Category Archives: Specific Discussion of Trading Systems

SPECIFIC “HOW TO” DISCUSSIONS OF TRADING

Mid-Year Wrap-Up

June 30, 2008 – 7:23 pm

These are my personal trading returns as of month-end June 2008.
Current Month Return: -7.5%
Year To Date Return: -4.5%
3 Month Return: 1.6%
6 Month Return: -4.5%
12 Month Return: -0.3%
24 Month Return: 11.2%
24 Month Annualized Return: 5.5%
36 Month Return: 51.5%
36 Month Annualized Return: 14.8%
Since Inception Return: 45.4%
Since Inception, […]

By Bill | Also posted in Returns On Trading | Comments (0)

Aggressive and Personal Trades for May

May 12, 2008 – 7:45 am

In its initial version, Aggressive was an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produced an exceptional trading plan by itself, but when the two were combined, the volatility of returns was reduced without much degradation of total returns. This was because their […]

By Bill | Also posted in Specific Discussion of Individual Trades | Comments (0)

No Substitute for Brute Force

May 1, 2008 – 6:01 pm

Sometimes, there is just no substitute for brute force. After all, if you have 41 different possible strategies, that only equates to 1,640 possible blend-pairs to evaluate.
Be back in a while.

By Bill | Also posted in Broad Discussion of Trading Strategies | Comments (1)

Aggressive Portfolio Up 5.87% in Last Four Weeks

April 12, 2008 – 7:01 am

Aggressive is an equal-weighted portfolio derived from two different quantitative stock screens, based on companies that trade on U.S. exchanges. Each screen produces an exceptional trading plan by itself, but when the two are combined, the volatility of returns is reduced without much degradation of total returns. This is because their backtested, detrended equity curves […]

By Bill | Comments (2)

When 13 Minus 4 Equals 12, and 12 Equals 13

April 9, 2008 – 6:41 pm

When would 13 minus 4 ever equal 12? How can 12 equal 13? When you’re talking about trading (whoops! “investing”) returns!
Imagine that, hypothetically, we KNEW with absolute certainty that two managers, trading different strategies, both had long-term cumulative annual growth rates (CAGR) of exactly 13%. Yes, there was variation from year […]

By Bill | Also posted in Broad Discussion of Trading Strategies | Comments (2)