Updates for Week of 20120416

Current positions for the hedge fund portfolio:


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

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