Portfolio Performance – Apr 2012
ROI Stats April: Portfolio (-1.75%) vs SP500 (-0.75%). March: Portfolio (+3.25%) vs SP500 (+3.13%).
Trade Stats +---------+---------+-------+--------+------+--------+--------+---------+ | Months | Entries | Exits | Win% | PF | TScore | ZScore | Optf | +---------+---------+-------+--------+------+--------+--------+---------+ | Apr | 2 | 2 | 50.00% | 0.42 | - 0.41 | inf | -70.13% | | Mar | 6 | 7 | 71.43% | 4.06 | 1.54 | 0.68 | 53.82% | | Last 3 | 14 | 17 | 52.94% | 0.71 | - 0.47 | - 0.99 | -21.60% | | Last 6 | 38 | 38 | 63.16% | 1.08 | 0.18 | - 0.42 | 4.85% | | Last 12 | 79 | 81 | 58.02% | 0.85 | - 0.56 | - 0.22 | -10.45% | | All | 200 | 199 | 64.32% | 1.46 | 2.07 | - 2.30 | 20.14% | +---------+---------+-------+--------+------+--------+--------+---------+
Notes: * PF - average profits expected per trade: > 1.0: $1 invested returns > $1 (profitable) = 1.0: $1 invested returns $1 (breakeven) < 1.0: $1 invested returns < $1 (loss). * TScore - observed probability due to chance at 95% CI: > 1.645: not just dumb luck <= 1.645: dumb luck. * ZScore - duration of Win/Lose streaks: >= 1.645: shorter duration <= -1.645: longer duration. * Optf - optimal percent of capital to invest: > 0: might be worthy to invest <= 0: save your money.
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Portfolio Performance – Feb 2012
February 2012 Stats # of Entries...........6 # of Exits.............8 WinRatio..............37.50% Portfolio's ROI......- 4.35% Market's ROI.........+ 4.06%
Cumulative Stats WinRatio..............64.21% Profit Factor..........1.45 t-Test.................2.01 Half-Kelly............19.79%
Very poor performance for the month of February. The overall market did wonderful. The portfolio was heading in to the last week of February with great results, as well. But, 2 stocks took the portfolio out of the running: TSRA & CPHD. This hit created the worst drawdown for the portfolio since 2010.
As a result of this drawdown; I am adjusting the trading system to account for volatility impacts. This is the first adjustment to the trading system since creation back in 2010. The adjustment involves overlaying a stock & market volatility filter to the system.
On a brighter note; I am heading to Alabama for a little R&R with the family. We’ll be around Lewis Smith Lake and the Birmingham area; so if anyone has any cool restaurants or places to see…drop me a line at mike @ taylortree.com.
Later Trades,
MT
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