Updates for October 2011

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:

Trades 29
# Profitable 15 (51.7%)
# months tracked 14
Profitable months 8 (57.1%)
Avg trade duration 145.5 days
Annual return (compounded) 8.3%
Average win $2,991
Average loss $1,303
Profit factor 2.9:1
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
Sharpe ratio 0.772

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