I found this linked to my blog here this morning, so I checked it out: http://bit.ly/brK4at.It was requested by some reader on CXO Advisory, so I am guessing it’s probably a hater that wanted to try to “get me”. Sorry buddy, but you failed. Here are some excerpts:
“Residual data constitutes 109 trades (a little over three per trading day) composed of 294 transactions (an average 2.7 transactions per round-trip trade) because of scaled exits. Of these trades 102 (7) are long (short). AIG is a favorite trading vehicle (29 of the 109 trades).”
“The following chart displays the gross profitability distribution for all 109 trades. The average gross return per trade is 1.24%, and the median gross return per trade is 0.29%. The standard deviation of gross trade returns is 4.81%. On average, trades are profitable so long as transaction fees are less than 0.46% of trade value (1.24% average gross return per trade divided 2.7 transactions per trade).”
“In summary, evidence from simple tests on a sample of limited duration indicates that John Lee’s trades are profitable so long as trade size is reasonably large (so that transaction fees are percentage-wise small). Estimating portfolio-level performance would require additional assumptions and modeling.”
“Another trader trying to follow John Lee’s trades would face timing issues (substantial execution lag compared to typical holding period) and would have to set a cash allocation rule (holding cash in reserve for potential new trades).”
If you are going to follow me, I suggest that you learn the way I trade. Execution, cutting losses, and position-sizing are absolutely critical. If you are following, notice how my trades last for only a few minutes. I you are not quick, you are dead. Also, notice the number of break-even trades? I have this way of defensively and aggressively cutting losses and I never ignore my rule. I also encourage everyone to build a profitable system (the one audited above was for my day trading strategies, I believe), instead of trying to find the holy grail. And yes, I do LOVE AIG, it is my favorite trading vehicle…but you guys already knew that.
Good luck trading this week!If you enjoy the content at iBankCoin, please follow us on Twitter