My results for May 2007:

# closed winning trades : 1

# closed losing trades : 11

Net monthly profit (loss)% : -41.5%

Last equity peak : April 11th, 2007

Well there it is, in all it’s glory. The performance chart has been updated to show the full extent of Cable Glider I’s roller coaster ascent and descent. It’s successor begins trading this month, but today it could find no trades to take with the volatility surrounding the monthly employment figures released this morning.

Incidentally, I am on an eleven trade losing streak. The system itself is only on a 6 trade losing streak but it is in fact the longest losing streak, and deepest drawdown in percentage terms and time duration.

The new system is only slightly different than the old one, and has shown somewhat shallower drawdowns; additionally, my effective amount of leverage employed has been reduced due to the expense buffer that I set up last week. The buffer has an interesting anti-martingale effect…if the drawdown continues, the effective leverage keeps decreasing…the risk capital will decline, but the buffer will remain constant, lowering effective leverage. As the system comes out of the drawdown, the effective leverage will increase, but it can never equal the leverage employed by the old system unless the buffer is exhausted.

In the interest of showing how I manage my risk capital and living expense buffer together, I will report percentage returns for the combined capital pool. This mirrors the way that mutual fund companies report their returns, including the cash they are holding, and net of their expenses.

It isn’t always pretty, but I’m hoping that the capital reserves that I’ve set up will prove to be enough to weather this storm.