Realized Trades (started on 11/12/04):
TRPH 0.86 0.9 5%
GNTA 1.36 2.01 48%
SCON 0.84 1.2 43%
PHYX 1.02 1.02 0%
CAU 1.21 1.08 -11%
TRPH 0.94 1.11 18%
HOFF 0.38 0.44 16%
ANCCD 2.9 2.8 -3%
CAU 1.08 1.15 6%
BPUR 0.3 0.33 10%
Positions now:
ROFO 2.02 2.05 1%
WTSLA 1.65 1.8 9%
PRCS 1.66 1.66 0%
VITX 0.53 0.61 15%
I will post as time allows.
The trades are based on a software based trading system, that combines great returns with great risks, that can be managed with the right kind of position sizing. Its a robust system, that needs no reoptimisation, because it bets on human behavior (panic selling) and it ranks the signal power of 5000 Stocks every day. The principle the system uses has been researched by behavioral finance academics with the conclusion that there should be some money in it.
Historical Maximum Drawdowns up to 79%!
Only Long, Portfolio up to 5 Stocks, 3 Days minimum holding.
I am not looking at charts at all because they scare you out of the most profitable trades, I just try to follow the system.
I bet 25% off my capital, so the drawdown gets reduced to a fraction (fractional investing).
The system uses a trend following indicator on the Nasdaq100, when this is on a sell, all bets are off and it exits into cash.
I worked very long days for years, so I will not publish the system
code. Why I publish the results? Because I want to tell every trader who goes through hell right now: stop trading, go back to research, real time test the system, then follow the system.
Need Ideas for system design? Look for practioneers principles and try to find out what the academics say about it. If both are on the same page, its worth considering. But only do it if you have a passion to trading that is so deep, that you would rather live of 1000 Euro a month trading then 100.000 Euro working another job only.
(Korajczyk, R.O., Sadka, R. (2003), http://www.afajof.org/Pdf/forthcoming/Korajczyk_Sadka.pdf):
"There is a growing literature on the predictability of stock returns
based on the information contained in past returns. At very short
horizons, such as a week or a month, returns are shown to have
negative serial correlation (reversal), while at three to twelve
month horizons, they exhibit positive serial correlation (momentum). During longer horizons, such as three to five years, stock returns again exhibit reversals."
Andreas alias Judgejimmy
TRPH 0.86 0.9 5%
GNTA 1.36 2.01 48%
SCON 0.84 1.2 43%
PHYX 1.02 1.02 0%
CAU 1.21 1.08 -11%
TRPH 0.94 1.11 18%
HOFF 0.38 0.44 16%
ANCCD 2.9 2.8 -3%
CAU 1.08 1.15 6%
BPUR 0.3 0.33 10%
Positions now:
ROFO 2.02 2.05 1%
WTSLA 1.65 1.8 9%
PRCS 1.66 1.66 0%
VITX 0.53 0.61 15%
I will post as time allows.
The trades are based on a software based trading system, that combines great returns with great risks, that can be managed with the right kind of position sizing. Its a robust system, that needs no reoptimisation, because it bets on human behavior (panic selling) and it ranks the signal power of 5000 Stocks every day. The principle the system uses has been researched by behavioral finance academics with the conclusion that there should be some money in it.
Historical Maximum Drawdowns up to 79%!
Only Long, Portfolio up to 5 Stocks, 3 Days minimum holding.
I am not looking at charts at all because they scare you out of the most profitable trades, I just try to follow the system.
I bet 25% off my capital, so the drawdown gets reduced to a fraction (fractional investing).
The system uses a trend following indicator on the Nasdaq100, when this is on a sell, all bets are off and it exits into cash.
I worked very long days for years, so I will not publish the system
code. Why I publish the results? Because I want to tell every trader who goes through hell right now: stop trading, go back to research, real time test the system, then follow the system.
Need Ideas for system design? Look for practioneers principles and try to find out what the academics say about it. If both are on the same page, its worth considering. But only do it if you have a passion to trading that is so deep, that you would rather live of 1000 Euro a month trading then 100.000 Euro working another job only.
(Korajczyk, R.O., Sadka, R. (2003), http://www.afajof.org/Pdf/forthcoming/Korajczyk_Sadka.pdf):
"There is a growing literature on the predictability of stock returns
based on the information contained in past returns. At very short
horizons, such as a week or a month, returns are shown to have
negative serial correlation (reversal), while at three to twelve
month horizons, they exhibit positive serial correlation (momentum). During longer horizons, such as three to five years, stock returns again exhibit reversals."
Andreas alias Judgejimmy
