB |
MAR |
APR |
MAY |
JUN |
JUL |
AUG |
SEP |
OCT |
NOV |
DEC |
YEAR |
| 2006 |
2.29 |
0.23 |
9.15 |
22.89 |
4.64 |
0.33 |
3.31 |
-2.36 |
|
|
|
|
45.61 |
| 2005 |
-2.38 |
0.17 |
0.07 |
0.25 |
4.24 |
2.21 |
7.32 |
-2.11 |
7.41 |
1.46 |
11.84 |
4.27 |
39.55 |
| 2004 |
6.14 |
16.99 |
1.04 |
-7.09 |
-4.55 |
-0.89 |
-5.12 |
-2.01 |
0.84 |
-3.50 |
5.29 |
2.36 |
7.54 |
| 2003 |
-2.07 |
2.54 |
2.70 |
1.38 |
-2.51 |
2.98 |
-11.73 |
4.27 |
10.19 |
8.78 |
0.37 |
7.08 |
24.46 |
| 2002 |
0.18 |
1.46 |
-3.18 |
8.67 |
2.11 |
6.43 |
3.31 |
2.74 |
1.30 |
-3.29 |
-1.77 |
4.72 |
24.32 |
| 2001 |
7.59 |
5.70 |
5.42 |
-2.67 |
2.31 |
1.91 |
3.33 |
1.97 |
10.74 |
4.89 |
-5.10 |
-1.95 |
38.54 |
| 2000 |
-5.12 |
-3.82 |
-1.46 |
-0.62 |
-1.59 |
-2.11 |
3.05 |
-1.40 |
-2.92 |
-3.97 |
4.76 |
9.78 |
-6.20 |
| 1999 |
2.70 |
-1.44 |
1.61 |
-0.36 |
1.35 |
-1.86 |
-1.09 |
-1.53 |
0.84 |
1.47 |
1.45 |
7.95 |
11.28 |
| 1998 |
4.37 |
1.85 |
5.74 |
-0.69 |
-1.27 |
7.12 |
-4.39 |
-6.45 |
5.94 |
-15.79 |
-2.81 |
-0.39 |
-8.80 |
| 1997 |
4.62 |
-5.46 |
-6.34 |
5.28 |
8.19 |
-0.37 |
7.66 |
-3.10 |
5.46 |
2.71 |
5.11 |
1.72 |
27.01 |
| 1996 |
-3.68 |
-2.88 |
0.86 |
-0.77 |
-1.76 |
5.68 |
-6.02 |
5.01 |
-0.14 |
-2.43 |
-0.26 |
-1.40 |
-8.09 |
| 1995 |
-5.61 |
-4.68 |
3.71 |
-3.43 |
10.77 |
2.90 |
-0.06 |
3.80 |
3.77 |
6.68 |
5.33 |
5.97 |
31.67 |
| 1994 |
-1.61 |
-6.21 |
-8.71 |
2.98 |
7.20 |
2.07 |
-7.45 |
0.08 |
12.37 |
4.03 |
9.94 |
-1.37 |
11.44 |
| 1993 |
4.52 |
3.98 |
-1.09 |
7.06 |
-3.23 |
8.31 |
4.69 |
1.13 |
-0.31 |
0.03 |
0.96 |
1.34 |
30.31 |
| 1992 |
-6.72 |
-3.62 |
1.63 |
2.90 |
-2.18 |
4.76 |
11.23 |
1.25 |
0.91 |
-8.08 |
-4.08 |
2.19 |
-1.35 |
| 1991 |
-5.50 |
-6.38 |
0.87 |
4.30 |
-3.96 |
1.44 |
-2.70 |
8.81 |
2.42 |
3.67 |
2.27 |
14.11 |
18.97 |
| 1990 |
0.00 |
1.36 |
5.91 |
19.60 |
-25.63 |
13.94 |
-8.27 |
-3.88 |
0.14 |
-0.44 |
-9.19 |
15.60 |
0.40 |