MDD Threadsters,
In January of this year I made the commitment here on MDD to post all my market timing model buys and sells for the entire year of 2002. The year is over and I am happy to say I stuck to that and posted each buy and sell. And since my dear wife is sick tonight and can't go out (or even talk), I have plenty of time on my hands to evaluate the results and review how the model performed relative to the QQQ (its benchmark and trading vehicle). So, here it is.........
2002 Market Timing Model performance......+ 31.8%
QQQ performance...........................- 38.4%
Relative performance to QQQ...............+70.2%
# of months outperformed QQQ........9 (75%)
# of months underperformed QQQ......3 (25%)
# of round-trip trades............ 14
# of profitable trades............ 10 (71%)
# of long trades...............10
# of profitable long trades.....6 (60%)
# of short trades...............4
# of profitable short trades....4 (100%)
Average profit of profitable trades...+9.7%
Average loss of losing trades.........-3.1%
Since trades ranged from 10% to 110% of portfolio (usually 25-50%), following is the average profit and loss of each trade as a percent of the portfolio:
Avg profit of profitable trades as % of portfolio...+3.8%
Avg loss of losing trades as % of portfolio........-1.5%
Below is the monthly results vs the QQQ:
Month........Timing Model vs
.............QQQ (Cumulative)
January........+12.7%
February.......+23.2%
March..........+24.3%
April..........+21.2%
May............+29.7%
June...........+41.1%
July...........+39.5%
August.........+51.0%
September......+53.6%
October........+63.9%
November.......+60.5%
December.......+70.2%
The model did its job this year beating the design objective of over 65% successful trades with the gain on the winning trades being significantly larger than the loss on the losing trades. I'll keep posting in 2003 and hopefully keep up the outperformance of QQQ. Currently the model is 50% long QQQ and 50% cash.
Happy New Year to all !!!
Tom
and for the record, here are all the trades:
- January 2nd: buy qqq at open 39.57......$100,000 in qqq.
- January 4: sell qqq at open 41.95.......$106,005 in cash.
- January 7: short 25% of account at open 42.11......$79,504 cash, $26,491 short qqq.
- February 7: buy back qqq short at $36.00......$109,829 in cash.
- February 20: go 50% long, buy qqq at 34.9......$54,904 in qqq, 54,915 in cash.
- February 22: go to 100% long at open, buy qqq at 33.61.....$107,780 in qqq.
- April 25: Went to 110% long at open at qqq of 32.3.
- May 14: Sold 10% of long position going back to 100% long on open at qqq of 32.05.....$102,687 in qqq.
- May 15: Went to 100% cash next open at 32.54....$104,247 cash.
- May 27: Went to 25% short at next open at 31.47.
- June 10: Went to 100% cash at open......$106,802.
- July 3: Went 50% long at open at 23.85....$53,391 in qqq, $53,401 in cash.
- July 5: Went to 100% long at open at $25.26. Total 4352 shares qqq long.
- July 22: Went to 110 % long at open at $23.85. Total 4787 shares qqq and margin debt of $10,385.
- August 16: Sold 10% margin at open at 24.08. Long 4308 qqq and $1122 cash.
- August 18: Sold 50% of position on August 19 at $24.84. Now at $54,617 cash and 2154 shares qqq.
- August 26: Went to 100% cash at open at 25.35. Now at cash of $109,211.
- Sept 3: Went to 50% long at the open at $23.01. 2373 shares qqq and $54,605 cash.
- Sept 12: went to 25% short at 23.22.…..1181 qqq shares short and $82,272 cash.
- Sept 18th: went to 100% cash at $22.20.……….$110,891 cash.
- Sept 20th: went to 100% long at qqq $21.80.……5086 shares qqq.
- Oct 28th: went to 50% cash on open Monday at $25.00. 2543 shares qqq and $63,565 cash.
- Nov 6th: went to 100% cash on open at $26.35…….$130,563 cash.
- Dec 2nd: Went to 25% short at the open at $28.49……..$97,903 cash and 1146 shares qqq short.
- Dec 12th: went to 100% cash at open at $25.51……..$133,958 cash.
- Dec 19th: went to 50% long at the open at $25.18…..$66969 cash and 2660 qqq. |
