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| Subject: | October Review |
| Posted by: | Fred Penney (Admin) ( C2 Score: 987 ) |
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| When: | 11/01/09 (10:45) | |
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| | So far, so good for my time here on C2. This system was profitable six out of seven months and is beating the S&P 500. As I noted at the outset, trades would be open for about 78 days on average. Beau thought this would be an issue and that subscribers would fear that I was asleep at the wheel. From my communications with subs this isn't an issue since they know up front that my system trades infrequently.
This system is up about 25% since April 19 when I joined C2 and has a profit factor of 3.5:1. As far as I know, my system has beat all other QLD-based systems on C2 since its inception on C2 including ETF Timer.QLD and PSQ |
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| Subject: | October Review |
| Posted by: | Karl A |
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| When: | 11/01/09 (17:15) | |
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| | In response to post by Fred Penney of 11/01/09 (10:45) So far, so good for my time here on C2. This system was profitable six out of seven months and is beating the S&P 500. As I noted at the outset, trades would be open for about 78 days on average. Beau thought this would be an issue and that subscribers would fear that I was asleep at the wheel. From my communications with subs this isn't an issue since they know up front that my system trades infrequently....
See entire
Fred,
Your system QLD and PSQ (29 weeks old) has as of 10/31 an APR of 42% after commissions and sub fees, whereas ETF Timer (91 weeks old) has an APR after commissions and sub fees of 100%. I think this is a more meaningful comparison. Of course, I wish you the same success in the future.
I just finished computing the APR after commissions and sub fees of all the systems I am presently watching and which have a reasonably long history. They can be found on My Analyst page. It is amazing how much difference one month can make even for systems which are older than one year. |
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| Subject: | October Review |
| Posted by: | Fred Penney (Admin) ( C2 Score: 987) |
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| | Ignored by 0% of those who use ignore feature. | | |
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| When: | 11/01/09 (18:50) | |
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| | In response to post by Karl A of 11/01/09 (17:15) Fred,
Your system QLD and PSQ (29 weeks old) has as of 10/31 an APR of 42% after commissions and sub fees, whereas ETF Timer (91 weeks old) has an APR after commissions and sub fees of 100%. I think this is a more meaningful comparison. Of course, I wish you the same success in the future....
See entire
Karl:
ETF Timer is a good system and I wasn't knocking it. Obviously I can only compare my system with ETF Timer for the period April 19, 2009 to the present and over that time period my system beat ETF Timer. Past performance is no guarantee of future performance and that goes for both systems!
Fred |
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| Subject: | October Review |
| Posted by: | Fred Penney (Admin) ( C2 Score: 987) |
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| | Ignored by 0% of those who use ignore feature. | | |
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| When: | 11/01/09 (19:00) | |
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| | In response to post by Karl A of 11/01/09 (17:15) Fred,
Your system QLD and PSQ (29 weeks old) has as of 10/31 an APR of 42% after commissions and sub fees, whereas ETF Timer (91 weeks old) has an APR after commissions and sub fees of 100%. I think this is a more meaningful comparison. Of course, I wish you the same success in the future....
See entire
Karl:
I just reviewed your comments on your My Analyst page. How do you account for slippage with the systems that have 1000's of trades?
Fred |
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| Subject: | October Review |
| Posted by: | Karl A |
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| | Ignored by 0% of those who use ignore feature. | | |
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| When: | 11/01/09 (20:00) | |
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| | In response to post by Fred Penney of 11/01/09 (19:00) Karl:
I just reviewed your comments on your My Analyst page. How do you account for slippage with the systems that have 1000's of trades?
Fred
Fred,
Of all the systems where I computed the APR after commissions and sub fees to date there is only one which had over 2,000 trades, which, BTW, I am not trading. But this, as all the others, has positive as well as negative slippage which should cancel each other out over time. Also, practically on all of them (I think there is one exception) the C2 statistics under "Keep after worst slippage" say 100%.
I also want to point out something else - and again I am not knocking your system and some people probably prefer systems like yours - statistical theory tells us that in order to draw a valid statistical comparison with other systems you need at least 30 trades and since your system has only 4 trades so far it still has a long way to go. |
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| Subject: | October Review |
| Posted by: | Fred Penney (Admin) ( C2 Score: 987) |
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| | Ignored by 0% of those who use ignore feature. | | |
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| When: | 11/01/09 (20:19) | |
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| | In response to post by Karl A of 11/01/09 (20:00) Fred,
Of all the systems where I computed the APR after commissions and sub fees to date there is only one which had over 2,000 trades, which, BTW, I am not trading. But this, as all the others, has positive as well as negative slippage which should cancel each other out over time. Also, practically on all of them (I think there is one exception) the C2 statistics under "Keep after worst slippage" say 100%....
See entire
My system will trade only once every 78 days or so on average and that's fine by me. As for comparisons which will be statistically significant, you are correct in that it will take years of trades before such comparisons can be made and then we can only compare systems which are designed to trade the same underlying. My goal with "QLD and PSQ" is to beat the Nasdaq with a system that is scaleable and has less risk as measured by the Ulcer Index than buying and holding the index. I have managed to accomplish this since March, 2008 when I started posting about the system on my blog so I am pleased with the results.
Thanks for your comments.
Fred |
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| Subject: | October Review |
| Posted by: | Financial Scientist ( C2 Score: 968) |
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| | Ignored by 22% of those who use ignore feature. | | |
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| When: | 11/01/09 (20:46) | |
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| | In response to post by Fred Penney of 11/01/09 (20:19) My system will trade only once every 78 days or so on average and that's fine by me. As for comparisons which will be s...
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| Hmmm.... every 78 days is asking for a lot of volatility in those securities. Watch your leverage. |
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