Sunday, January 31, 2010

TaylorTrade weekly Stats (01/25/10-01/29/10)

Key Figures TaylorTrade SPY
Active Components29 1
Entries this period0 0
Exits this period0 0
IPOs this period0 0
Inactive this period0 0
Missing in PriceDB0 0
# All-time Closing Highs 8 (3.20%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 96 (38.40%) 2 (40.00%)
# Lower Closes 153 (61.20%) 3 (60.00%)

Total Gains/Losses $-13.08 (-0.09%) $-1.82 (-0.33%)
Average True Range (3.16%) (1.70%)

* Results are cumulative for the period.

Russell 3000 Weekly Stats (01/25/10-01/29/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 30 (0.20%) 0 (0.00%)
# All-time Closing Lows 23 (0.15%) 0 (0.00%)

# Higher Closes 5790 (38.87%) 2 (40.00%)
# Lower Closes 8795 (59.05%) 3 (60.00%)

Total Gains/Losses $-1569.99 (-0.43%) $-1.21 (-0.38%)
Average True Range (3.93%) (1.72%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, January 29, 2010

Russell 3000 Daily Stats (01/29/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 7 (0.23%) 0 (0.00%)
# All-time Closing Lows 8 (0.27%) 0 (0.00%)

# Higher Closes 893 (29.98%) 0 (0.00%)
# Lower Closes 2014 (67.61%) 1 (100.00%)

Total Gains/Losses $-719.60 (-0.99%) $-0.76 (-1.19%)
Average True Range (4.31%) (2.45%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, January 28, 2010

Russell 3000 Daily Stats (01/28/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 10 (0.34%) 0 (0.00%)
# All-time Closing Lows 5 (0.17%) 0 (0.00%)

# Higher Closes 493 (16.55%) 0 (0.00%)
# Lower Closes 2451 (82.28%) 1 (100.00%)

Total Gains/Losses $-982.74 (-1.33%) $-0.79 (-1.23%)
Average True Range (4.26%) (2.20%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, January 27, 2010

Russell 3000 Daily Stats (01/27/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 9 (0.30%) 0 (0.00%)
# All-time Closing Lows 4 (0.13%) 0 (0.00%)

# Higher Closes 2017 (67.71%) 1 (100.00%)
# Lower Closes 903 (30.31%) 0 (0.00%)

Total Gains/Losses $489.46 (0.67%) $0.32 (0.50%)
Average True Range (3.85%) (1.59%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, January 26, 2010

Russell 3000 Daily Stats (01/26/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 3 (0.10%) 0 (0.00%)
# All-time Closing Lows 5 (0.17%) 0 (0.00%)

# Higher Closes 752 (25.24%) 0 (0.00%)
# Lower Closes 2162 (72.57%) 1 (100.00%)

Total Gains/Losses $-484.78 (-0.66%) $-0.27 (-0.42%)
Average True Range (3.61%) (1.29%)

* Results are cumulative for the period.

Price verification found 0 errors

Portfolio Performance for December 2009

I've missed a few months of posting performance numbers. This post should catch us all up.

Portfolio is still lagging the market. Not by much. I have made a few changes to the portfolio's allocations in late December. Nothing drastic, just pulled a few weeds in the portfolio for tax loss selling.





I have one final module left in the simulation engine to unit test and then I should be free to add the code to report portfolio stats. One goal for 2010 is to post portfolio stats daily like I do the Russell 3000 stats. My other goal for 2010 is to verify a couple of system ideas I've tested recently. If successful, could add coverage to the market I've never had before.

One idea is based off some of the game theory I learned while playing Xbox Live's Modern Warfare 2. In many ways, how you score points in the game is how you make money in the market.

The other idea is one I've been toying with for a few years. How to capture the volatility in the portfolio...or better yet...how to remove it. There are some holes in this idea...so I probably still have a few years to go. Ha.

Later Trades,

MT

Monday, January 25, 2010

Russell 3000 Daily Stats (01/25/10)

Key Figures Russell 3000 IWV
Total Active Components2979 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 1 (0.03%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 1635 (54.88%) 1 (100.00%)
# Lower Closes 1265 (42.46%) 0 (0.00%)

Total Gains/Losses $127.67 (0.17%) $0.29 (0.45%)
Average True Range (3.63%) (1.06%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, January 24, 2010

Russell 3000 Weekly Stats (01/19/10-01/22/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 60 (0.50%) 0 (0.00%)
# All-time Closing Lows 3 (0.03%) 0 (0.00%)

# Higher Closes 3974 (33.34%) 1 (25.00%)
# Lower Closes 7756 (65.06%) 3 (75.00%)

Total Gains/Losses $-2461.57 (-0.81%) $-2.43 (-0.91%)
Average True Range (4.02%) (1.98%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, January 22, 2010

Russell 3000 Daily Stats (01/22/10)

Key Figures Russell 3000 IWV
Total Active Components2980 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 1 (0.03%) 0 (0.00%)
# All-time Closing Lows 2 (0.07%) 0 (0.00%)

# Higher Closes 516 (17.32%) 0 (0.00%)
# Lower Closes 2407 (80.77%) 1 (100.00%)

Total Gains/Losses $-1285.61 (-1.72%) $-1.44 (-2.20%)
Average True Range (4.30%) (2.32%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, January 21, 2010

Russell 3000 Daily Stats (01/21/10)

Key Figures Russell 3000 IWV
Total Active Components2980 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 8 (0.27%) 0 (0.00%)
# All-time Closing Lows 1 (0.03%) 0 (0.00%)

# Higher Closes 462 (15.50%) 0 (0.00%)
# Lower Closes 2479 (83.19%) 1 (100.00%)

Total Gains/Losses $-1289.10 (-1.69%) $-1.25 (-1.87%)
Average True Range (4.43%) (2.31%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, January 20, 2010

Russell 3000 Daily Stats (01/20/10)

Key Figures Russell 3000 IWV
Total Active Components2980 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 10 (0.34%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 483 (16.21%) 0 (0.00%)
# Lower Closes 2454 (82.35%) 1 (100.00%)

Total Gains/Losses $-960.98 (-1.25%) $-0.68 (-1.01%)
Average True Range (3.76%) (1.85%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, January 19, 2010

Russell 3000 Daily Stats (01/19/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 41 (1.38%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 2513 (84.30%) 1 (100.00%)
# Lower Closes 416 (13.96%) 0 (0.00%)

Total Gains/Losses $1074.32 (1.41%) $0.94 (1.41%)
Average True Range (3.58%) (1.44%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, January 15, 2010

Russell 3000 Daily Stats (01/15/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 6 (0.20%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 523 (17.54%) 0 (0.00%)
# Lower Closes 2413 (80.95%) 1 (100.00%)

Total Gains/Losses $-893.97 (-1.16%) $-0.83 (-1.23%)
Average True Range (3.73%) (1.50%)

* Results are cumulative for the period.

Price verification found 0 errors

Thursday, January 14, 2010

Russell 3000 Daily Stats (01/14/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 22 (0.74%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1675 (56.19%) 1 (100.00%)
# Lower Closes 1219 (40.89%) 0 (0.00%)

Total Gains/Losses $186.24 (0.24%) $0.16 (0.24%)
Average True Range (3.14%) (0.63%)

* Results are cumulative for the period.

Price verification found 0 errors

Wednesday, January 13, 2010

Russell 3000 Daily Stats (01/13/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 24 (0.81%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 2333 (78.26%) 1 (100.00%)
# Lower Closes 591 (19.83%) 0 (0.00%)

Total Gains/Losses $760.83 (1.00%) $0.58 (0.87%)
Average True Range (3.46%) (1.43%)

* Results are cumulative for the period.

Price verification found 0 errors

Tuesday, January 12, 2010

Russell 3000 Daily Stats (01/12/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 7 (0.23%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 611 (20.50%) 0 (0.00%)
# Lower Closes 2303 (77.26%) 1 (100.00%)

Total Gains/Losses $-844.83 (-1.10%) $-0.63 (-0.94%)
Average True Range (3.48%) (1.35%)

* Results are cumulative for the period.

Price verification found 0 errors

Monday, January 11, 2010

Russell 3000 Daily Stats (01/11/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period0 0
# All-time Closing Highs 28 (0.94%) 0 (0.00%)
# All-time Closing Lows 0 (0.00%) 0 (0.00%)

# Higher Closes 1374 (46.09%) 1 (100.00%)
# Lower Closes 1524 (51.12%) 0 (0.00%)

Total Gains/Losses $58.64 (0.08%) $0.06 (0.09%)
Average True Range (3.40%) (0.82%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, January 10, 2010

Russell 3000 Weekly Stats (01/04/10-01/08/10)

Key Figures Russell 3000 IWV
Total Active Components2981 1
Total New Listings this period0 0
Total Inactive this period1 0
# All-time Closing Highs 152 (1.02%) 0 (0.00%)
# All-time Closing Lows 3 (0.02%) 0 (0.00%)

# Higher Closes 8654 (58.06%) 5 (100.00%)
# Lower Closes 5948 (39.91%) 0 (0.00%)

Total Gains/Losses $1926.54 (0.51%) $1.87 (0.56%)
Average True Range (3.62%) (0.96%)

* Results are cumulative for the period.

Price verification found 0 errors

Sunday, January 03, 2010

Russell 3000 Weekly Stats (12/28/09-12/31/09)

Key Figures Russell 3000 IWV
Total Active Components2984 1
Total New Listings this period0 0
Total Inactive this period2 0
# All-time Closing Highs 116 (0.97%) 0 (0.00%)
# All-time Closing Lows 1 (0.01%) 0 (0.00%)

# Higher Closes 4748 (39.79%) 1 (25.00%)
# Lower Closes 6827 (57.21%) 3 (75.00%)

Total Gains/Losses $-770.22 (-0.25%) $-0.70 (-0.27%)
Average True Range (2.82%) (0.70%)

* Results are cumulative for the period.

Price verification found 0 errors

Friday, January 01, 2010

David Swenson Lecture

So long 2009, Hello 2010!

Let's start the new year right with a great video refresher on long term investing by Yale Endowment hall of famer, David Swenson. It's long but well worth the view. And be sure to watch the Q&A at the end. Some highlights from the lecture:

Swenson covered 3 areas in relation to portfolio returns:
  1. Asset Allocation
  2. Market Timing
  3. Security Selection

Swenson believes Market Timing and Security Selection are actually a negative drag on returns. And Asset Allocation produce over 100% of the returns. Does a nice job explaining this.

Also covers how survivorship & backfill bias makes things seem better than they really are. I was really surprised at some of the numbers he shared on this topic. Based on Swenson's study...I would have thought survivorship bias would impact my long-term trading system's results more than they have.

The best tidbit mentioned in the video was Swenson's coverage of the differences 1st quartile managers generate versus 3rd quartile. In the bond market he found very little difference between the best managers returns and those in the 3rd quartile. But, as he drove down into the more inefficient markets...the differences between the best and the rest grew further apart. Swenson's take: spend time and energy persuing the most inefficiently priced asset classes cause great rewards in finding the top managers.

The final item I took away was from the Q&A session at the end. Swenson worries about the top down but invests from the bottom up. Identifies asset classes that are overpriced or underpriced. Extends his time horizon out 3 or 4 years. Bets big while keeping his asset allocation to the asset class at an annually reviewed level.

Well, that's it from the cold midwest where I plan to spend the first day of the new year: taking the kids to get doughnuts in the morning, hopefully watching snow fall during the day, and enjoying some great fajitas and cervezas for dinner.

Happy New Year,

MT