|
PureBytes Links
Trading Reference Links
|
I used the 10% figure as a hypothetical example. It's not the return I
get from my systems, or the return any of the other systems developers
I was refering to normally average.
For the sake of discussion, I didn't think it necessary to publish
actual trading returns, but that a simple example would do for
purposes of illustrating how much good money management techiques can
improve a return.
I can see I was mistaken in thinking a hypothetical example would be
good enough for discussion.
In March 2005 issue of Futures magazine they did an article discussing
the trading results of the top traders for 2004. They had two groups
separated by the amount of capital they manage. Over five years, only
a couple of them in either group averaged more than 31.74%. I'm in the
second group and until I read your comments I was was very pleased
with my annual performance compared to my peers. However, after your
explanation I'm giving up trading altogether. There is no reason to do
it.
While I am aware of the seasonal bias, on a risk adjusted basis, your
31.74% average return over, I believe, 10 years while being in the
market only six months per year is better than I can do in six months.
I've read a lot of seasonal data studies, including a number of them
done by Yale Hirsch, and I don't remember that kind of return, but
I've probably overlooked something.
Even though I don't trade with complex algorithms, mostly just price
and volume, I'm wasting my time.
I thought the best buy and hold book I had read was William
Bernstein's The Four Pillars Investing. I'm gong to rethink what I
learned from him. In his first book, The Intelligent Asset Allocator,
he did a fairly rigorous mathematical analysis of LTBH, and didn't
reach the same conclusions that you have. His asset allocation models
only yielded around 11% over the long term. Based on what you are
saying, he, unfortunately, has mislead me substantially. I will
correct that.
I will apply myself more dilligently to the seasonal data, and find
away to use it to achieve the results you've quoted with only one
round trip per year.
I suggest others do the same. You have not killed my joy, you've only
blown it up beyond my expectations with the possibilites I can now see
ahead of me. My eyes have been opened.
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|