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.

Should you be interested in Portfolio Trader then sign-up for a free trial here. Please note that I am a mechanical systems researcher and publisher only, and this service is not intended to provide individual investing advice.

Past weekly reports from 2012

List of all trades