## Tuesday, August 14, 2012

### Portfolio Performance - July 2012

ROI Stats
July:  Portfolio(+1.18%) vs SP500(-6.27%)
June:  Portfolio( 0.00%) vs SP500(+3.96%)
May:   Portfolio(-0.76%) vs SP500(+1.26%)

+---------+---------+-------+---------+------+--------+--------+--------+
| Months  | Entries | Exits | Win%    | PF   | TScore | ZScore | Optf   |
+---------+---------+-------+---------+------+--------+--------+--------+
| Jul     |       2 |     1 | 100.00% |  inf |    inf |   0.00 |    inf |
| Jun     |       0 |     0 |   0.00% | 0.00 |   0.00 |   0.00 |  0.00% |
| May     |       5 |     6 |  66.67% | 1.46 |   0.41 |   1.94 | 21.13% |
| Last 3  |       7 |     7 |  71.43% | 1.68 |   0.61 |   1.75 | 29.01% |
| Last 6  |     111 |   116 |  61.21% | 1.10 |   0.39 | - 1.10 |  5.36% |
| Last 12 |      60 |    60 |  60.00% | 0.90 | - 0.29 |   0.19 | -6.50% |
| All     |     207 |   206 |  64.56% | 1.46 |   2.14 | - 2.10 | 20.40% |
+---------+---------+-------+---------+------+--------+--------+--------+
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: shorter duration
=  0:     might be worthy to invest

* 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.