Friday, January 02, 2009

SigmaSeek and SigmaStock Portfolio Performance

Here's an update on the SigmaSeek and SigmaStock performances:

SigmaStock is in the middle of a large but predictable drawdown; it hit the average large drawdown almost to 1% before bouncing back. For the year it was up 13.4% compared to the S&P at -39% during the same period. The drawdown profile for the system is more volatile, but as far as max drawdown goes, it is the same as the S&P 500. So you take more risk in terms of volatility, but get about 3 times the return on the market, with a theoretical maximum loss that matches the market. I think that there are improvements that can be made, but it would be at the expense of having a robust system. Even now it seems like there are points where I over optimized some parameters, so I will continue to develop this system.

SigmaSeek is not losing money, (the most important part of trading), so I'm relatively happy with my performance. I did make a few undisciplined errors that I am correcting through a "lessons" section in my trading journal. Overall, it's been an extremely educational experience and I look forward to adding to my account over this next year.

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