I will not be posting trades over the next two days, as I am at a JPMorgan confrence in South Beach, Miami until Saturday. I'll update all positions when I return this weekend.
posted by gbeske at 10:08 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, February 08, 2006
What Are We Trading? (Click here for some background info)
Previous Posts
- Ouch! Virtually every single one of our positions...
- Our overall equity continues to mush along sideway...
- The employment situation report had a little of ev...
- Copper continues to be the market that defies grav...
- Two of our favorites were back in style today, wit...
- It appears that the markets didn't know how to rea...
- Crude and the precious metals led the charge today...
- We saw general across the board strength today, in...
- Silver, Sugar and Equities were our big performers...
- The metals (Gold, Silver and Copper) all had great...
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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