Some Trade Analysis

A client of ours recently asked us to provide some detail on how successful we had been with the different types of trades we look to take in the Growth S&P Plus portfolio.  This had been on the to-do list for some time, but this request quickly elevated it in the list.  For purposes of this discussion, we’ll break the trades down into 3 categories, as described below:

1) Core Long/Short Signals - These signals are the base of the system and are the signals which the Growth S&P Plus portfolio shares with the Growth S&P Timing portfolio.  These trades are based on our proprietary analysis of market trend.

Core Long Roundtrip Trades = 133
Core Long Trades Profitable = 91
Core Long Winning %age = 68.42%

Core Short Roundtrip Trades = 45
Core Short Trades Profitable = 28
Core Short Winning %age = 62.22%

2) Overbought Signals - These trades, in addition to the Oversold Signals, are the trades which distinguish the Growth S&P Plus portfolio from the Growth S&P Timing portfolio.  When the S&P 500 exhibits conditions which have historically been associated with a subsequent short term pullback, the portfolio takes a short (inverse) position.  There are 2 types of overbought setups that we look for.

Overbought (Setup 1) Roundtrip Trades = 7
Overbought (Setup 1) Trades Profitable = 6
Overbought (Setup 1) Winning %age = 85.71%

Overbought (Setup 2) Roundtrip Trades = 27
Overbought (Setup 2) Trades Profitable = 18
Overbought (Setup 2) Winning %age = 66.67%

Overbought Roundtrip Trades (Total) = 34
Overbought Trades Profitable (Total) = 24
Overbought Winning %age (Total) = 70.59%

3) Oversold Signals - These trades, in addition to the Overbought Signals, are the trades which distinguish the Growth S&P Plus portfolio from the Growth S&P Timing portfolio.  When the S&P 500 exhibits conditions which have historically been associated with a subsequent short term rally, the portfolio takes a long position.  There are 2 types of oversold setups that we look for.

Oversold (Setup 1) Roundtrip Trades = 18
Oversold (Setup 1) Trades Profitable = 17
Oversold (Setup 1) Winning %age = 94.44%

Oversold (Setup 2) Roundtrip Trades = 11
Oversold (Setup 2) Trades Profitable = 9
Oversold (Setup 2) Winning %age = 81.82%

Oversold Roundtrip Trades (Total) = 29
Oversold Trades Profitable (Total) = 26
Oversold Winning %age (Total) = 89.66%

Totals

Total Roundtrip Long Trades = 162
Total Long Trades Profitable = 117
Total Long Trade Winning %age = 72.22%

Total Roundtrip Short (Inverse) Trades = 79
Total Short (Inverse) Trades Profitable = 52
Total Short (Inverse) Trade Winning %age = 65.82%

Total Portfolio Roundtrip Trades = 241
Total Portfolio Trades Profitable = 169
Total Portfolio Trade Winning %age = 70.12%

A couple things - Firstly, this breakdown reflects only those trades which were actually taken in real time in an actual account, through the market close on April 8, 2008.  This does not include backtested results.

Secondly, winning trade percentage is only one side of the coin.  The other side of the coin looks at how right we are when we are right vs. how wrong we are when we are wrong.  Who cares if we are right 70% of the time if our losers are greater than our winners by a full order of magnitude? 

Our next entry on the site will take a look at that data, as it relates to the Growth S&P Plus.  From there, we will be able to walk through the concept of Expectancy, using the Growth S&P Plus as a case study.