1 Attachment(s)
Summary Results - May 7 to Sep 28, 2013
Hi-
Here are the monthly and total result since I started May 7. This is a summary of the data published in this thread.
Total returns from close-to-close is +21.4% & open-to-close +15.5% vs SPY close-to-close +4.9%
The end of month (EOM) data is called out in yellow.. note the LEV Leaders generally outperformed SPY each month.
[ATTACH=CONFIG]20069[/ATTACH]
No accommodation is made for market direction, i.e. the algo is always running. I adjusted for the Sep 20 SPY dividend.
Shawn
ps: close-to-close appears to outperform open-to-close, but we will continue to monitor. Note, a rolling 5d portfolio that holds 80% of the portfolio overnight would likely capture most of the close-to-close benefit, if there is one.
1 Attachment(s)
LEV Leaders - Sep 30 Performance
Hi-
Results for Mon, Sep 30, 2013:
[ATTACH=CONFIG]20098[/ATTACH]
Shawn
PS: there were 8 unique names in the portfolio for Mon, Sep 30 - this is the lowest I have noted so far..
1 Attachment(s)
LEV Leaders - Oct 1 Performance
Hi-
Results for Tu, Oct 1, 2013:
[ATTACH=CONFIG]20124[/ATTACH]
Shawn
1 Attachment(s)
LEV Leaders - Oct 2 Performance
Hi-
Results for Wed, Oct 2, 2013:
[ATTACH=CONFIG]20153[/ATTACH]
Shawn
1 Attachment(s)
LEV Leaders - Oct 3 Performance
Hi-
Results for Th, Oct 3, 2013
[ATTACH=CONFIG]20196[/ATTACH]
Shawn
1 Attachment(s)
LEV Leaders - Oct 4 Performance
Hi-
Results for Fri, Oct 4, 2013
LCI -14% on its secondary announcement was a major drag on performance, but LEV Leaders still finished well above the major ETF benchmarks on Fri.
[ATTACH=CONFIG]20206[/ATTACH]
Take care,
Shawn
1 Attachment(s)
LEV Leaders - Oct 8 Performance
Hi-
[ATTACH=CONFIG]20296[/ATTACH]
Take care,
Shawn
1 Attachment(s)
LEV Leaders - Oct 9 Performance
Hi-
20d MF is on a Sell Signal.
In the future, I will publish data that assumes that during Sell or Cash signals that this model goes to cash and compare those results to continue to trade these names in adverse market conditions. In this way, we can measure the comparative advantage of sitting out general market downtrends.
The results for Wed, Oct 9, 2013:
[ATTACH=CONFIG]20315[/ATTACH]
Shawn
1 Attachment(s)
LEV Leaders - Oct 10 Performance
Hi-
Performance for Th, Oct 10, 2013 (20d MF is on a short signal):
[ATTACH=CONFIG]20336[/ATTACH]
BZ and MOLX were removed b/c they were acquired. I try to avoid merger targets in the LEV Leaders b/c their price most usually do not move up or down much. I missed these 2, but will correct that here.
Shawn
1 Attachment(s)
LEV Leaders - Oct 11 Performance
Hi:
Results for Fri, Oct 11, 2013
[ATTACH=CONFIG]20345[/ATTACH]
Shawn