Recent content by myhedgedfund

Week 11: Reducing Exposure... Trends have for the most part dissapeared, and may at best be in transformation mode. The chart below is typical of previously trending investments which have seen deteriorating trends for ~2 weeks now. Transactions for the week The deteriorating trends...

Meanreversion, Sorry for the delay in responding to your question. In short, I do not rely on one trending system only. I also use another more conservative system (not described here, maybe I'll create a separate blog on that one later this year) which combines covered call writing and...

Week 10: Well, it was just "The Quiet Before the Storm...." Funny how the market changes from week to week. It was only last week when I wrote about how it had been a quiet week for The Fund from a trading perspective, selling only one position in Week 9. This week (Week 10) the market sold...

Well... go at it boys. I am glad someone here knows that "The conceptual issue with a mean reverting system working over time is that it will have fixed profit:loss ratio. So whilst it's superficially true we should wait for a failed breakout in order to go short.":thumbsup: Please don't...

Hellokimchi, Very interesting and well thought out post... difficult to disagree with your logic, as it is based on actual experience. Your last paragraph in particular is very informative and I would like to hear more about your thoughts / ideas / proposal behind the statement. May I ask you...

Week 9: A Quiet Week... It was a quiet week for "My Hedged Fund," both from an activity and final weekly performance, although intra-weekly volatility was higher than normal. The Fund had a volatility similar to that of the SPY which ended the week up 0.11%, with an 1.7% up day and 1.7% down...

Week 8: Was this a "Head Fake"? Most trends saw a significant deterioration this past week. The "fundamental" explanation revolves around the concerns associated with the problems in oil-rich Lybia. A significant amount of the oil production coming from the area was shut down, resulting in a...

Correct Meanreversion; I expect a DD of no more than 35% as calculated from backtesting. It is actually a quite typical DD for trend-following systems, with the exception of the likes of Dunn, who have been known to experience a DD of up t0 60%, followed by expectacular returns of course (see...

Current "open to the market" risk as of today is 8.21%, meaning, the account will suffer an immediate loss of 8.21% if all technical stop-losses are hit at the same time. I track this number on a daily basis, and chart it on a weekly basis. It has been between 6.5 and 12% all year (see below).

Pictures below... http://www.trade2win.com/boards/attachment.php?attachmentid=103294&stc=1&d=1298072000

Week 7: When will the trend end? Bears are saying we're definitely over-extended, and that a correction is imminent, some bulls say this ride has barely started. While I may care about the answer, and as a true trend-follower would say, I do not have the slightest clue. Current Positions...

Investment size today would be $7,541 to be exact. I allocate investments using 2.5% of available capital; current proprietary capital in "My Hedged Fund" is $229,363, plus the use of $72,267 in marginable securities give me a total of $301,630 of available capital, times 2.5%, and there's your...

Meanreversion, I simply export the data into my computer at the end of the day, followed by a visual review of the indicators, scanning for buy / sell signals in this way. The actual task does not take more than 10-15 minutes; remember, fundamentals do not play a role here, just system...

They are listed in a format you can copy here. Some may not be classified correctly (e.g. Real Estate), but this is the list.

I do have positions in DBA (Agriculture), Grains (JJG) and Water (PHO)... see the entire position list here. Boston