The Green Alpha

Today’s result: -0.94%

For tomorrow we’re 2x leveraged short on the S&P500.

 

Today’s result: +0.06%

For Monday we’re short on the S&P500.

 

Today’s result: +0.02%

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

 

CORRECTION:
Today’s result: +0.02%

For tomorrow we’re leveraged 2x short on the S&P500.

 

Today’s result: -0.78%

For Thursday we’re long the S&P500.

Happy New Year!

 

Hey!

Here are the results since we've started this thread in March, 2013.


<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">14,83%</td><td class="google-visualization-table-td google-visualization-table-td-number">19,38%</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">15,32%</td><td class="google-visualization-table-td google-visualization-table-td-number">11,39%</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">0,97</td><td class="google-visualization-table-td google-visualization-table-td-number">1,7</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">0,07%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</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">0,69%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,57%</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">-0,55%</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">108</td><td class="google-visualization-table-td google-visualization-table-td-number">114</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">91</td><td class="google-visualization-table-td google-visualization-table-td-number">85</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">-3,9%</td><td class="google-visualization-table-td google-visualization-table-td-number">0%</td></tr></tbody></table>

Unfortunately on the month of December our performance was -3.09% and the S&P500's was +2.36%

For the full year, our performance was +24.93% vs 29.60%

Overall we're pleased with the results since we tend to benefit from volatility and the conditions were hardly ideal in 2013.

The only concern was that our performance was achieved mainly during the first 3 months (out of 9 since March) and we would prefer a gradual increase instead of "stagnation" since then.

 

Today’s result: -0.88%

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

 

Today’s result: +0.04%

For Monday we’re short on the S&P500.

 

S&P has beaten you 2 to 1 (not including commission). With commission and taxes, the ratio is worse. When will you drop the gloves?

 

@tradingjournals: I think you're missing the point, this is an absolute return strategy and being 5% shy of a 30% orderly upside move with this kind of long/short approach is (for us) satisfactory. (I agree with you that it's not remarkable though )

Today’s result: +0.25%

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