After the recent market attempt at a pullback, like most traders/investors, I find it instructive to compare my performance vs. that of the market.
After designing the simple Fidelity Sector Rotational Strategy over two years ago, I decided to start trading it live in February. I also designed a Version 2, which I am not currently trading in real-time. The following is a year-to-date report of both versions.
First, let’s look at the top-ranked funds for both versions.
Version 1 Top Three Fidelity Sector Funds
- FSHCX Medical Delivery
- FSHOX Construction and Housing
- FDLSX Leisure
Version 2 Top Three Fidelity Sector Funds
- FSHOX Construction and Housing
- FDFAX Consumer Staples
- FSHCX Medical Delivery
Version 1 YTD (Assumed that one started trading the system on 1.3.12 based on the signal from 12.30.11).
- Net Profit = 7.54%
- Trades = 8
- Avg Profit/Loss % = 2.87
- Winners = 4
- Winner Avg. Profit %= 7.55%
- Loser Avg. Loss % = -1.81%
- Max System Drawdown = -5.16%
- Sharpe Ratio = 1.30
Version 2 YTD (Assumed that one started trading the system on 1.3.12 based on the signal from 12.30.11).
- Net Profit = 0.80%
- Trades = 12
- Avg Profit/Loss % =0.24%
- Winners = 6
- Winner Avg. Profit % = 4.06%
- Loser Avg. Loss % =-3.59%
- Max System Drawdown =-5.91%
- Sharpe Ratio = 0.12
Version 1 Equity Curve:
Version 2 Equity Curve:
SPY Buy and Hold YTD:
- Net Profit = 8.20% (Does not include commissions)
- Max Drawdown = -4.17%
The performance of Version 2 is disappointing, but that is okay as it is still in evaluation mode. We’ll give it a year or so before passing final judgment on it.
Version 1 continues to perform well, which is not surprising to me as it performed well in both backtesting and 2 years of out-of-sample data.
