Results since last update (2 weeks):
Cable Glider — 0 wins , 1 loss, 1 scratch (partial loss)
Euro Ranger — 2 wins, 0 losses
Darth Fader — 0 wins, 0 losses
Cable Glider is now the system with the deepest current drawdown. I took a loss early last week, and scratched another loser before it could reach my stop loss. Cable Glider is a filtered trend following system, and it had an extremely hard time. In fact, this month’s loss was the system’s worst ever. I managed to dodge a good portion of those losses with manual overrides though. This month’s loss in the Cable Glider snaps a 5 month winning streak for this iteration of the system.
The Euro Ranger system went 2 and 0 in the last two weeks and showed a profit for the month. In January, the system showed a net loss for the first time since December 2006.
Darth Fader was idle. It would look to sell strength in the stock futures, and there’s been almost no strength whatsover in the last couple of weeks, as the market has fallen to fresh 11 year lows.
My actual results trading the Troika systems in February was a positive 2.1%. My actual trading return year to date is positive 9.0%
I don’t have much to report on the systems development front. Although the Darth Fader system has done well for me so far in the S&P futures, I keep tinkering with alternative ideas. It seems I’m leaving a lot of opportunity untapped…
Results since last update (3 weeks):
Cable Glider — 0 wins , 1 loss, 1 scratch
Euro Ranger — 0 wins, 1 loss
Darth Fader — 1 win, 0 losses
The currency systems are both continuing to struggle. I scratched a trade last night in the Cable Glider and pretended to be a scalper there for an hour or so, netting a total of 14 pips on 5 scalp trades…going 4 wins and 1 loss. The loss came last and nearly wiped out my gains. Maybe someday I can add scalping to the mix, but I was really just playing around last night. It’s funny just how much it got my adrenaline going. I should probably stick to systematic position trading if I want more profits than adrenaline.
This is a short month, and the currency systems have only 3 more trading days this month where they will be active.
Darth Fader netted 40+ S&P points on the short side from yesterday to today. But in fact, I completely missed a chance to get short last week at 871, then I got another chance to enter at that price yesterday. An updated backtest shows that I should be setting my take profit points tighter on the S&P trades, and if I had had that in place, I think I would have netted another 5% or so last week as the market swooned downward, completely recovered, and then re-swooned.
So then, that one actual S&P gain, combined with a couple of dodged currency trade losses, have landed me in a position of being up 1.1% for the month of February, and up 8.0% year to date, at a new high for the year.
The tracking error between my actual equity curve and the walk-forward equity curve is pretty large. The systems are showing a 4.6% year to date gain, with a lot more weekly volatility than I’ve actually experienced. I”m sitting at a new high with Troika, but my walk-forward numbers are showing the DESword currency system in roughly a 12% drawdown, with Troika in a 6% drawdown altogether.
It feels like I should be very careful now; DESword hasn’t seen this kind of drawdown since 2005…if it weren’t for all of bullets I’ve dodged, I’d be right there with it.
