posted by gbeske at 3:15 PM
A Capital View
A glimpse into the workings of our trading methodology. Our trend-following system has averaged better than 25% annual returns each year for the past 20 years, and has had only one down calendar year in that time. All trades and open positions are posted after the close each day.
Wednesday, October 26, 2005
What Are We Trading? (Click here for some background info)
Previous Posts
- What Do We Trade?
- Options Expiration is behind us, which could leave...
- Equities gave up everything they made yesterday, a...
- Pent-up demand and short covering brought the mark...
- It was a mixed day in the markets, but an almost a...
- Equities, Metals and Energy all had good days toda...
- Another down-up day in most markets today, with ma...
- Virtually all of the markets we follow were down t...
About our Models
We trade two models, with a total notional capital base of $200,000. Our trend following model ("System B") risks $4000 (or 2%) per trade, and our daytrading model ("TNR model") risks $500 (or .25%) per trade.
Our historical return on the trend following model has been 25% per year over the past 20 years, with max drawdowns over that time period of around 25% (in 1992 and 2005).
Our historical return on the daytrading model has been 12% per year over the past 6 years.
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