Saturday, December 24, 2011

Portfolio Performance - November 2011

November 2011
# of Entries...........5
# of Exits.............2


Portfolio's ROI......+ 0.66%
Market's ROI.........- 0.51%

Another less than stellar month for the portfolio. Even though we sneaked in a win over the was not enough to write home about.

What this portfolio needs more than anything is a big winner to close out the year. But, time is definitely running out on that option.

That's probably the most difficult part of trading the system in the back half of 2011 - the lack of big winners. The long-only system had the uncanny ability to miss almost all of the huge upside moves and catch most of the downside ones. Despite its penchant for missing the upside - the portfolio has hung in there and weathered a very volatile market environment.

I will add the following goals for 2012:

  • Explore a market direction filter for the system. I've exhausted many of the common ones already. But, believe there may be some value in a breadth reading of all market instruments. Possibly like the Breadth Ratio but instead of volume using ATR. Similar to the Vortex Ratio. Another idea is to utilize the correlation reading of all market instruments to ascertain the investing environment.

  • Determine if certain sectors are good or bad for the system. Over the past year I have observed the Pharmaceuticals and Oil & Gas sectors have not faired so well with the system.

  • I still have not analyzed earning announcements and their possible impact on the system. This is a must to-do for 2012.

That's it from the cold Midwest - where I'll spend the day smoking 2 Texas Dr. Pepper briskets. We'll use one of them for Tex-Mex tonight and the other for BBQ sandwiches tomorrow. Can't wait.

I wish everyone a very Merry Christmas and a Happy New Year!

Later Trades,