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Performance
(Hypothetical performance after commission and slippage allowance)
This page shows hypothetical performance as it occurred over the passing
of time.
This is called ‘real time’ hypothetical performance, and each month
tracks each portfolio as it was configured that month.
The ‘Products’ page, in contrast, shows hypothetical performance all
generated looking backward in time, using the portfolios and the
trading systems configured as the are right now. Both ways of looking
at hypothetical historical performance have merit – that is why we go to
the trouble of showing it both ways. Now, to be exact, the performance
information on this page is ‘real time’ only from July 2010 forward.
All other performance data on this page is backward looking, using the
portfolios and trading systems as they were configured at the time ‘real
time’ tracking began for the portfolio. Notice from the provided
performance data that ‘real time’ tracking for some portfolios began
later than July 2010.
Performance Summary
(click above for performance
chart)
When you look at
the ‘Performance Summary’ data you will notice that, for the larger,
more diversified portfolios, significantly more months show wins than
losses. That could lead you to believe that trading these portfolios is
generally a smooth ride. It isn’t so. We have uncomfortable drawdown
most months. It is nice that most have not been at a net loss for the
month at month end, and that our performance posting can thus look
pretty overall, but the drawdowns are occurring. The bottom line is
that if you trade these portfolios with us, don’t do it expecting a
smooth ride or straight line equity gain.
Perhaps we above
exaggerated drawdown a bit, but we wanted to comment on their frequency
of occurrence, because you cannot see that from the month end
performance data. Now a positive comment. Up until July 2010, our
largest portfolio was configured to target about 30k per month gains.
We since reconfigured our larger portfolios to now target only 1/3 to
1/2 the gains we formerly targeted. We did this by making the
portfolios smaller, less aggressive, and more diversified – and about
half price. So, in comparison to our previous ride, we now do have a
smooth ride.
You will notice that, within the above ‘Performance Summary’ link, we do
not yet show performance values for the ‘Saturn Dynamic’ and ‘Jupiter
Dynamic’ portfolios. That is because those portfolios include manually
generated ‘dynamic’ adjustments, additions, and deletions to the trading
instructions produced by the computerized trading systems, and our
system assist (auto-trade) broker is not yet able to accommodate these
additional orders. We can do ‘Dynamic Extra’ (extra trades) now, and we
will implement ‘Dynamic’ after either a) our current broker is more
automated, b) we permit a second broker to trade our systems, or c) we
become a money managing CTA and do the trading in-house. We are working
toward all three of these solutions – we do not know which will come to
fruition first. January 2012
Addition/Update: I cannot wait
longer for ‘a’, ‘b’, or ‘c’ to materialize. The markets are recently
and currently much out-of-character (see Nov and Dec results), and
danger is increased given the current Middle East risks and European
Union risks. Background and solution: Heretofore, throughout the
years, we have provided our trading systems service in line with the
preferences of system trading purists. We have made only very minimal
overrides, including not going to the sidelines, even when we deemed
trading signals or markets unsuitable. Thus, we needed ‘Dynamic’
discussed above in order to be able to make overrides as we deemed
needed, especially to be able to go to the sidelines. We needed this
capability for customers, including me, who do not want to trade when
trading signals or markets are unsuitable, or just too risky. We were
working (via ‘a’, ‘b’, and ‘c’) toward implementing this philosophy via
the ‘Dynamic’ portfolios discussed above. Meanwhile, while waiting,
November and December gave us a thrashing. I need to immediately be
able, without hindrance, to be able to sideline trading and to skip or
modify trading signals. Thus, I am immediately implementing, in all
portfolios, the philosophy of bypassing trading signals and markets I
deem unsuitable for my systems, or just too risky considering the
times. I will of course not be able to censor every losing signal or
unsuitable market period, and I will of course unfortunately bypass some
winning trades. And, I do realize I may lose some system trading
purists subscribers, and that brokers may prefer systems that conduct
more trading and without sideline time. But subscription income and
broker commissions cannot be my primary goal. For additional
diversification, I encourage subscribers, who are eligible and have
adequate margin, to participate in ‘Dynamic Extra’ trading - it is very
different (diversified) from the ‘directional only’ trading done in the
portfolios. Although it too will have some ‘directional only’ trading,
it will have primarily non-directional trading, plus sometimes some low
cost, low risk, and low probability, but high potential, shoot-the-moon
trades. There have been only a few ‘Dynamic Extra’ trades to-date, but
activity there will be increasing.
Some people like
to view Trade Station Strategy Performance
Reports for the individual trading systems which comprise the
portfolios. These reports are generated looking backward in time, using
the trading system as it exists today. So we placed the link to those
reports on the ‘Products’ page instead of on this ‘real-time, as it
happened, historical hypothetical performance page.
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Hypothetical Performance Disclosure |
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All
performance data in this website is hypothetical performance.
Although you
have
already seen the CFTC hypothetical performance disclosure at the
entrance
to this
website, the CFTC prefers that it be shown multiple times at
strategic
places in
the website, such as on this page. |
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“HYPOTHETICAL
PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME
OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE
THAT ANY
ACCOUNT WILL OR
IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE
SHOWN. IN FACT,
THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN
HYPOTHETICAL
PERFORMANCE RESULTS AND THE ACTUAL RESULTS ACHIEVED BY
ANY PARTICULAR
TRADING PROGRAM.” |
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“ONE OF THE
LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY
ARE GENERALLY
PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION,
HYPOTHETICAL
TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL
TRADING RECORD
CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK
IN ACTUAL
TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE
TO A PARTICULAR
TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL
POINTS WHICH
CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE
ARE NUMEROUS
OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO
THE
IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE
FULLY ACCOUNTED
FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE
RESULTS AND ALL
OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.” |
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