Tuesday, September 30, 2008

YTD Performance of SigmaStock System


The above chart is the YTD Performance of the SigmaStock System that I developed and began trading early this year. So far it is up 88% YTD with a maximum drawdown of about 17%. Compared to the -21% of the S&P it has strongly outperformed the market. The nature of this system suggests however that when the market does eventually make its trend reversal, the system will lag for several months to a year. After that it tends to perform extraordinarily well. Such is trend following, but with a Sharpe Ratio currently at 4.99, it doesn't make a lot of sense to invest in the traditional buy and hold strategies pushed by (failed) Wall Street brokerages.

My next couple weeks will be focused on working out a subscription service to this system and setting up my futures trading account. The subscription service will be relatively simple. No bells and whistles, just means to make money trend following stock indices. Therefore I won't charge an arm and a leg for it; probably in the $10-15 per month range for weekly trading signals. Just so you remember here's the simulated performance of the system since 1950:

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