I have noticed that this system trades RYAAY a fair bit more and disproportionately compared to the percentage of the stock universe this ticker represents (I trade about 50 stocks).
Looking at the chart, it's not hard to see why. RYAAY does like to gap around.
Overall, while the performance so far for the last two and half months is unlikely to lead to an onrush of investors wanting me to trade their money, the system has so far been performing in line with expectations.
This system, by design, thrives on intraday volatility. The more volatility there is, the better it performs. As we all know, intraday volatility is the highest in bearish times. In makes much more moderate profits in times where the market is slowly going up.
To illustrate this, let's look at 2009 performance.
From 1st March to 31st December the general market rose almost 50%.
My system in that time "only" returned 27%.
However, in January and February, where the market fell about 10% per month, the system made 30%+ in each of those months.
Note that I only include the market performance for the purposes of comparison. It is not a benchmark we are trying to beat. To make -5% when the market is -20% is not a good year for me. I aim for absolute returns.
2 comments:
It's Weird/The Phantom ... I trade 2000 stocks when it comes to US MR
Hi Dave,
I guess I could've done something similar but preferred to go for big stocks so the system is more scalable.
Also in my experience more stocks means possibly more variance in the performance (large stnd dev for profits in monte carlo) whereas I wanted to avoid that. But I can certainly see how it adds more opportunity/upside.
Thanks for dropping by.
Nizar.
Post a Comment