Friday, January 22, 2010 12:09 AM GMT +1
STRATEGY PERFORMANCE
The data on this site is provided for statistical and informational purposes only in order to track if − and to what extend − a proprietary market model (in principle a concise mathematical formula utilizing daily quotes, breadth and sentiment data, and calendar effects / seasonalities) could stand the test of time forecasting (day by day) the next sessions S&P 500‘ performance on the close with maximum accuracy and maximum consistency, targeting a maximum growth rate per trade (cumulative returns) while minimizing the maximum (historical) drawdown (trying to make gread and fear as the never changing driving forces behind maket movements somewhat ‘quantifiable’).
Some intraductionary notes concerning the model’s assumptions, conditions, setups and so on can be found at
How To Make A Million (%) Trading The SPYDER – Part I
Update: How To Make A Million (%) Trading The SPYDER
How To Make Millions (in %) Trading The SPYDER – Holiday Effects
How To Make Millions (in %) Trading The SPYDER – BLS Economic News Releases
(to be continued)
The strategy’s daily signals (buy/sell/neutral on close) will be posted from January 4, 2010 onward regularly shortly (approximately at 3:40 pm ET) before the close (via Twitter Update by following @Strategy_I on Twitter. Even when it is impossible to determine the strategy’s position for the next session before the close (especially before mutual index fund’s trading cutoff time at aproximately 3:40 pm ET), the SPY itself is still available for trading with good liquidity and narrow spreads of regularly $0.01 at least until 4:15 pm ET.
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Profit & Loss as well as cumulative returns do not account for commissions, exchange and regulatory fees, slippage and interest on idle balances. Please be reminded that past performance is never an indication (leave alone a guarantee) for future performance, and for good reason the CFTA and NFA (COMPLIANCE RULE 2-29: USE OF PROMOTIONAL MATERIAL CONTAINING HYPOTHETICAL PERFORMANCE RESULTS) requires all members (which I’m not) to explicitly reference to limitations, risks, lack of liquidity, among others, and publish a respective disclaimer.
TRADING HISTORY
(inception date: 12/31/2009)
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MONTHLY SUMMARIES, CUMULATIVE RETURNS SINCE 12/31/2009
| MONTH | % WINNERS | PROFIT FACTOR | TRADES | P & L (%) | S&P 500 (SPY) | CUMUL. RETURNS | S&P 500 (SPY) |
| Month To Date | 22.22% | 1.44 | 9 | +0.73% | +4.25% |
+4.73% | +3.60% |
| FEB. 2010 | 61.11% | 4.56 | 19 | +8.91% | +3.12% | +3.96% | -0.63% |
| JAN. 2010 | 31.58% | 0.56 | 19 | -4.54% | -3.63% | -4.54% | -3.63% |
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MARCH 2010
| ASSET | ACTION | DATE | ENTRY | SIZE | EXIT DATE | EXIT | P & L (%) | CUMUL. RETURNS | S&P 500 (SPY) |
| SPY | LONG | 03/11/2010 | 115.45 | 100% | 03/12/2010 | ||||
| SPY | SHORT | 03/10/2010 | 114.97 | 100% | 03/11/2010 | 115.45 | -0.42% | +0.73% | +4.25% |
| SPY | SHORT | 03/08/2010 | 114.27 | 100% | 03/09/2010 | 114.97 | -0.45% | +1.16% | +3.82% |
| SPY | SHORT | 03/08/2010 | 114.27 | 100% | 03/09/2010 | 114.46 | -0.17% | +1.61% | +3.36% |
| SPY | SHORT | 03/05/2010 | 114.25 | 100% | 03/08/2010 | 114.27 | -0.02% | +1.78% | +3.19% |
| SPY | LONG | 03/04/2010 | 112.64 | 100% | 03/05/2010 | 114.25 | +1.43% | +1.80% | +3.17% |
| SPY | SHORT | 03/03/2010 | 112.30 | 100% | 03/04/2010 | 112.64 | -0.30% | +0.36% | +1.72% |
| SPY | SHORT | 03/02/2010 | 112.20 | 100% | 03/03/2010 | 112.30 | -0.09% | +0.67% | +1.41% |
| SPY | SHORT | 03/01/2010 | 111.89 | 100% | 03/02/2010 | 112.20 | -0.28% | +0.74% | +1.30% |
| SPY | LONG | 02/26/2010 | 110.74 | 100% | 03/01/2010 | 111.89 | +1.04% | +1.04% | +1.04% |
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FEBRUARY 2010
| ASSET | ACTION | DATE | ENTRY | SIZE | EXIT DATE | EXIT | P & L (%) | CUMUL. RETURNS | S&P 500 (SPY) |
| SPY | SHORT | 02/25/2010 | 110.67 | 100% | 02/26/2010 | 110.74 | -0.06% | +8.91% | +3.12% |
| SPY | LONG | 02/24/2010 | 110.82 | 100% | 02/25/2010 | 110.67 | -0.14% | +8.98% | +3.05% |
| SPY | LONG | 02/23/2010 | 109.81 | 100% | 02/24/2010 | 110.82 | +0.92% | +9.13% | +3.19% |
| SPY | LONG | 02/22/2010 | 111.16 | 100% | 02/23/2010 | 109.81 | -1.21% | +8.13% | +2.25% |
| SPY | SHORT | 02/19/2010 | 111.14 | 100% | 02/22/2010 | 111.16 | -0.02% | +9.46% | +3.51% |
| SPY | SHORT | 02/18/2010 | 110.91 | 100% | 02/19/2010 | 111.14 | -0.21% | +9.48% | +3.49% |
| SPY | SHORT | 02/17/2010 | 110.26 | 100% | 02/18/2010 | 110.91 | -0.59% | +9.71% | +3.28% |
| SPY | LONG | 02/16/2010 | 109.74 | 100% | 02/17/2010 | 110.26 | +0.47% | +10.36% | +2.67% |
| SPY | NEUTRAL | 02/12/2010 | 108.04 | 0% | 02/16/2010 | 109.74 | 0% | +9.84% | +2.19% |
| SPY | SHORT | 02/11/2010 | 108.13 | 100% | 02/12/2010 | 108.04 | +0.08% | +9.84% | +0.61% |
| SPY | LONG | 02/10/2010 | 107.01 | 100% | 02/11/2010 | 108.13 | +1.05% | +9.75% | +0.69% |
| SPY | LONG | 02/09/2010 | 107.22 | 100% | 02/10/2010 | 107.01 | -0.20% | +8.61% | -0.35% |
| SPY | LONG | 02/08/2010 | 105.89 | 100% | 02/09/2010 | 107.22 | +1.26% | +8.83% | -0.16% |
| SPY | SHORT | 02/05/2010 | 106.66 | 100% | 02/08/2010 | 105.89 | +0.72% | +7.48% | -1.40% |
| SPY | LONG | 02/04/2010 | 106.44 | 100% | 02/05/2010 | 106.66 | +0.21% | +6.70% | -0.68% |
| SPY | SHORT | 02/03/2010 | 109.83 | 100% | 02/04/2010 | 106.44 | +3.09% | +6.48% | -0.88% |
| SPY | SHORT | 02/02/2010 | 110.38 | 100% | 02/03/2010 | 109.83 | +0.50% | +3.30% | +2.27% |
| SPY | LONG | 02/01/2010 | 109.06 | 100% | 02/02/2010 | 110.38 | +1.21% | +2.78% | +2.78% |
| SPY | LONG | 01/29/2010 | 107.39 | 100% | 02/01/2010 | 109.06 | +1.56% | +1.56% | +1.56% |
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JANUARY 2010
| ASSET | ACTION | DATE | ENTRY | SIZE | EXIT DATE | EXIT | P & L (%) | CUMUL. RETURNS | S&P 500 (SPY) |
| SPY | LONG | 01/28/2010 | 108.57 | 100% | 01/29/2010 | 107.39 | -1.09% | -4.54% | -3.63% |
| SPY | LONG | 01/27/2010 | 109.83 | 100% | 01/28/2010 | 108.57 | -1.15% | -3.49% | -2.58% |
| SPY | LONG | 01/26/2010 | 109.31 | 100% | 01/27/2010 | 109.83 | +0.48% | -2.37% | -1.44% |
| SPY | LONG | 01/25/2010 | 109.77 | 100% | 01/26/2010 | 109.31 | -0.42% | -2.84% | -1.91% |
| SPY | LONG | 01/22/2010 | 109.21 | 100% | 01/25/2010 | 109.77 | +0.51% | -2.43% | -1.50% |
| SPY | LONG | 01/21/2010 | 111.70 | 100% | 01/22/2010 | 109.21 | -2.23% | -2.93% | -2.00% |
| SPY | SHORT | 01/20/2010 | 113.89 | 100% | 01/21/2010 | 111.70 | +1.92% | -0.71% | +0.23% |
| SPY | LONG | 01/19/2010 | 115.06 | 100% | 01/20/2010 | 113.89 | -1.12% | -2.59% | +2.20% |
| SPY | SHORT | 01/15/2010 | 113.64 | 100% | 01/19/2010 | 115.06 | -1.25% | -1.58% | +3.25% |
| SPY | LONG | 01/14/2010 | 114.93 | 100% | 01/15/2010 | 113.64 | -1.12% | -0.34% | +1.97% |
| SPY | SHORT | 01/13/2010 | 114.62 | 100% | 01/14/2010 | 114.93 | -0.27% | +0.79% | +3.13% |
| SPY | SHORT | 01/12/2010 | 113.66 | 100% | 01/13/2010 | 114.62 | -0.84% | +1.07% | +2.85% |
| SPY | SHORT | 01/11/2010 | 114.73 | 100% | 01/12/2010 | 113.66 | +0.93% | +1.93% | +1.99% |
| SPY | SHORT | 01/08/2010 | 114.57 | 100% | 01/11/2010 | 114.73 | -0.14% | +0.98% | +2.95% |
| SPY | SHORT | 01/07/2010 | 114.19 | 100% | 01/08/2010 | 114.57 | -0.33% | +1.13% | +2.81% |
| SPY | SHORT | 01/06/2010 | 113.71 | 100% | 01/07/2010 | 114.19 | -0.42% | +1.46% | +2.47% |
| SPY | SHORT | 01/05/2010 | 113.63 | 100% | 01/06/2010 | 113.71 | -0.07% | +1.89% | +2.04% |
| SPY | LONG | 01/04/2010 | 113.33 | 100% | 01/05/2010 | 113.63 | +0.26% | +1.97% | +1.97% |
| SPY | LONG | 12/31/2009 | 111.44 | 100% | 01/04/2010 | 113.33 | +1.70% | +1.70% | +1.70% |
For statistical and comparison purposes, the (hypothetical) trade entered at 12/31/2009 was added.
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