Monday, November 30, 2009

November Returns

SigmaStock

SigmaStock ended the month up 10.85% driven by strong emerging market returns. This brings the return since I started trading this system in March to 49.35%.



SigmaSeek Futures

SigmaSeek ended the month up 72.74% driven by higher precious metals, the falling US dollar, strengthening Mexican Peso, and falling Natural Gas. Soybeans also added to the returns, although Corn and Wheat underperformed. This brings the 5 month return of SigmaSeek to 57.95% since the SigmaSeek system began trading.



Overall, this system has emerged out of a nearly 11 month equity base to hit new equity highs. This is typical for a trend following system; long periods of drawdown followed by short periods of very fast returns. For a 10 year look at simulated performance see below:

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