Tuesday, May 5, 2009

Subscriber Letter Trade Idea Results For April

April was a very quiet month as far as tracked trade ideas for the Quantifiable Edges Subscriber Letter. In fact it was the quietest. There were only 5 trade ideas that were filled. Four of them were index trades and the other one was a system trade plucked from our nightly “systems triggers” sheet. There was one Catapult that triggered but did not receive a fill due to a gap up the next morning that never closed. A big part of why April was so quiet, in fact, was that the market had several unfilled gaps in the direction of our trade ideas. So while only 5 trade ideas filled and were tracked in the Letter, at least 8 others went unfilled. While this occasionally happens, it’s unusual to see it to the extent that occurred in April. More active or aggressive traders could also have plucked ideas from the systems triggers sheet, which typically has at least a few triggers listed each night. Since there were only 5 filled trade ideas, I’ve listed them all below along with the summary stats. (I typically only post the summary stats in the blog and reserve the full list for the Letter.) First, of course, the usual caveats and explanations.

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. Simply adding up the results of the individual triggers as I do below is an admittedly poor representation of returns. A net positive or negative does not necessarily mean a person following the ideas would have made or lost money during the period measured. And the sum total is certainly not representative of what a portfolio would return. All that aside, below are April’s results (click table to enlarge):

And the individual trades (click table to enlarge):

If you haven’t checked out the gold membership area yet, then click here to sign up for a free trial (only a name and email address required). It’s not just trade ideas. It contains research far beyond the blog as well as members-only charts, systems (with code included), and custom indicators.


Daniel said...

Congratulations, and again a big THANKS from all of us readers and subscribers!

Interesting how your Aggregator Method has been so bearish and the generated Trades all on the short side. It doesnt make me question the methodology, but rather the true nature of this robust rally...


Rob Hanna said...

Thanks Daniel. Yes, I should have addressed what seems to be an inclination to short. Frankly I would have preferred to be buying pullbacks. The problem was that there weren't any. Hence, I shorted extreme overbought and looked for quick exits. Quick exits become neccessary when trading counter-trend.