Wednesday, January 27, 2010

Trading system positions

Here are several of the ETFs that I follow along with selected data on my reversal trading system performance since inception. The performance is slightly overstated because of some estimates that had to be made in system design, so I would lower the amount 20-30% to adjust (ex EWZ CAGR 120% would go to 84%). This table is what I look at every morning to enter orders. The markets are currently directionally mixed with a slightly negative bias. My performance in January has been negative due to emerging market reversals. Drawdowns related to the end of trends aren't much fun, but considering where the trends started compared to now, I'm quite happy with the run.

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