Hi, all. I had a thought to start a journal as a kind of interactive way of posting about both my real trades and my other experiments in finance. I have written some of the most profitable and highest risk adjusted return systems at wl4.wealth-lab.com under the username nexial_1002002 including 4 top 10 most profitable limit order scripts, 3 top 10 market order scripts by profit and wl score, and a vendor on collective2. If anybody ever looked at my real trades which are available on the internet, you'd notice I've only traded QID and QLD. Two and a half years ago I built my system to arbitrage the variances in QID and QLD through volatility based overbought and oversold conditions using a shell program still available on wl4.wealth-lab.com that was written in mid 2001 after an article in Active Trader Magazine presented the basic foundation. Pairs trading in QID and QLD has been my main focus since then, and has returned compound annual returns of greater than 25% for the last two and a half years. A lot happens in two and a half years. At the end of 2008 just prior to Christmas, I happened upon a developer called Scottd that wrote Cash Cow allegedly from Jack Hershey's teachings. I took it upon myself to write it in WL4. Since, I've written it in WL5 where there is a lot more stable data. I've found that there are a few key reasons many have tried and failed to produce a working version of Jack Hershey's methods. 1)Data. The volume of .SPX that spydertrader optimized on was in WL4. It is, then, only in Fidelity that you'll be able to trade the working version. 2)Jack's loopy, but appears to have a quite robust system after some major modifications. Those modifications made have been as follows: 1)Don't sell on close 2) One of the variables is essentially a first derivative of sorts and is set in the original program at 1.4, when it should be less than 0.2, and my current value is lower than that. I characterize the system as a momentum based system with confirming increasing volume. I've created a system to forward test the program in WL5, and I believe it will work quite well. At least a double. I attempted to start this thread yesterday, but had to revise some of my statements as they were a bit self-promoting. So, going forward, I plan to keep a log of real trades and paper trades. Real trades I anticipate only being in QID and QLD as this is a statistically significant system with the following results since QID and QLD's inception on June 16th 2006 using 96% of equity: Long + Short Starting Capital $1,000,000.00 Ending Capital $4,346,427.57 Net Profit $3,346,427.57 Net Profit % 334.64% Annualized Gain % 64.98% Exposure 19.04% Number of Trades 74 Avg Profit/Loss $45,221.99 Avg Bars Held 2.08 Winning Trades 52 Winning % 70.27% Gross Profit $5,452,092.96 Largest Winning Trades $412,896.72 Avg Profit $104,847.94 Avg Bars Held 2.27 Max Consecutive 8 Losing Trades 22 Losing % 29.73% Gross Loss ($2,105,665.39) Largest Losing Trade ($324,749.34) Avg Loss ($95,712.06) Avg Bars Held 1.64 Max Consecutive 4 Max Drawdown ($530,952.50) Max Drawdown Date 9/3/2008 Max Drawdown % -14.64% Max Drawdown % Date 9/3/2008 APD 0.691 APAD 1.602 Wealth-Lab Score 291.3291 RAR 341.2764 MAR 4.4397 Profit Factor 2.5892 Recovery Factor 6.3027 Sharpe Ratio 2.0064 Sortino Ratio 3.7027 Ulcer Index 4.0339 WL Error Term 5.462 WL Reward Ratio 11.8961 Luck Coefficient 3.9381 Pessimistic Rate of Return 1.8383 Equity Drop Ratio 0.0449 K-Ratio 1.2135 Seykota Lake Ratio 0.0316 Expectancy 0.7053 Expectancy Score 17.3948 Max Losers Held 1 Max Winners Held 1 I had presented this system to a Venture Capital Firm with a funding request of $5 million. They agreed to fund my request after thoroughly exmaining real trades and the hypothetical trades in the backtest. Jack's system in WL5 has the following returns at 199% of equity since 9/1/2008: All Trades Starting Capital $10,000.00 Ending Capital $49,788.29 Net Profit $39,788.29 Net Profit % 397.88% Annualized Gain % 853.52% Exposure 27.25% Total Commission ($544.00) Return on Cash $0.00 Margin Interest Paid $0.00 Dividends Received $0.00 Number of Trades 34 Average Profit $1,170.24 Average Profit % 2.65% Average Bars Held 19.41 Winning Trades 26 Win Rate 76.47% Gross Profit $52,616.98 Average Profit $2,023.73 Average Profit % 4.36% Average Bars Held 19.38 Max Consecutive Winners 8 Losing Trades 8 Loss Rate 23.53% Gross Loss ($12,828.69) Average Loss ($1,603.59) Average Loss % -2.92% Average Bars Held 19.5 Max Consecutive Losses 1 Maximum Drawdown ($8,522.46) Maximum Drawdown Date 11/21/2008 Maximum Drawdown % -35.95% Maximum Drawdown % Date 11/21/2008 Wealth-Lab Score 2,006.43 Sharpe Ratio 2.91 Profit Factor 4.1 Recovery Factor 4.67 Payoff Ratio 1.49 I want to see more trades out of it to guage risk, as well as reward. Right now I don't have enough data to safely say anything about it. The PDF below has my results of Cash Cow from BWolinsky. So, I guess it will be a split thread. I will log the SDS and SSO trades of Cash Cow here, as well as the real big money trades. My explanation of my background is that after attending a top 50 Liberal Arts College called Centre College with a Bachelor of Science in Financial Economics and a minor in mathematics, I began my independent investment advisory services firm immediately following graduation. I've had great success managing several million dollars, but have found the instiutional methods a bit restrictive. You always have to use the products that best suit the client, and, yes, I've worked with brokers who, in my opinion, do the opposite. I joined c2 on March 20th, 2007, and had managed an investment club for 4 years prior to that while I was attending college. While in college is where I developed Superbands. It then evolved to the quite robust SuperBands, with Linear Regression Analysis. That system is truly only for institutions as it places far too many trades for manual entry. Pairs Trading QID QLD Scalper is my best system, and has attracted instiutional interest. The Cash Cow system I anticipate being profitable, but how profitable is a real question. I manage millions of dollars, and have years of industry experience. I'm giving the Cash Cow system a year to see what its true colors are, but, as always, my EOD system for Pairs Trading QID QLD Scalper, the first performance summary listed, will do for my real trading. I will only be ex-posting trades as they are completed and not in real time. If you don't believe I made the trades, then dig, you'll find I did.