August was a horrible month for equities while PDS mostly dodged the downturn.
A note about how the report is generated. The monthly statistics, %P/L and %CAR are calculated from January 4th (first trading day of 2010) to the present, NOT starting from August 2nd to August 31st. The difference is that the system may have been holding open positions going into August that affect that months performance where if one started trading the system on August 2nd (first trading day of August), there wouldn’t have been any already opened positions.
The rest of the statistics, W/L%, Avg.Trade, and Trades are calculated from August 2nd to August 31st in order to give an accurate account of one month’s performance.
Year-To-Date Performance as of 9/1/10:
YTD PDS is outperforming, but not by a wide margin. As the S&P500 has spent about half of 2010 beneath the 50 day moving average, this market is challenging for a long-only system. Furthermore, PDS requires stocks be in an uptrend in order to be considered. There simply haven’t been many stocks in an uptrend due to the market weakness, which means less opportunity for the system to profit (note the exposure percentages which show that the system has spent a lot of the year with cash not invested).
For those not familiar with the system, the different models (1% Risk, 10% Stop) do not represent different rules for the system but rather different methods for betting on its stock picks.
The system closed its last open position today (for a win) and is awaiting a pullback in the broader markets to generate some dips.