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

Add to FacebookAdd to DiggAdd to Del.icio.usAdd to StumbleuponAdd to RedditAdd to BlinklistAdd to TwitterAdd to TechnoratiAdd to Yahoo BuzzAdd to Newsvine

Advertisements
This entry was posted in Artificial Intelligence 1, Simple Trend System and tagged , , , . Bookmark the permalink.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s