One of the ways I justify spending my time on the MarketSci Blog is it gives me an opportunity once a month to share with readers our independently-audited trading results. Click for more information about accessing our original MarketSci strategies via a managed account, or our YK Strategy via a subscription or managed account.
YK TRADING STRATEGY
As I discussed a number of times this month, despite doing very well in real-time in all different market types, YK fell down badly when the market made an extreme divergence from history. The model had no mechanism to protect against a market moving so far beyond historical norms. We finished the month down -43.0% (vs -16.9% for the S&P 500), wiping out our gains from the previous six months.
I’ve devoted a number a number of posts to this subject; most importantly: A New Approach for Coping with Abnormal Markets. In review, we’ve developed a simple filter, not to guide entry or exits, but to gauge when the market has moved away from normal ranges (because a strategy based on norms might not be suited for that abnormal moment). This should prevent another slow-motion slide into the abyss.
Below is a graph of the YK portfolio (green) compared to the S&P 500 (red) and each of the two YK legs (S&P 500 and Russell 2000 in dotted blue) since inception, using Rydex 2x leveraged funds, based on our independently-audited results at Timer Trac.
BASED ON INDEPENDENTLY-AUDITED TRADING RESULTS
MARKETSCI TRADING STRATEGY
Because of the failure of a number of programs out there, including our own YK, in these tough times, we’ve received a number of requests from individuals to reopen our MarketSci strategies to new investors. We have done so and will continue releasing our independently-audited MarketSci returns in these monthly updates.
All of our MarketSci portfolios weathered the downturn well. Our ProFunds, Rydex, Direxion, and Unleveraged portfolios returned -4.3%, -4.2%, +0.0%, and +0.1% respectively for the month, compared to -16.9% for the S&P 500.
The MarketSci strategies have their own website: MarketSci.com. Go there to see our most up to date independently-audited returns.
SUMMARY OF ALL MARKETSCI & YK PORTFOLIOS SINCE INCEPTION
(click to zoom)
Happy Trading,
ms
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Filed under: My Performance | 2 Comments
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My email: michael @ marketsci.com (remove spaces)
Michael, when the YK curve goes from solid green to dashed, does that signify when you added the volatility filter?
RE to Wood: that’s correct (you’re good). I didn’t mention it in the report b/c it’s so small and hard to see. Will be more obvious in next month’s report and I’ll make a mention.
michael