## Sunday, November 25, 2012

### Portfolio Performance - October 2012

ROI Stats
Oct:  Portfolio(+1.97%) vs SP500(-1.98%)
Sep:  Portfolio(-4.53%) vs SP500(+2.42%)
Aug:  Portfolio(-1.26%) vs SP500(+1.98%)

+---------+---------+-------+--------+------+--------+--------+---------+
| Months  | Entries | Exits | Win%   | PF   | TScore | ZScore | Optf    |
+---------+---------+-------+--------+------+--------+--------+---------+
| Oct     |       7 |     7 | 71.43% | 4.99 |   1.47 | - 0.38 |  57.12% |
| Sep     |       4 |     6 | 33.33% | 0.51 | - 0.72 |   0.88 | -32.27% |
| Aug     |       8 |     5 | 40.00% | 0.37 | - 0.84 |   0.11 | -66.78% |
| Last 3  |      19 |    18 | 50.00% | 1.00 |   0.01 | - 0.24 |   0.20% |
| Last 6  |      26 |    25 | 56.00% | 1.18 |   0.34 |   0.49 |   8.54% |
| Last 12 |      65 |    68 | 57.35% | 0.92 | - 0.25 | - 0.19 | - 4.77% |
| All     |     226 |   224 | 63.39% | 1.43 |   2.09 | - 2.09 |  19.03% |
+---------+---------+-------+--------+------+--------+--------+---------+
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.