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!