Monday, February 02, 2009

Portfolio Performance for January 2009

The new year started out with a bang, that's for sure. We're hitting new all-time max drawdowns in the system...2001/2002 were the last time these levels were seen for yours truly.

You can see below that we're beginning to lose money again...though not as bad as the market. The reason for this is because I've received several new signals the past few weeks which have creeped up the percent invested in the portfolio. Still nowhere near fully invested levels...but at least getting the barrel loaded in case the market takes a turn for the better.

The chart below details max drawdown levels for the portfolio and the market. Not sure how much help this is in evaluating the portfolio against the market. Especially when the main difference between the market's drawdown versus TaylorTree is the capital invested. It is as simple as that.

Now, on to some good news. The trading platform is beginning to shape up nicely. For the first time in several years of trading I have the maintenance of the portfolio completely automated. No, that doesn't mean orders are automatically placed with my broker. What it does mean is my portfolio is now completely monitored for sell signals, additional buy signals, stale positions, etc. Might not sound like much...but you'd be surprised at how much manual effort there is in trading a system - from managing the data sources to ensuring all positions are accounted for each and every night.

The next step and one I'm not especially looking forward to is creating several test cases for the money overlay of the backtesting platform. Things can get complicated very quickly in this area. And I want to make sure I've captured all the requirements of the platform before I begin coding. This is the area where I always get stuck due to the requirement of handling multiple trading systems, leverage, and various cash options in real-time. Also, I want the ability to dump unused cash directly to the market. Very interested in how the portfolio will handle being in the market 100% of the time when the trading systems are not utilizing 100% of the capital.

Later Trades,