There are two new positions for the hedge fund portfolio: short 2166 shares of DBC and 331 shares of DBA.
Note that I am using the functional analysis portfolio to test a new idea. I believe that I know what is wrong with this system. However, I believe that I have a better idea so I will abandon the functional analysis system.
The machine learning system will have to wait for a few more weeks due to the recent volatility in all markets. This system uses daily closing prices which have now become “contaminated” due to excessive volatility.
Here is a summary of the performance of the hedge fund portfolio:
|# Profitable||15 (51.7%)|
|# months tracked||14|
|Profitable months||8 (57.1%)|
|Avg trade duration||145.5 days|
|Annual return (compounded)||8.3%|
|Max peak-to-valley drawdown (historical)||21.52% (incorrect, see update from last month)|
|drawdown period||May 02, 2011 to Aug 19, 2011|
|Correlation w/ S&P||0.362|