How much capital required to generate $200/day pair trading?

Quote from WesSeid:

Yeah, but I was just told return % is irrelevant and that good trading has nothing to do with % return. :confused:

If a full-time, small-account trader makes a yearly .5% return with a .5% drawdown, is he a good trader? How much leverage would he need to be able to eat?

My D.U.M. strategy has 0% drawdown. Does return % matter or not?
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I really hope that's not a serious question. If not, follow the Wiki link above.
 
Quote from bwolinsky:

With the market down 40% they're paying for outperformance, so it's still worth substantial money. Also, it would appear I'm only down 15% from that point.
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Is this a long only or bi-directional system? Over the last decade, has it outperformed a baseline SP500 200MA daily or 20-period monthly directional strategy (close above = long, close below = short)? Perhaps I'm too demanding, but why waste time implementing strategies that don't have the potential to significantly outperform this BL. Down 15% in this historical volatility is painfully poor, granted it is not long only.
 
Quote from Syprik:

Is this a long only or bi-directional system? Over the last decade, has it outperformed a baseline SP500 200MA daily or 20-period monthly directional strategy (close above = long, close below = short)? Perhaps I'm too demanding, but why waste time implementing strategies that don't have the potential to significantly outperform this BL. Down 15% in this historical volatility is painfully poor, granted it is not long only.
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It is not poor if you do not have a conscience and can convince people to pay you to lose money.
 
Spinn can see my pm for a response. He has been added to my ignore list, and congrats on being the first. This kind of wannabe behavior is very annoying. His failings as a trader are very apparent when he sees someone more succesful than himself, both as a trader and as a professional.
 
Quote from Syprik:

Is this a long only or bi-directional system? Over the last decade, has it outperformed a baseline SP500 200MA daily or 20-period monthly directional strategy (close above = long, close below = short)? Perhaps I'm too demanding, but why waste time implementing strategies that don't have the potential to significantly outperform this BL. Down 15% in this historical volatility is painfully poor, granted it is not long only.
More...

Hi, the anwer is yes. Your strategy, since 3/20/2007 has these as returns:
Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $102,637.64 $102,637.64 $169,909.00 $104,103.95
Net Profit ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Net Profit % -39.59% -39.59% 0.00% -38.73%
Annualized Gain % -21.56% -21.56% 0.00% -21.03%
Exposure 53.24% 53.24% 0.00% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission ($11.15) ($11.15) $0.00 ($12.05)

Number of Trades 1 1 0 1
Avg Profit/Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Profit/Loss % -41.09% -41.09% 0.00% -38.70%
Avg Bars Held 325 325 0 524

Winning Trades 0 0 0 0
Winning % 0.00% 0.00% 0.00% 0.00%
Gross Profit $0.00 $0.00 $0.00 $0.00
Avg Profit $0.00 $0.00 $0.00 $0.00
Avg Profit % 0.00% 0.00% 0.00% 0.00%
Avg Bars Held 0 0 0 0
Max Consecutive 0 0 0 0

Losing Trades 1 1 0 1
Losing % 100.00% 100.00% 0.00% 100.00%
Gross Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Loss % -41.09% -41.09% 0.00% -38.70%
Avg Bars Held 325 325 0 524
Max Consecutive 1 1 0 1

Max Drawdown ($87,776.21) ($87,776.21) $0.00 ($106,485.84)
Max Drawdown Date 3/9/2009 3/9/2009 N/A 3/9/2009
Max Drawdown % -51.66% -51.66% 0.00% -56.51%
Max Drawdown % Date 3/9/2009 3/9/2009 N/A 3/9/2009

Wealth-Lab Score -61.4249 -61.4249 0 -32.9078
RAR -40.5015 -40.5015 0 -21.0262
Profit Factor 0 0 0 0
Recovery Factor 0.7664 0.7664 0 0.618
Payoff Ratio 0 0 0 0
Sharpe Ratio -1.0262 -1.0262 0 -0.9069
Dghost Annual Volatility % 24.262 24.262 0 26.6304
Excess Return -24.8966 -24.8966 0 -24.1515
Ulcer Index 21.3821 21.3821 0 25.0647
WL Error Term 7.763 7.763 0 8.146
WL Reward Ratio -2.7776 -2.7776 0 -2.5812
Luck Coefficient 0 0 0 0
Pessimistic Rate of Return 0 0 0 0
Equity Drop Ratio -0.2739 -0.2739 0 -0.2804

Looks like -40%

Here's the program
var Bar: integer;
var SMA200,SMA20:integer;
SMA200:=createseries;
SMA20:=createseries;
SMA200:=SMASeries(#Close,200);
SMA20:=SMASeries(#Close,20);
for Bar := 20 to BarCount - 1 do
begin
if not LastPositionActive then
{ Entry Rules }
begin
if crossover(Bar,SMA200,SMA20) then begin buyatmarket(Bar+1,''); end;
if crossunder(Bar,SMA200,SMA20) then begin shortatmarket(Bar+1,''); end;
end
else
{ Exit Rules }
begin
if crossover(Bar,SMA200,SMA20) then begin coveratmarket(Bar+1,lastposition,'');buyatmarket(Bar+1,''); end;
if crossunder(Bar,SMA200,SMA20) then begin sellatmarket(Bar+1,lastposition,'');shortatmarket(Bar+1,''); end;

end;
end;


Here's the results since 9/1/1998 of your bi-directional system

Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $53,683.46 $122,338.81 $101,253.64 $236,738.35
Net Profit $-116,225.54 $-47,570.19 $-68,655.36 $66,829.35
Net Profit % -68.40% -28.00% -40.41% 39.33%
Annualized Gain % -8.31% -2.44% -3.82% 2.53%
Exposure 69.52% 23.05% 37.25% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission $-391.17 $-199.51 $-191.66 $-27.43

Number of Trades 21 11 10 1
Avg Profit/Loss $-5,534.55 $-4,324.56 $-6,865.54 $66,829.35
Avg Profit/Loss % -4.70% -4.18% -5.26% 39.22%
Avg Bars Held 127.05 106.00 150.20 3,343.00

Winning Trades 10 7 3 1
Winning % 47.62% 63.64% 30.00% 100.00%
Gross Profit $47,406.83 $41,190.34 $6,216.49 $66,829.35
Avg Profit $4,740.68 $5,884.33 $2,072.16 $66,829.35
Avg Profit % 3.73% 4.50% 1.93% 39.22%
Avg Bars Held 27.90 28.00 27.67 3,343.00
Max Consecutive 3 3 1 1

Losing Trades 11 4 7 0
Losing % 52.38% 36.36% 70.00% 0.00%
Gross Loss $-163,632.37 $-88,760.52 $-74,871.85 $0.00
Avg Loss $-14,875.67 $-22,190.13 $-10,695.98 $0.00
Avg Loss % -12.36% -19.38% -8.35% 0.00%
Avg Bars Held 217.18 242.50 202.71 0.00
Max Consecutive 3 2 4 0

Max Drawdown $-150,969.48 $-90,759.48 $-76,809.94 $-242,398.89
Max Drawdown Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009
Max Drawdown % -77.88% -44.86% -44.93% -56.54%
Max Drawdown % Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009

Wealth-Lab Score -21.2511 -15.3460 -14.8659 1.0985
RAR -11.9471 -10.5934 -10.2572 2.5277
Profit Factor 0.2897 0.4641 0.0830 INF
Recovery Factor 0.7699 0.5241 0.8938 0.2757
Payoff Ratio 0.3019 0.2323 0.2316 INF
Sharpe Ratio -0.5135 -0.2690 -0.4059 0.1944
Dghost Annual Volatility % 15.5020 8.6268 8.7187 17.0242
Excess Return -7.9607 -2.3207 -3.5393 3.3097
Ulcer Index 40.2764 20.4350 26.9809 21.2442
WL Error Term 7.4570 6.2140 3.5880 12.2460
WL Reward Ratio -1.1137 -0.3930 -1.0650 0.2064
Luck Coefficient 3.5286 2.9245 1.4916 0.0000
Pessimistic Rate of Return 0.1442 0.1686 0.0304 0.0000
Equity Drop Ratio -0.6427 -2.3077 -1.0168 2.2589


This is very poor.
 
Here's my system from 6/15/2006

Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $564,994.80 $564,994.80 $185,847.39 $-184,033.96
Net Profit $395,085.80 $395,085.80 $15,938.39 $-353,942.96
Net Profit % 232.53% 232.53% 9.38% -208.31%
Annualized Gain % 54.56% 54.56% 3.30% Error Y=-1.0831 Days=1008
Exposure 19.34% 19.34% 0.00% 0.00%

Cash Interest $25,056.00 $25,056.00 $15,938.39 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $-114,128.55
Total Commission $-8,983.51 $-8,983.51 $0.00 $-67.84

Number of Trades 71 71 0 1
Avg Profit/Loss $5,564.59 $5,564.59 $0.00 $-353,942.96
Avg Profit/Loss % 1.78% 1.78% 0.00% -46.98%
Avg Bars Held 1.99 1.99 0.00 694.00

Winning Trades 49 49 0 0
Winning % 69.01% 69.01% 0.00% 0.00%
Gross Profit $631,481.61 $631,481.61 $0.00 $0.00
Avg Profit $12,887.38 $12,887.38 $0.00 $0.00
Avg Profit % 3.92% 3.92% 0.00% 0.00%
Avg Bars Held 2.08 2.08 0.00 0.00
Max Consecutive 7 7 0 0

Losing Trades 22 22 0 1
Losing % 30.99% 30.99% 0.00% 100.00%
Gross Loss $-261,451.82 $-261,451.82 $0.00 $-239,814.41
Avg Loss $-11,884.17 $-11,884.17 $0.00 $-239,814.41
Avg Loss % -2.99% -2.99% 0.00% -46.98%
Avg Bars Held 1.77 1.77 0.00 694.00
Max Consecutive 3 3 0 1

Max Drawdown $-72,035.31 $-72,035.31 $0.00 $-352,436.72
Max Drawdown Date 9/3/2008 9/3/2008 N/A 4/16/2009
Max Drawdown % -15.43% -15.43% 0.00% -180.42%
Max Drawdown % Date 9/3/2008 9/3/2008 N/A 6/5/2008

Wealth-Lab Score 238.5274 238.5274 0.0000 0.0000
RAR 282.0313 282.0313 0.0000 0.0000
Profit Factor 2.4153 2.4153 0.0000 0.0000
Recovery Factor 5.4846 5.4846 0.0000 1.0043
Payoff Ratio 1.3098 1.3098 0.0000 0.0000
Sharpe Ratio 1.5921 1.5921 65.8277 0.4190
Dghost Annual Volatility % 28.3510 28.3510 0.0494 5,348.7437
Excess Return 45.1367 45.1367 3.2534 2,240.9083
Ulcer Index 4.5407 4.5407 0.0000 121.7448
WL Error Term 5.3170 5.3170 0.0080 1,328.3130
WL Reward Ratio 10.2607 10.2607 412.7625 0.0000
Luck Coefficient 3.9839 3.9839 0.0000 0.0000
Pessimistic Rate of Return 2.0611 2.0611 0.0000 0.0000
Equity Drop Ratio 0.0542 0.0542 0.0000 0.0000

Obviously there's a big difference in profits, and if you go from 3/20/2007 when I started on C2 we have a difference of 0.8-(-.4)=12000 basis points or 120%. Those were unleveraged returns with position sizing of 96%.


Anyway, I really don't think that was even close to a fair comparison, given that SMA's are proven to be unprofitable they would not be something to try to compare side by side to a CFA candidate's level of work.
 
When you reverse these you get:
var Bar: integer;
var SMA200,SMA20:integer;
SMA200:=createseries;
SMA20:=createseries;
SMA200:=SMASeries(#Close,200);
SMA20:=SMASeries(#Close,20);


for Bar := 20 to BarCount - 1 do
begin

if not LastPositionActive then
{ Entry Rules }
begin
if crossover(Bar,SMA200,SMA20) then begin shortatmarket(Bar+1,''); end;{Instead of what you had suggested you actually want to do the opposite if the 200 period SMA crosses over the 20 period SMA.
if crossunder(Bar,SMA200,SMA20) then begin buyatmarket(Bar+1,''); end;
end
else
{ Exit Rules }
begin
if crossunder(Bar,SMA200,SMA20) then begin coveratmarket(Bar+1,lastposition,'');buyatmarket(Bar+1,''); end;
if crossover(Bar,SMA200,SMA20) then begin sellatmarket(Bar+1,lastposition,'');shortatmarket(Bar+1,''); end;

end;
end;

Since 9/1/1998 this strategy has returned less than bonds with a comparable amount of risk.

Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $328,190.50 $251,452.14 $246,647.36 $236,738.35
Net Profit $158,281.50 $81,543.14 $76,738.36 $66,829.35
Net Profit % 93.16% 47.99% 45.16% 39.33%
Annualized Gain % 5.08% 2.99% 2.84% 2.53%
Exposure 80.79% 45.40% 43.90% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission $-701.75 $-342.60 $-359.15 $-27.43

Number of Trades 21 10 11 1
Avg Profit/Loss $7,537.21 $8,154.31 $6,976.21 $66,829.35
Avg Profit/Loss % 3.94% 4.46% 3.47% 39.22%
Avg Bars Held 127.05 150.20 106.00 3,343.00

Winning Trades 10 6 4 1
Winning % 47.62% 60.00% 36.36% 100.00%
Gross Profit $249,382.52 $99,672.47 $149,710.05 $66,829.35
Avg Profit $24,938.25 $16,612.08 $37,427.51 $66,829.35
Avg Profit % 12.85% 8.86% 18.84% 39.22%
Avg Bars Held 226.00 215.00 242.50 3,343.00
Max Consecutive 2 3 2 1

Losing Trades 11 4 7 0
Losing % 52.38% 40.00% 63.64% 0.00%
Gross Loss $-91,101.02 $-18,129.33 $-72,971.69 $0.00
Avg Loss $-8,281.91 $-4,532.33 $-10,424.53 $0.00
Avg Loss % -4.16% -2.14% -5.32% 0.00%
Avg Bars Held 37.09 53.00 28.00 0.00
Max Consecutive 4 2 3 0

Max Drawdown $-52,919.86 $-24,755.80 $-74,490.39 $-242,398.89
Max Drawdown Date 8/24/2006 4/25/2003 12/10/2007 3/9/2009
Max Drawdown % -19.57% -11.81% -34.23% -56.54%
Max Drawdown % Date 8/24/2006 4/25/2003 12/10/2007 3/9/2009

Wealth-Lab Score 5.0569 5.8154 4.2613 1.0985
RAR 6.2875 6.5944 6.4795 2.5277
Profit Factor 2.7374 5.4979 2.0516 INF
Recovery Factor 2.9910 3.2939 1.0302 0.2757
Payoff Ratio 3.0877 4.1473 3.5411 INF
Sharpe Ratio 0.5054 0.4821 0.3248 0.1944
Dghost Annual Volatility % 11.6376 6.6340 11.5345 17.0242
Excess Return 5.8822 3.1985 3.7466 3.3097
Ulcer Index 7.9556 5.3596 15.6745 21.2442
WL Error Term 5.7870 3.0350 8.3450 12.2460
WL Reward Ratio 0.8778 0.9865 0.3409 0.2064
Luck Coefficient 3.1106 2.2957 2.1221 0.0000
Pessimistic Rate of Return 1.4747 2.4542 0.7342 0.0000
Equity Drop Ratio 0.4793 0.4838 2.0108 2.2589

Or a 5% APR with a 20% DD.


Obviously this will work in reverse since 6/15/2006:

Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $236,504.54 $169,909.00 $236,504.54 $104,103.95
Net Profit $66,595.54 $0.00 $66,595.54 $-65,805.05
Net Profit % 39.19% 0.00% 39.19% -38.73%
Annualized Gain % 17.27% 0.00% 17.27% -21.03%
Exposure 64.23% 0.00% 64.23% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission $-11.15 $0.00 $-11.15 $-12.05

Number of Trades 1 0 1 1
Avg Profit/Loss $66,595.54 $0.00 $66,595.54 $-65,805.05
Avg Profit/Loss % 40.84% 0.00% 40.84% -38.70%
Avg Bars Held 325.00 0.00 325.00 524.00

Winning Trades 1 0 1 0
Winning % 100.00% 0.00% 100.00% 0.00%
Gross Profit $66,595.54 $0.00 $66,595.54 $0.00
Avg Profit $66,595.54 $0.00 $66,595.54 $0.00
Avg Profit % 40.84% 0.00% 40.84% 0.00%
Avg Bars Held 325.00 0.00 325.00 0.00
Max Consecutive 1 0 1 0

Losing Trades 0 0 0 1
Losing % 0.00% 0.00% 0.00% 100.00%
Gross Loss $0.00 $0.00 $0.00 $-65,805.05
Avg Loss $0.00 $0.00 $0.00 $-65,805.05
Avg Loss % 0.00% 0.00% 0.00% -38.70%
Avg Bars Held 0.00 0.00 0.00 524.00
Max Consecutive 0 0 0 1

Max Drawdown $-20,504.86 $0.00 $-20,504.86 $-106,485.84
Max Drawdown Date 4/16/2009 N/A 4/16/2009 3/9/2009
Max Drawdown % -8.82% 0.00% -8.82% -56.51%
Max Drawdown % Date 5/19/2008 N/A 5/19/2008 3/9/2009

Wealth-Lab Score 24.5214 0.0000 24.5214 -32.9078
RAR 26.8937 0.0000 26.8937 -21.0262
Profit Factor INF 0.0000 INF 0.0000
Recovery Factor 3.2478 0.0000 3.2478 0.6180
Payoff Ratio INF 0.0000 INF 0.0000
Sharpe Ratio 1.4338 0.0000 1.4338 -0.9069
Dghost Annual Volatility % 13.0900 0.0000 13.0900 26.6304
Excess Return 18.7690 0.0000 18.7690 -24.1515
Ulcer Index 3.3732 0.0000 3.3732 25.0647
WL Error Term 4.2680 0.0000 4.2680 8.1460
WL Reward Ratio 4.0472 0.0000 4.0472 -2.5812
Luck Coefficient 0.0000 0.0000 0.0000 0.0000
Pessimistic Rate of Return 0.0000 0.0000 0.0000 0.0000
Equity Drop Ratio 0.0782 0.0000 0.0782 -0.2804

So we're still comparing apples to oranges in terms of performance given that the long term APR of such a strategy is negligible at 5%, and the current periods results only have 1 trade. The current "profit" shown will give back a substantial amount of earnings as it "falls back" to the reversal, and this is inherently why SMA's do not work. They give back too much of their profits to have high risk adjusted returns over long periods. That's why when you say well it made 40% this period, but only made 5% APR we're not talking about the same thing. This is referred to as luck.

Apparently no one believes results from c2, so you can track my real trades at covestor.com under the name bwolinsky.
 
Quote from bwolinsky:

Hi, the anwer is yes. Your strategy, since 3/20/2007 has these as returns:
Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $102,637.64 $102,637.64 $169,909.00 $104,103.95
Net Profit ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Net Profit % -39.59% -39.59% 0.00% -38.73%
Annualized Gain % -21.56% -21.56% 0.00% -21.03%
Exposure 53.24% 53.24% 0.00% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission ($11.15) ($11.15) $0.00 ($12.05)

Number of Trades 1 1 0 1
Avg Profit/Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Profit/Loss % -41.09% -41.09% 0.00% -38.70%
Avg Bars Held 325 325 0 524

Winning Trades 0 0 0 0
Winning % 0.00% 0.00% 0.00% 0.00%
Gross Profit $0.00 $0.00 $0.00 $0.00
Avg Profit $0.00 $0.00 $0.00 $0.00
Avg Profit % 0.00% 0.00% 0.00% 0.00%
Avg Bars Held 0 0 0 0
Max Consecutive 0 0 0 0

Losing Trades 1 1 0 1
Losing % 100.00% 100.00% 0.00% 100.00%
Gross Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Loss ($67,271.36) ($67,271.36) $0.00 ($65,805.05)
Avg Loss % -41.09% -41.09% 0.00% -38.70%
Avg Bars Held 325 325 0 524
Max Consecutive 1 1 0 1

Max Drawdown ($87,776.21) ($87,776.21) $0.00 ($106,485.84)
Max Drawdown Date 3/9/2009 3/9/2009 N/A 3/9/2009
Max Drawdown % -51.66% -51.66% 0.00% -56.51%
Max Drawdown % Date 3/9/2009 3/9/2009 N/A 3/9/2009

Wealth-Lab Score -61.4249 -61.4249 0 -32.9078
RAR -40.5015 -40.5015 0 -21.0262
Profit Factor 0 0 0 0
Recovery Factor 0.7664 0.7664 0 0.618
Payoff Ratio 0 0 0 0
Sharpe Ratio -1.0262 -1.0262 0 -0.9069
Dghost Annual Volatility % 24.262 24.262 0 26.6304
Excess Return -24.8966 -24.8966 0 -24.1515
Ulcer Index 21.3821 21.3821 0 25.0647
WL Error Term 7.763 7.763 0 8.146
WL Reward Ratio -2.7776 -2.7776 0 -2.5812
Luck Coefficient 0 0 0 0
Pessimistic Rate of Return 0 0 0 0
Equity Drop Ratio -0.2739 -0.2739 0 -0.2804

Looks like -40%

Here's the program
var Bar: integer;
var SMA200,SMA20:integer;
SMA200:=createseries;
SMA20:=createseries;
SMA200:=SMASeries(#Close,200);
SMA20:=SMASeries(#Close,20);
for Bar := 20 to BarCount - 1 do
begin
if not LastPositionActive then
{ Entry Rules }
begin
if crossover(Bar,SMA200,SMA20) then begin buyatmarket(Bar+1,''); end;
if crossunder(Bar,SMA200,SMA20) then begin shortatmarket(Bar+1,''); end;
end
else
{ Exit Rules }
begin
if crossover(Bar,SMA200,SMA20) then begin coveratmarket(Bar+1,lastposition,'');buyatmarket(Bar+1,''); end;
if crossunder(Bar,SMA200,SMA20) then begin sellatmarket(Bar+1,lastposition,'');shortatmarket(Bar+1,''); end;

end;
end;


Here's the results since 9/1/1998 of your bi-directional system

Long + Short Long Only Short Only Buy & Hold
Starting Capital $169,909.00 $169,909.00 $169,909.00 $169,909.00
Ending Capital $53,683.46 $122,338.81 $101,253.64 $236,738.35
Net Profit $-116,225.54 $-47,570.19 $-68,655.36 $66,829.35
Net Profit % -68.40% -28.00% -40.41% 39.33%
Annualized Gain % -8.31% -2.44% -3.82% 2.53%
Exposure 69.52% 23.05% 37.25% 100.00%

Cash Interest $0.00 $0.00 $0.00 $0.00
Margin Loan Interest $0.00 $0.00 $0.00 $0.00
Total Commission $-391.17 $-199.51 $-191.66 $-27.43

Number of Trades 21 11 10 1
Avg Profit/Loss $-5,534.55 $-4,324.56 $-6,865.54 $66,829.35
Avg Profit/Loss % -4.70% -4.18% -5.26% 39.22%
Avg Bars Held 127.05 106.00 150.20 3,343.00

Winning Trades 10 7 3 1
Winning % 47.62% 63.64% 30.00% 100.00%
Gross Profit $47,406.83 $41,190.34 $6,216.49 $66,829.35
Avg Profit $4,740.68 $5,884.33 $2,072.16 $66,829.35
Avg Profit % 3.73% 4.50% 1.93% 39.22%
Avg Bars Held 27.90 28.00 27.67 3,343.00
Max Consecutive 3 3 1 1

Losing Trades 11 4 7 0
Losing % 52.38% 36.36% 70.00% 0.00%
Gross Loss $-163,632.37 $-88,760.52 $-74,871.85 $0.00
Avg Loss $-14,875.67 $-22,190.13 $-10,695.98 $0.00
Avg Loss % -12.36% -19.38% -8.35% 0.00%
Avg Bars Held 217.18 242.50 202.71 0.00
Max Consecutive 3 2 4 0

Max Drawdown $-150,969.48 $-90,759.48 $-76,809.94 $-242,398.89
Max Drawdown Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009
Max Drawdown % -77.88% -44.86% -44.93% -56.54%
Max Drawdown % Date 3/9/2009 3/9/2009 7/19/2007 3/9/2009

Wealth-Lab Score -21.2511 -15.3460 -14.8659 1.0985
RAR -11.9471 -10.5934 -10.2572 2.5277
Profit Factor 0.2897 0.4641 0.0830 INF
Recovery Factor 0.7699 0.5241 0.8938 0.2757
Payoff Ratio 0.3019 0.2323 0.2316 INF
Sharpe Ratio -0.5135 -0.2690 -0.4059 0.1944
Dghost Annual Volatility % 15.5020 8.6268 8.7187 17.0242
Excess Return -7.9607 -2.3207 -3.5393 3.3097
Ulcer Index 40.2764 20.4350 26.9809 21.2442
WL Error Term 7.4570 6.2140 3.5880 12.2460
WL Reward Ratio -1.1137 -0.3930 -1.0650 0.2064
Luck Coefficient 3.5286 2.9245 1.4916 0.0000
Pessimistic Rate of Return 0.1442 0.1686 0.0304 0.0000
Equity Drop Ratio -0.6427 -2.3077 -1.0168 2.2589


This is very poor.
More...

Are you just severly incompetent, or misinterpreted what I use as a "baseline" comparison model?

Buy bar that closes "above" 20-monthly or 200-daily, or sell bar that closes below 20-monthly or 200-daily.

Ex, SP500 20-monthly from the date you selected (3/20/2007) to current entails 2 trades:

1. Long SPY 1425 April 1 2007
Flat 1375 Jan 31 2008
Gain/Loss: -3.51%
2. Short SPY 1375 Jan 31 2008 - Trade remains valid short @ 870
Gain/Loss: +36.77%

Net Gain/Loss from your 3/20/2007: +33.26%

200SMA is approximately +375-400 SP points net over that same time frame.

If you misinterpreted, no problem. If not, you are an absolute joke.
 
Here is the PM bwolinsky sent:

"You can go fuck yourself for heckling, dickhead
Go fuck yourself. You only wish you made 80% in the last two years, ass hole."

Why would a Guru get so sensitive? Is he having trouble living with himself? Probably not.

I kinda feel bad for the guy.......losing money for twelve months in a row must be frustrating........I wouldnt know.
 
Quote from spinn:

Here is the PM bwolinsky sent:

"You can go fuck yourself for heckling, dickhead
Go fuck yourself. You only wish you made 80% in the last two years, ass hole."

Why would a Guru get so sensitive? Is he having trouble living with himself? Probably not.

I kinda feel bad for the guy.......losing money for twelve months in a row must be frustrating........I wouldnt know.
More...

I personally find it bothering how you continue to post / quote a PM in public.
 
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