Rather than list my personal trades in a separate post, as I have done in the past, I’m going to mention them in the context of the system which is being traded. I am following the tracking portfolio for Aggressive in my personal account, with weights that might vary only slightly from the […]
I’ve written previously that the bottom and retest, in January and March, were the best buying opportunities, albeit stomach-churning; that’s been proven wrong. I also thought that last month’s pullback was a strong opportunity for fresh capital, and that looks wrong, as well, at this point. It’s a matter of timing, somewhat appropriate […]
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, […]
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 […]
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.
