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Sunday, November 4, 2007

End of the Portfolio

As you've probably noticed, my portfolio has not been doing well for almost the entire past 5 months. Despite all my efforts to analyze systems, I have not been able to pick a profitable set of systems. Whereas the S&P500 is almost exactly back to where it was when I started my portfolio, I am sitting on a loss of 13% (excluding the P/L from my various put options to hedge, the loss would be even larger).

The main problems I have encountered can be summarized as follows:
- Technology issues with auto trading (extreme-os)
- Vendor decided to terminate/change system after major losses (Trend Plays #1, Longstoch-ST)

In addition, I was close to signing up for Positive Forex, which completely collapsed shortly thereafter.

Time to move on!

13 comments:

ProbTrader said...

- Technology issues with auto trading (extreme-os)
- Vendor decided to terminate/change system after major losses (Trend Plays #1, Longstoch-ST)


ST,
Can you specify which auto-trading problems you encountered? What is extreme-os?

rene.koch said...

I am sorry to hear that you are giving up. I was always surprised and impressed by your methods and analysis of trading systems.
Also, of course, I always hoped you would add one of the better stock systems (mine ;) ) to your portfolio.
Sad.

Science Trader said...

probtrader: extreme-os is a system offered on www.collective2.com. My main problem with autotrading was a sub-optimal internet connection. (There were frequent (but short) outages).
Another problem with extreme-os was massive slippage, which makes it difficult to assess how much you can benefit from trading the system.

Science Trader said...

rene: It is sad indeed. I am planning to post some further analysis that led to my decision. This analysis includes all 100 end-of-day systems that have been launched on C2 since the start. The conclusion is that there's no easy way (for a subscriber) to select a system based on past performance (e.g. the Sharpe ratio) that will outperform the market going forward. E.g. many systems with great Sharpe ratios for the first X months didn't outperform the market in the next X months. It doesn't mean that there are no good systems offered on C2, just that there are bad systems offered as well and there's no easy way to separate them for a subscriber. A good example is Trend Plays #1, which had excellent stats (at least compared to other end-of-day C2 systems) for a full year, but then lost 17% and subsequently closed shop. So I decided I would be better off developing my own system or simply buying an index.

David Odle said...

Hey ST,

Looking forward to your analysis on EOD stock systems... especially mine-Bottoms Up.

I will miss your blog.

Take care,
David

Science Trader said...

David,
Thank you for the kind words. I limited my analysis to systems that only traded stocks and only traded end-of-day for their entire life. Therefore I did not include Bottoms Up.

Anonymous said...

Sad to see this end but I understand your reasoning.

I've found following 3rd party systems requires blind faith and I don't have it. Past stats are unreliable. I too have gone my own route and had more success.

Will we see you around C2 or T2W?

Cheers,
Rich

Anonymous said...

on a seperate note, you say trend plays has folded? I can't see anything about this on C2?

Cheers,
Rich

Science Trader said...

Rich: I haven't decided yet about my future contribution to these forums.

The vendor of Trend Plays #1 wrote me a few days ago that he would take his system private. If you try to subscribe to it on C2, you'll get a notice "No subscriptions being offered".

Anonymous said...

aw man! I really liked your clear, detailed posts.
I wish you all the best.
An advice - try to build your own system. It took me a few years, but with persistance I got mine working and now I wouldn't use any other in the world! Maybe you'll see it on the C2 top 10 one day :)

take care

SL

Anonymous said...

-The conclusion is that there's no easy way (for a subscriber) to select a system based on past performance (e.g. the Sharpe ratio) that will outperform the market going forward.

I think you learned perhaps the most valuable lesson ST. But you shouldn't give up. I'd go outside C2 to learn more about the stock market and continue your quest with what does work.

Meanwhile, let C2/market unwind from this most extremely difficult period and more will be learned - without costing you money!

Statistical/Technical Analysis can hugely be used successfully with trading systems. Unfortunately scant few systems stand the test of time - hence C2 track records.

Take a step back and things will come into focus. I suggest reading Investor's Business Daily "Guide To The Markets" Sound, sage useful wisdom and knowledge - based on verifiable statistical studies that go back for the life of the market - that hold up today.

Very applicable...C2 system track is TOO short.
Best of luck going forward,Gilbert

Anonymous said...

I still think the dart method would be very lucrative and selections/results could be posted in a forum like this.

Take new hot equity trends and throw a dart at 5 of 10. Jump in with calculated allocation and stop and just let the vendor work the magic.

Phase out with a profit target and move to the next riding the sweet spot BEFORE the blowup. If things go south simply KILL and throw the next dart.

Annual percent gain could be shocking silly as it sounds.GA

Michael Lomker said...

I've kept an eye on C2 as well but their signaling methods induce too many delays...I also don't trust it.

I think that StrategyRunner and GSTrader don't have those problems. I'm going to be using StrategyRunner soon.