Saturday, May 05, 2012

Portfolio Performance - Apr 2012

ROI Stats
April:  Portfolio (-1.75%) vs SP500 (-0.75%).
March:  Portfolio (+3.25%) vs SP500 (+3.13%).


Trade Stats
+---------+---------+-------+--------+------+--------+--------+---------+
| Months  | Entries | Exits | Win%   | PF   | TScore | ZScore | Optf    |
+---------+---------+-------+--------+------+--------+--------+---------+
| Apr     |       2 |     2 | 50.00% | 0.42 | - 0.41 |    inf | -70.13% |
| Mar     |       6 |     7 | 71.43% | 4.06 |   1.54 |   0.68 |  53.82% |
| Last 3  |      14 |    17 | 52.94% | 0.71 | - 0.47 | - 0.99 | -21.60% |
| Last 6  |      38 |    38 | 63.16% | 1.08 |   0.18 | - 0.42 |   4.85% |
| Last 12 |      79 |    81 | 58.02% | 0.85 | - 0.56 | - 0.22 | -10.45% |
| All     |     200 |   199 | 64.32% | 1.46 |   2.07 | - 2.30 |  20.14% |
+---------+---------+-------+--------+------+--------+--------+---------+


Notes:
* PF     - average profits expected per trade:
           >  1.0: $1 invested returns > $1 (profitable)
           =  1.0: $1 invested returns   $1 (breakeven)
           <  1.0: $1 invested returns < $1 (loss).
 
* TScore - observed probability due to chance at 95% CI:
           >  1.645: not just dumb luck
           <= 1.645: dumb luck.
 
* ZScore - duration of Win/Lose streaks:
           >=  1.645: shorter duration
           <= -1.645: longer duration.
 
* Optf   - optimal percent of capital to invest:
           >  0: might be worthy to invest
           <= 0: save your money.

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