Tuesday, November 11, 2008

SPI System Update 11-11-2008

Ticker Trade Date Price Ex. date Ex. Price Points
SPIM_CCB Long 30/09/2008 4494 1/10/2008 4885 391
SPIM_CCB Short 2/10/2008 4875 3/10/2008 4670 205
SPIM_CCB Long 6/10/2008 4575 7/10/2008 4685 110
SPIM_CCB Long 7/10/2008 4420 7/10/2008 4685 265
SPIM_CCB Long 10/10/2008 4080 14/10/2008 4500 420
SPIM_CCB Short 14/10/2008 4500 16/10/2008 4055 445
SPIM_CCB Long 24/10/2008 3903 29/10/2008 3980 77
SPIM_CCB Short 30/10/2008 3917 6/11/2008 4176 -259
SPIM_CCB Short 3/11/2008 4121 6/11/2008 4176 -55
SPIM_CCB Short 5/11/2008 4330 6/11/2008 4176 154
SPIM_CCB Open Short 11/11/2008 4018 11/11/2008 3993 25
SPIM_CCB Open Long 11/11/2008 3980 11/11/2008 3993 13
 
New trades since last update shaded
 
Statistics
Total 1791
No Win 10
No Loss 2
Total 12
Win % 83%
Avg Win 211
Avg Loss -314
W/L 0.67
Expectancy 123
 
Comments - the system experienced a very large intra trade drawdown on that losing trade which was more than a tad annoying.  On review I found I had included a model with a very small trade size (about 12) which was obviously curve fitted to the recent short market.  Removing that model would have reduced the total return but W/L ratio increased & open drawdown decreased significantly.  Lesson of the day - don't get too greedy & curve fit data!

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