The system closed today up 5.3% for March.
$SPY returns during same period are 2.4%.
In the past, this system has tended to gain on the major indices when the indices were in steep drawdowns and the system is in cash. It is interesting to see it outperform simply by holding sectors that are outperforming the indices (mainly transportation).
For 2013 the system is up 9.9% 11.55%. Over the same period $SPY is up 6.7% 9.42%.
I have not included commissions or slippage as there are neither associated with trading these Fidelity funds.
I have a Fidelity account. Can I make the appropriate trades by simply following your periodic updates under this heading?
Or is it necessary for me to make the calculations myself?
Thanks.
Right now I’m not publishing enough of the updates in order for you to be able to trade it accurately. You would need to make the calcs yourself. I am considering taking it to subscription. I have over 1 year of real-time trading and 3 years of out-of-sample performance data.
Thanks. I’d be interested in subscribing.
YTD total return for SPY is 9.9%
Blink, you are correct. I had inadvertently started on the first trading day of 2013 rather than the close of 12.31.13. This gives $SPY a YTD of 9.42%.
The good news is that I did the same thing with the Fidelity system YTD. Starting it from the close of 12.31.12 gives a YTD of 11.55%.