Weekly Update - Quantum Leap ES Algo

Discussion in 'Journals' started by QuantWizard, Apr 28, 2013.

  1. Hi all,

    Here's the weekly update for my ES algo called "Quantum Leap". The accompanying equity curve is attached.


    The week was one of the strongest on record, with a weekly profit of $601, or +13.1% on equity. Last month has been exceptionally strong with a growth in equity of +65.7%, and +278.9% since inception. Again, the equity is now at a level not seen since July last year.

    Furthermore, the trading algorithm handled the “mini flash crash” very well last Tue, by generating a profit of 12% instead of a potential loss of 49% if we would have exited our trading position at the very bottom during the dip. In other words, this again demonstrates the effective risk mitigation and resilience of our algorithm.

    Next week we will see how it went.

  2. Last week, U.S. stocks rose to end at record highs following solid corporate earnings and better-than-expected job gains in April. On Friday, April's headline unemployment ticked lower to 7.5% and nonfarm payrolls increased by 165,000, which boosted the Dow Jones Industrial Average and S&P 500 to historic highs. The problem, according to economists and investment strategists is the disconnect between equity markets and the U.S. labor situation. So far, equities have soared in 2013 with a gain in the S&P 500 of 13%.

    For Quantum Leap, the week ended slightly up, with a weekly gain of $63, or +1.2% in equity. Since inception, we are now up +284% in equity which is not too bad although it’s slightly lower compared to a momentary peak at +311% two weeks ago. As we have seen in the past, performance normally fluctuates heavily, however right now it seems like we have a breakthrough upwards which has established a new steady state – whether this is actually the case, only time can tell, but it indeed looks good at the moment.

    One thing is clear: the huge gains we’ve seen in equity markets since the beginning of the year are unsustainable; hence we can expect at least a momentary market retracement any time soon. Fortunately, this will benefit us as we benefit both from upward and downward movements.
  3. Last week started off well with three days of consecutive gains, albeit finishing with two days of relatively sharp declines due to unfavorable market conditions (i.e. lack of direction) as investors are getting increasingly wary of how long the bull run will prevail and are hence quick at taking home profits.

    In sum, the weekly result was a loss of $340, or -6.51% in equity. Nevertheless, we’re still up +259% in equity since inception. In the week to come, momentum will certain remain in absence of any negative news, although investors will remain skittish.
  4. Last week ended very well, with a weekly profit of $746, or +15.3%. Since inception, the total profit is now $4,290, or +313%, a level not seen since July last year.

    Interestingly, the temporary pull-back we anticipated after a month of very strong gains has not yet materialized, leaving us to believe that we have established a new “steady state” in the trading.

    Over the last week, we have also worked on optimizing the trading algorithm even further, which should bode well for the trading ahead.