Verisi
- Thread starter Pekelo
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Quote from Pekelo:
What a difference one month makes!
Update: The SPX is down -32%, while I was sitting in cash, protecting my 6.3% gain YTD.
So I am beating the market by 38%. I can't believe this Journal got one star only!
By the way, the purpose of this exercise is to show how a small fund using the strategy described in the beginning can easily and handsomely outperform the market without doing much research or diversifying like crazy. Just be in a market index most of the time, and step aside when the market is falling.
I know it sounds simple, but hey, I didn't do too many trades, did I? Maybe it is time to go long, to lock in that lead over the market...
So in this exercise you seem to have unlimited margin, as your past couple "trades" have gone against you over 100 ES pts. You say you stay out when the market is falling, well good job there!!
You wonder why you only have one star for this journal? It's one star too much, so you should be happy with that. You should just name this journal, buy and hope. It's a joke.
Son, there is NO margin used, if you haven't noticed. Last time I checked, a few minutes ago, the position was in the green.
Selling at 1008....
I was 2 days early with my long, but trusted the powers.
Going short 1010.50, SL manual....
P.S.: That is the beauty of the underlying strategy, you can be a lousy markettimer, and still get your Christmas bonus!
hi there pekelo,
how do you determine your entries, exits and stoplosses?
how do you determine your entries, exits and stoplosses?
My views on the market and certain chart patterns I use I post in the ES Journal, so I have to refer you to read them there. Basicly I use Bollinger bands and Williams %R.
Originally I was using 5 points SL here, but since I was beating the market by so much (and volatility increased), I stayed in positions with manual stop loss (and resulting in -10% DD). As B1S2 pointed out the best stop loss is not to overleverage. Most readers don't realize, but I am not using leverage here, so 1% of market move equals 1% move for me.
This is also not a daytrading journal even if some trades are short. Also I have been lazy and not always following my views on the market. Since the goal of the journal (outperforming the market)has been achieved long time ago, I don't really feel the need to post many trades. If I don't trade for the rest of the year, I will still be beating the market most likely by 20-30%.
Originally I was using 5 points SL here, but since I was beating the market by so much (and volatility increased), I stayed in positions with manual stop loss (and resulting in -10% DD). As B1S2 pointed out the best stop loss is not to overleverage. Most readers don't realize, but I am not using leverage here, so 1% of market move equals 1% move for me.
This is also not a daytrading journal even if some trades are short. Also I have been lazy and not always following my views on the market. Since the goal of the journal (outperforming the market)has been achieved long time ago, I don't really feel the need to post many trades. If I don't trade for the rest of the year, I will still be beating the market most likely by 20-30%.
Alrighty then, the year has just ended, let's see how far the market has fallen without me. Sometimes being cash is king, specially in years like this was.
S&P in 2008: -38.5%
Verisi Fund : 8.3%
Not bad, outperforming the market by 46%. Honestly, I could have done better, but I usually get lazy when the challenge is over and seriously, this year it wasn't even that hard to outperform the market. Well, maybe most of the fundmanagers disagree...
Also, the point of this journal was to show just how easy it is to do better than the market with simple market timing using one trading vehicle. No need to have quants, programmers, researchers, complicated trading strategies, just be long when the market goes up and stay out of it when it commits suicide.
It took less than 20 trades (again, no need to trade like crazy) to achieve this result and the lowest point was being -3.3% at one point I think. Although I let the position go against me quite a lot, because of no leverage it wasn't signifficant.
This was the 3rd year of my exercise so let's see how I improved over the years:
Year: Name of Journal: Return: S&P:
2008 Verisi .....................8.3% -38.5%
2007 Verisimi ..................17.7% 3.5%
2006 Verisimilitude .............7% 13.6% (6 months only)
Mind you in the first year I started out in July so my performance did match the market's performance and I only traded it actively for 2 months that year. There is an improvement over the years, although it might be the market getting weaker....
Well, I guess I will continue the demonstration next year with a new journal, I just have to find a good name for it. See ya next year!
P.S.: If you happen to be a small HF manager who ended up in the red this year, don't hesitate to subscribe to my new thread....
S&P in 2008: -38.5%
Verisi Fund : 8.3%
Not bad, outperforming the market by 46%. Honestly, I could have done better, but I usually get lazy when the challenge is over and seriously, this year it wasn't even that hard to outperform the market. Well, maybe most of the fundmanagers disagree...
Also, the point of this journal was to show just how easy it is to do better than the market with simple market timing using one trading vehicle. No need to have quants, programmers, researchers, complicated trading strategies, just be long when the market goes up and stay out of it when it commits suicide.
It took less than 20 trades (again, no need to trade like crazy) to achieve this result and the lowest point was being -3.3% at one point I think. Although I let the position go against me quite a lot, because of no leverage it wasn't signifficant.
This was the 3rd year of my exercise so let's see how I improved over the years:
Year: Name of Journal: Return: S&P:
2008 Verisi .....................8.3% -38.5%
2007 Verisimi ..................17.7% 3.5%
2006 Verisimilitude .............7% 13.6% (6 months only)
Mind you in the first year I started out in July so my performance did match the market's performance and I only traded it actively for 2 months that year. There is an improvement over the years, although it might be the market getting weaker....
Well, I guess I will continue the demonstration next year with a new journal, I just have to find a good name for it. See ya next year!
P.S.: If you happen to be a small HF manager who ended up in the red this year, don't hesitate to subscribe to my new thread....
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