50% Annual Returns

Quote from alphastocks:

Use the monthly data in the backtest I posted earlier and check it, it is very possible I calculated it incorrectly.

Basically I used the following formula: Annualized Return (68.1%)-risk free rate (5%)/Std Dev of monthly returns (6).

I get 10, that is long only, unleveraged.

It could be that I used the wrong formula, I thought I remember it was something like that.
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Your calculation of Sharpe is off,but we can ballpark it....

Notice you are comparing a yearly Return to a monthly standard deviation....thats not allowed!!

As you may or may not know,volatility increases with the square root of time,so to go from monthly to yearly=the square root of 12,which is apx 3.5....Multiply your 6% SD by 3.5 and you have an apx 21% annual vol...Now your Sharpe is around 3,which is still excellent!!

My next question to you is are you compounding your returns?
Are you reinvesting the profits???

Are you actually trading or are these numbers generated by Zacks research wizard??Zacks assumes compounding and greatly exaggerates returns..You can email me privately if you like..

What is your worst peak to trough drawdown??
 
Once you have a stock picked for entry the next day, how do you decide on an entry time--at the open, after pullback, after prior day high break or something, or what? If that is not consistent, a large portion of the gains may be from your discretionary entry points and would be unlikely to be duplicated by others. Also, for how long have you actually been posting the picks on the website? Just to play the skeptic, the prior results could have easily been fabricated by "picking" stocks after the fact.
 
Quote from taowave:

Your calculation of Sharpe is off,but we can ballpark it....

Notice you are comparing a yearly Return to a monthly standard deviation....thats not allowed!!

As you may or may not know,volatility increases with the square root of time,so to go from monthly to yearly=the square root of 12,which is apx 3.5....Multiply your 6% SD by 3.5 and you have an apx 21% annual vol...Now your Sharpe is around 3,which is still excellent!!

My next question to you is are you compounding your returns?
Are you reinvesting the profits???

Are you actually trading or are these numbers generated by Zacks research wizard??Zacks assumes compounding and greatly exaggerates returns..You can email me privately if you like..

What is your worst peak to trough drawdown??
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Guess I was slightly off on the Sharpe, uh.

Anyways, thank you for the clarification.

No reason for a private e-mail, I try to keep things as transparent as possible.

The monthly and annualized returns in the backtest are not compounded.

I have been trading various versions of the strategy for two years, however it has evolved alot during this time, first year and a half being an experimental period. I firmly believe that it's only when throwing real money at a strategy that some firm conclusions can be made.

The account is up 20% ytd, and tracks the backtest closely. This account also has .75 times short weighting which hasn't really affected the total return, but it has reduced the volatility.
 
Quote from smoss:

Once you have a stock picked for entry the next day, how do you decide on an entry time--at the open, after pullback, after prior day high break or something, or what? If that is not consistent, a large portion of the gains may be from your discretionary entry points and would be unlikely to be duplicated by others. Also, for how long have you actually been posting the picks on the website? Just to play the skeptic, the prior results could have easily been fabricated by "picking" stocks after the fact.
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he has a 20 day hold on each equity,so i doubt the timing of the entry is of major consequence...

Also,as he stated,his returns are largely based on fundamentals and to am much lesser degree techicals..

it appears he is a very good stock picker first and formost..What is very hard to believe is that he has a Sharpe of close to 3 with no timing of the exits,no exit rules,no stops and no position sizing algorithms..
 
Quote from smoss:

Once you have a stock picked for entry the next day, how do you decide on an entry time--at the open, after pullback, after prior day high break or something, or what? If that is not consistent, a large portion of the gains may be from your discretionary entry points and would be unlikely to be duplicated by others. Also, for how long have you actually been posting the picks on the website? Just to play the skeptic, the prior results could have easily been fabricated by "picking" stocks after the fact.
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You should be skeptical, don't believe something just because it's on a website, I surely wouldn't. I suggest you paper trade or use a small amount of money for a while to decide for yourself if it works or not, all I ask is that you give it a minimum of three months before drawing any conclusions.

The website is only a couple of months old to answer that question.

What else....oh yeah the trading part.

I typically do my trades within the first hour of trading.
I look at charts and try to pick a reasonable limit. I discourage you from using mkt orders on the open as that could run the stock if it's thin and others are doing the same thing. I typically don't add any positive performance from trading, like today I bought GTN at 6.55, which was not a great price.

So no, the returns are not from my great trading skills, check some of the exits out on a graph and notice that the returns are not achieved in one day, or two or three so the intraday timing of the trades are really not that important.
 
Before I post tomorrows trades just one thing I want to make clear. Right now the returns are looking very good, don't think it will always be like that. This strategy does have draw downs and is not a perfect money making machine with no risks.

However, over time it does very well..:)
 
Quote from alphastocks:


And, no I don't care about the Beta of the portfolio. To try to find a perfect hedge for a long portfolio is impossible, unless you buy puts on all your longs and spend most of your profits on premium.

Basically if you are looking to make 50+% per year you must be willing to take some risks. if you want to participate in the markets in any way you must understand and accept the risks involved.
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You might consider selling calls far above the market price and use that premium to buy puts. It limits the upside but gives some protection on a move down.
 
A collar? :D

Quote from cdowis:

You might consider selling calls far above the market price and use that premium to buy puts. It limits the upside but gives some protection on a move down.
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I didn't surf ET for a few days and you rear your ugly head. It seems like the only thing that comes out of your mouth is "arse" or other similar vocabulary, as evidenced by your numerous jiberish on ET. I am not directing my comments at you, so please do not use that kind of language at me.

What i was saying about the return, I was not alluding to futures, or stocks. I am simply refering to an achievable return rate based on a small account size like 70K. If you don't think accunt size affects return rate, then I don't need to be acknowledge you. Out!


Quote from Bitstream:

since it seems u can do it, why dont u show us your results.
otherwise, please, dont talk out of your arse.
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