Sorry... Target is 3.0% per day. Next milestone: 05/24/07 (100 days mark) at +50% from the current level.
05/16/07 -40.3% I underestimated the potential of the DOW to go up. My forecast of the vola has been lower based on statistics. The loss shows me that I have to take more care about that feature. Therefore I decided to improve my system by adding a vola related forecasts. DOW vola forecast close to close (daily) It's measured in absolute values i.e. 100 means that the DOW will change it's value by +100 or -100 points to the close. After +103 points the forecast expects two low vola days (<50 and <25 points).
The serial correlation of absolute cl to cl changes, - I call them absolute daily velocity (ADV) - , is bigger than the changes incorporating the (-) sign. Serial correlations as of yesterday for 65 measure points: Leg 1 -9.8% (vs -2.9%) Leg 2 -16.9% (vs +10.8%) That means that after a high vola day (velocity) there follows la ow vola (velocity) day.
Another winning day. 05/21/07 +9.8% Risk ca. 40% of the account with a probability of 15% to be wiped out. That are figures in hindsight, because I collected the information from traded option prices. My performance is an average of 2.5% per day since 93 days! My target is to reach 3.0% per day as soon as possible in this quarter. Therefore I need some additional 9 - 12% days.
05/22/07 +8.5% 05/23/07 +9.2% Works well at the moment, since the DOW doesn't move too much on a closing to closing base.