Friday, September 18, 2009

Sigmastock VAMI

I wanted to post the results of the new and improved SigmaStock system that I've been trading since March of this year. The first month started off slow due to the trend reversal in the markets, and performance took a hit during the summer, but things are back up to new highs.

The SigmaStock system is a relatively simple trend following reversal system with a filter to reduce position sizes as risk exceeds certain thresholds that I have deemed to be "high" through backtesting.

The SigmaSeek futures trading system has performed well this month following several months of drawdown and has hit new highs as well. I'm not comfortable sharing too much of this system yet, due to the very high amount of "heat" involved. Month to Date, this system is up 84.8% after having returns of -11.3% and -9.4% in July and August.

The SigmaSeek futures trading system trades on 2 time frames using reversals and breakouts. The breakout system is a short to intermediate term system, while the reversal system attempts to catch trends that last for several months.

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