Portfolio Trader review Sept. 6th, 2011 – April 27th, 2012

.

Portfolio Trader started 6th of September 2011. With this post I want to share my performance review of the first  seven month. Typically seven month isn’t enough time to fully judge the performance of a trading system. However I feel ok sharing it now as we have been going through a few distinct market types (strong bull, sideways and high volatility).

A few facts upfront

  • Results reported are 100% out-of-sample
  • Every entry/exit has been published prior market open first trading day of the week.
  • All trades are executed market-on-open.
  • Results include a trading fee of 0.01$ / share.

Performance

Learning and improvements

A key benefit of Portfolio Trader is it’s continues development and innovation.  Let me share a few of these improvements I’ve made over the course of the past period:

  • In Q4 / 2011 we saw some volatile weeks. The system changed position too quickly in such a volatile environment.
    => Now the ranking calculation is taking into account given market volatility.
    .
  • Starting Portfolio Trader I had two systems trading stocks. One was trading mean-reversion and the other momentum.
    => Those are now combined into one system gradually switching between mean-reversion and momentum depending on the market condition.
    .
  • Consistency vs.  high returns. A system developer has to make a number of crucial choices during the design process. In the past I’ve been focused too much on archiving high absolute returns.  For executing a system consistent steady profits are more important than absolute profits.
    => I’ve reviewed and adjusted my trading systems given that crucial learning.

Expectations

I’m ok with the performance of the past period. But way more important than performance is what I’ve learned and CHANGED. These changes should also positively impact the performance going forward. The most profitable trades occur at times when you don’t expect them. So building confidence in order to push the button when it’s needed (and most difficult) is a crucial element in order to succeed.

FREE trial

Should you be interested in Portfolio Trader then sign-up for a free trial here.

Past weekly reports from 2012

List of all trades

About these ads

Comments

  1. john doe says:

    Congratulations on your results and learning to make changes. I’m sure this is an important step for you. You deserve the positive results of your hard work and effort.

    Let me add, however, that I’m surprised you haven’t made mention of the performance of QQQ or SPY during your period of testing. QQQ is up 27% over your testing period. The SPY, on the other hand, has also done very well and is up 22% over your testing period.

    Does your system have a benchmark? If so, why haven’t you mentioned the performance of the benchmark? When the market is up over 20% during your period of out-of-sample testing, which is well under one year, I think one needs to look at the out-of-sample results very carefully, because a large part of the performance may have been derived from the market itself – and the system may not perform nearly as well out-of-sample during, for example, a flat or down period for the general market. It would be interesting to see how the system would have performed out-of-sample during the summer (May-Aug.) of 2010 or the summer (May-Aug.) of 2011, for instance.

    Best,
    John

  2. Great overview! I rarely say that at any blog, so keep up the good work!

  3. Hi frank,
    Havent seen any post from you. Wondering how your portfolio did through last 2 months of weekness. Please do a post when you get some time.

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

Follow

Get every new post delivered to your Inbox.

Join 305 other followers

%d bloggers like this: