The Green Alpha

I know most don't need to be reminded, but there will always be drawdowns; even on the most profitable systems.

Don't let them get you down GreenAlpha. Hang in there!!!

 

Today’s result: -0.76%

For tomorrow we’re short on the S&P500.

 

WELCOME TO THE DARK SIDE!

 

I knew he was heading there 5 trading days ago.

 

Ratio (drawdown/edge) matters in sign and magnitude. That's why I was asking about those numbers.

PS: If you are related to GreenAlpha, feel free to post your genuine comment under that handle.

 

Today’s result: +0.01%

For Monday we’re leveraged 2x long on the S&P500.

Our max drawdown here was -6.96% and the current drawdown is -3.68%.

I'll post the updated results in a moment

 

As of today:

<table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&amp;P<span class="google-visualization-table-sortind">&#8195;</span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">15,09%</td><td class="google-visualization-table-td google-visualization-table-td-number">14,66%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">StdDev</td><td class="google-visualization-table-td google-visualization-table-td-number">15,46%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,5%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Sharpe R.</td><td class="google-visualization-table-td google-visualization-table-td-number">0,98</td><td class="google-visualization-table-td google-visualization-table-td-number">1,27</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,08%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,07%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,7%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,56%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,66%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,57%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">102</td><td class="google-visualization-table-td google-visualization-table-td-number">107</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">86</td><td class="google-visualization-table-td google-visualization-table-td-number">81</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-3,68%</td><td class="google-visualization-table-td google-visualization-table-td-number">-1,83%</td></tr></tbody></table>

 

Today’s result: +1.26%

For tomorrow we’re long on the S&P500.

 

Your STD is ~ 1.40 the STD of SPY. Your performance should then be compared to 1.40*SPY.

 

And that's the reason why the sharpe ratio is there.

The S&P is just a proxy for the market conditions during the same period and not the strategy's benchmark, also the results are only since March 2013.

On a long term basis we expect a sharpe ratio of about 1.5.

If you take into account the kind of bull pressure we've had during the year and the number of times that this strategy was short, I'm pretty glad with the results. I'm waiting for a serious correction to see how well it handles it.