Updates for Week of 20120528

Current positions for the hedge fund portfolio:

long – RWX, VNQ, TLT

short – DBA, SHY, DBC

Updates for Week of 20120521

Current positions for the hedge fund portfolio:

long – IJR, RWX, VNQ, SCZ, IWM, BWX, TLT

short – DBA, SHY, DBC, VWO

Updates for Week of 20120514

Current positions for the hedge fund portfolio:

long – VWO, IJR, RWX, VNQ, SCZ, IWM, BWX, TLT

short – DBA, SHY, DBC

Updates for Week of 20120507

Current positions for the hedge fund portfolio:

long – VWO, IJR, RWX, VNQ, SCZ, IWM, GLD, BWX, TLT

short – DBA, SHY

Updates for Week of 20120430

Current positions for the hedge fund portfolio:

long – VWO, IJR, RWX, VNQ, SCZ, IWM, GLD, BWX

short – DBA, SHY, TLT

Updates for Week of 20120423

Current positions for the hedge fund portfolio:

long – VWO, IJR, RWX, VNQ, SCZ, IWM, GLD

short – DBA, SHY, TLT, BWX

Updates for Week of 20120416

Current positions for the hedge fund portfolio:

long – DBC, VWO, IJR, RWX, VNQ, SCZ, IWM, GLD

short – DBA, SHY, TLT, BWX

The  artificial intelligence 1 system is not working. I can only conclude that my assumptions that I used to design the system were erroneous, thus I am no longer using this system. If I can determine a way to fix it, I will resume trading. Here are the final stats of the system:
Trades 79
# Profitable 29 (36.7%)
Avg trade duration 14.5 days
Annual return (compounded) -1.6%
Average win $12,357
Average loss $7,283
Profit factor 1.0:1
Max peak-to-valley drawdown (historical) 7.67%
drawdown period Feb 01, 2012 to Feb 23, 2012
Correlation w/ S&P 0.086
Sharpe ratio -0.167