Monday, January 12, 2009

Gold Level Subscription Scorecard For December

December was an extremely quiet month for trade ideas. There were only 7 trade ideas closed during the Month. April and July both had 13 trade ideas closed, which was the previous low. This was due to a few reasons.

First, there were several trade ideas that didn’t receive fills. This was primarily due to the market gapping in our direction and not providing an entry opportunity.

Another reason for the low number of “official” trade ideas was the fact that no Catapults triggered. Catapults were plentiful in October and November. Typically 2-3 times each year there will be a decent sized cluster of catapult trades for traders to try and take advantage of.

Lastly, the action itself in December was extremely choppy. The S&P didn’t close in the same direction 3 days in a row at all in December. Several of the strategies are mean-reverting and mean-reverting strategies don’t trigger when you don’t get far from the mean.

Now for my usual caveats and explanations before unveiling the results.

I don’t suggest position sizes. The primary reason for this is I’m not acting as a financial advisor. I don’t feel it is appropriate to suggest allocation sizes without understanding someone’s financial situation and risk tolerance. Even for my own trading I run different portfolios with different levels of aggressiveness. For instance, my most aggressive portfolio is my IRA. Here I may use options to sometimes get 400-500% leveraged. Other portfolios on the other hand normally take much more conservative stances and some rarely reach or exceed 100% exposure.

Since I don’t suggest position sizes this is should not be considered a performance report, but rather a trade idea scorecard. Therefore, no matter how objective I try to be the reporting of the results is always going to be skewed depending on how you approach the trades. For instance, I always recommend scaling into the Catapult positions in 3 parts, whereas the “System” trades (whatever system I unveil other than Catapult) are normally one entry. The “Index” trades I normally recommend scaling into as well. For my own trading I trade much larger size with the index trades than any of the individuals. I also control my exposure by limiting the total amount invested per day. As I mentioned, this will vary depending on the account I’m trading. My most aggressive account I may put in up to 100%/day and get heavily leveraged using options. A more conservative account may max out at 15%-20% per day.

It’s unlikely anyone would have taken all of the trades with equal amounts, so personal results would vary greatly depending on the trader’s approach.
All that aside, below are December’s results (click to enlarge):



In the next couple of days I will post a 2008 summary.

For anyone who would like to trial the Quantifiable Edges Gold Subscription you may do so by simply clicking here.

3 comments:

betecher said...

Rob,

can you tell me a bit about the software you use to test your strategy? Are you using tradestation?

Regards,

Giancarlo

KR said...

I'm interested in why you are so aggressive in your IRA account. Wouldn't you inclined to be less aggressive, since the yearly contribution is capped? Or is the very long time frame (can recover from a bad year) and tax sheltering (larger % returns are magnified by not having to pay capital gains)?

I ask because I'm young (22) and opening an IRA this year, and am curious as to how much risk I should be taking on with my investments.

Rob Hanna said...

Giancarlo,

Much of the testing I do is done in Tradestation. I also do some testing in Excel.

While the index trades are quantitatively based, thy are not mechanical. See my post on the Aggregator for how I compile some of my analysis.

KR -

Yes. It's primarily the long time frame. I'm aggressive but nimble and have recovered drawdowns quickly because of it.

For ideas on how aggressive you may want to be with your trades I might suggest reading some of Ralph Vince's work.