Trading Strategy Analysis of CAI

Trading Strategy for CAI

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Annualized Returns of Trading Strategies for CAI

	Best Return	at Stop	Episodes	Length	Best +10	at Stop	-5 to -25
Buy and Hold	7.30 %		0.21	1201.00
Buy On Rise Hold	9.88 %		0.17	1438.76
Buy On Dip Hold	7.01 %		0.20	1259.47
Signal and Hold	13.02 %		0.17	1444.72
Stops Only	15.24 %	-0.08	6.00	39.46	13.80 %	-0.11	3.70 %
Sell Signal Trim Stops	23.53 %	-0.11	5.00	49.32	23.53 %	-0.11	8.62 %
Buy Signals	45.17 %	-0.11	4.00	65.38	45.17 %	-0.11	28.36 %
All Methods	55.62 %	-0.31	1.00	211.14	55.62 %	-0.31	32.46 %

This table shows the results some simple trading policies from brute-force calculations on every trading day during the last 10 years. The top lines of the table show results from several variations on the classic Buy and Hold strategy, for which the concept of stops does not apply. This much used strategy yielded 7.00 %.

The naïve interpretation of the Buy and Hold strategy is tested by buying on every day of the period, and evaluating the value of the accumulated holdings at the end. A less simplistic version might involve the momentum investor's ploy of buying only on rising prices, or the more contrarian tactic of buying on the dips.

Our tests show it is generally better to buy on the dips rather than trying to follow the momentum of the market. But CAI is an exception to that rule. The best of these strategies trigger the buy on technical indicators.

The worst defect of the various Buy and Hold strategies is that they do not offer a methodology for cutting losses.

From the Report Dated 5/1/2009: For purposes of setting stop loss limits, the best setting is -8 percent when the stops for CAI are reset weekly. This setting has produced a historical yield of 15.00 %. (The yield during the holding period is annualized to provide this figure).

How to set sliding stop limits for CACI Intl:

Stop loss limit orders would appear to be almost always desirable. But where to set the stop limit is controversial. Setting to limit too low may allow for too great a loss. But setting the limit too high may cause the trade to "stop out" prematurely, perhaps missing a rally and also incurring an unwelcome brokerage fee.

Two issues need to be settled in arriving at a stop limit strategy. The first is to determine the price to position the stop loss at a percentage below the buy-in price. The second is to determine a strategy for raising or sliding the stop to lock in gains without undue risk of prematurely "stopping out" on some insignificant dip in price.

Some would advise you to set the stops at what you feel to be an acceptable loss. However, "feeling" is an extremely misleading guide. These charts are the output of a "brute force" calculation giving results for every stop loss setting from one percent to fifty percent on every trading day of the past ten years.

The bars represent the annual percentage appreciation achieved for each stop loss setting. This percentage is numbered on the right (blue) axis. The purple line depicts the number of "stop outs" on average per year at each stop loss setting . Transaction costs directly relate to this number on the left (purple) axis.

These charts represent different strategies for "sliding" the stops to lock in gains. The first simply moves the stop up every day to the pre-determined percentage below the close price. The others move the stops up at the end of every week, and at the end of every month. Generally speaking, it seems better to move the stops less frequently than daily.

More than 70 Hi-Rez charts daily for CACI Intl:

Predictions

Support and Resistance

Price Behavior Surfaces

Frequency Analysis

Japanese CandleSticks

Technical Oscillators

Moving Averages

Stratification Analysis

Politics and Prices

Classical Time Series

Risk-Volatility

Bernoulli Analysis

Sentiment

Back to CAI Table of Contents

Technical Buy Signals and Trailing Stop-loss

Trailing stops set at -18.00 %

Start	End	Buy In	End Price	Dif	Total	Type	Sessions
11/16/1999	4/19/2000	11.84	11.84	0.00	0.00	1	106
12/9/1999	4/19/2000	10.62	11.84	1.22	1.22	1	90
1/14/2000	4/19/2000	10.97	11.84	0.87	2.09	1	65
5/19/2000	7/28/2000	10.75	8.73	-2.02	0.07	1	46
6/1/2000	7/23/2001	9.81	18.33	8.52	8.59	1	283
6/7/2000	7/23/2001	9.50	18.33	8.83	17.42	1	280
7/10/2000	7/23/2001	9.31	18.33	9.02	26.44	1	259
7/26/2000	7/23/2001	9.25	18.33	9.08	35.52	1	247
8/8/2000	7/23/2001	8.72	18.33	9.61	45.13	1	238
8/16/2000	7/23/2001	9.94	18.33	8.39	53.52	1	232
9/15/2000	7/23/2001	10.78	18.33	7.55	61.07	1	213
9/20/2000	7/23/2001	11.56	18.33	6.77	67.84	1	210
10/19/2000	7/23/2001	9.91	18.33	8.42	76.26	1	189
11/13/2000	7/23/2001	11.38	18.33	6.95	83.21	1	172
1/18/2001	7/23/2001	12.53	18.33	5.80	89.01	1	128
1/23/2001	7/23/2001	12.28	18.33	6.05	95.06	1	125
2/7/2001	7/23/2001	12.02	18.33	6.31	101.37	1	114
3/22/2001	7/23/2001	13.50	18.33	4.83	106.20	1	84
3/27/2001	7/23/2001	13.91	18.33	4.42	110.62	1	81
5/9/2001	7/23/2001	18.00	18.33	0.33	110.95	1	51
7/13/2001	7/23/2001	22.36	18.33	-4.03	106.92	1	6
7/27/2001	1/15/2002	17.26	34.46	17.20	124.12	1	114
8/16/2001	1/15/2002	21.00	34.46	13.46	137.58	1	100
9/17/2001	1/15/2002	25.24	34.46	9.22	146.80	1	83
1/15/2002	4/23/2002	34.46	32.00	-2.46	144.34	1	66
4/23/2002	7/22/2002	32.00	30.29	-1.71	142.63	1	62
5/17/2002	7/22/2002	32.09	30.29	-1.80	140.83	1	44
5/30/2002	7/22/2002	32.86	30.29	-2.57	138.26	1	36
7/30/2002	8/5/2002	34.99	27.49	-7.50	130.76	1	4
10/1/2002	12/18/2002	36.31	33.80	-2.51	128.25	1	55
10/7/2002	12/18/2002	32.56	33.80	1.24	129.49	1	51
12/30/2002	3/10/2003	35.05	30.54	-4.51	124.98	1	47
2/12/2003	5/10/2004	34.28	40.66	6.38	131.36	1	312
3/3/2003	5/10/2004	32.88	40.66	7.78	139.14	1	300
3/10/2003	5/10/2004	30.54	40.66	10.12	149.26	1	295
5/13/2003	5/10/2004	32.05	40.66	8.61	157.87	1	250
5/22/2003	5/10/2004	30.00	40.66	10.66	168.53	1	243
12/8/2003	5/27/2004	48.71	37.48	-11.23	157.30	1	118
3/19/2004	5/27/2004	41.58	37.48	-4.10	153.20	1	48
5/4/2004	1/25/2005	41.45	52.40	10.95	164.15	1	183
5/11/2004	1/25/2005	41.19	52.40	11.21	175.36	1	178
5/27/2004	1/25/2005	37.48	52.40	14.92	190.28	1	166
7/7/2004	1/25/2005	41.40	52.40	11.00	201.28	1	140
8/19/2004	1/25/2005	46.55	52.40	5.85	207.13	1	109
9/21/2004	1/25/2005	53.32	52.40	-0.92	206.21	1	87
1/3/2005	1/25/2005	65.72	52.40	-13.32	192.89	1	15
1/13/2005	10/27/2005	59.30	52.21	-7.09	185.80	1	199
1/19/2005	10/27/2005	60.92	52.21	-8.71	177.09	1	196
1/25/2005	10/27/2005	52.40	52.21	-0.19	176.90	1	192
4/21/2005	10/27/2005	61.07	52.21	-8.86	168.04	1	132
6/23/2005	10/27/2005	58.88	52.21	-6.67	161.37	1	88
10/6/2005	8/7/2006	58.92	52.84	-6.08	155.29	1	209
10/27/2005	8/7/2006	52.21	52.84	0.63	155.92	1	194
11/28/2005	8/7/2006	52.83	52.84	0.01	155.93	1	173
12/14/2005	8/7/2006	61.22	52.84	-8.38	147.55	1	161
1/26/2006	8/7/2006	58.00	52.84	-5.16	142.39	1	133
4/17/2006	7/17/2006	66.97	54.81	-12.16	130.23	1	63
5/15/2006	7/17/2006	67.02	54.81	-12.21	118.02	1	43
6/30/2006	8/10/2006	58.33	47.76	-10.57	107.45	1	28
7/14/2006	1/18/2007	55.36	47.22	-8.14	99.31	1	128
1/4/2007	1/22/2007	56.69	46.26	-10.43	88.88	1	11
1/11/2007	1/22/2007	56.90	46.26	-10.64	78.24	1	6
1/18/2007	1/3/2008	47.22	41.65	-5.57	72.67	1	242
1/30/2007	1/3/2008	46.63	41.65	-4.98	67.69	1	234
5/10/2007	1/3/2008	45.54	41.65	-3.89	63.80	1	164
11/26/2007	7/15/2008	43.21	42.72	-0.49	63.31	1	159
7/16/2008	10/9/2008	42.90	41.00	-1.90	61.41	1	60
10/20/2008	3/19/2009	42.69	37.71	-4.98	56.43	1	103
12/1/2008	3/19/2009	42.86	37.71	-5.15	51.28	1	74

Total Session Units Invested 9317
Sessions In Time Span 2398 Avg. Units Invested 3.89

Unit Shares	Market Order Commissions	Stop Order Commissions	Profit
100	69 at $5.00	22 at $15.00	$4,453.00
100	69 at $30.00	22 at $30.00	$2,398.00
1000	69 at $5.00	22 at $15.00	$50,605.00
1000	69 at $30.00	22 at $30.00	$48,550.00

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Detailed Trading Strategy for CAI :

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