Monday, October 19, 2009

SigmaStock & SigmaSeek VAMIs

One thing that bugs me about financial advisors, talking heads, and blog writers is that they rarely provide performance figures. It's actually pretty likely that they have no performance figures; instead they are paid to talk and make wild predictions. All of this is fine, but for people who want to know track records of these people to make an informed investment decisions, talk is cheap. So, I've attached SigmaStock & SigmaSeek performance charts on the sidebar. These are unaudited and are not used to attract investor capital, so I guess you could say they are for entertainment use only. I will try to keep them as up to date as possible with end of month updates. Click on the pictures to see a clearer image.

SigmaStock is a moving average trend reversal system with some mean reversion. I'm tracking high volatility ETFs like EWZ and RSX with this. It's a very simple system that trades 8-11 times per year on average, although some of the holding periods are greater than 6 months for a good trend. Data starts on 3/1/09.

SigmaSeek is a price channel system mixed with reversals. It is a very aggressive system (probably too aggressive) with position risk sizes ranging from .75-2% of capital. I'm dialing this down over time to about 1% although the model stays pretty clean up to about 1.75%. Data starts on 6/1/09.

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