Thanks Eric, it is very useful.

Also, I tried to follow the trade on this doc.

http://www.effectivevolume.eu/conten...rading_IWM.pdf
But the trade doesn't seem to match what I can find in yahoo finance for IWM.

For example.
The doc has
Shorted 7/25/2007 8/1/2007 77.42 74.37 3.94% 1.12%

I found in yahoo finance. On 25Jul, the OHLC is 81.46,81.77, 79.83, 80.70. Am I missing something?



Annex 1: Trades of the 20DMF applied to IWM
Average drawdown long trades: 6.22%
Average drawdown short trades: 3.41%
Start date End date Start Price End Price Profit/loss Drawdowns
Shorted 7/25/2007 8/1/2007 77.42 74.37 3.94% 1.12%
Bought 8/1/2007 11/1/2007 74.37 76.11 2.34% 5.71%
Shorted 11/1/2007 11/6/2007 76.11 76.9 -1.04% 2.64%
Shorted 11/7/2007 11/29/2007 74.52 73.29 1.65% 2.04%