Tuesday, January 06, 2009

15-year Trading stats

The Stock Trends TSX Portfolio has been active for 15-years now. Last year was a losing year, with losses totaling about 20% on average investment. Trading activity was low, reflecting the bearish market conditions, and helped avoid the market downturn to some extent. By comparison the S&P/TSX Composite Index dropped 35%. The lifetime annualized return on investment of ST Portfolio, though, remains at 40%.

The following table provides some pertinent trading statistics for the trading strategy:


ST TSX Portfolio Trading Startegy Trade Analysis

Total Gain: $ 240,164 607%
# of weeks: 788
Total # of trades: 419
Winning Trades: 169
Losing Trades: 250
Winning %: 40%
Average # of weeks each position held: 7.5
Average # of positions held each week: 4.0
Average Gain: $ 2,922 29%
Average Loss: $ (1,015) -10%
Average Investment: $ 39,566
Average trade: $ 10,000
Maximum Drawdown (%): -34.2
Largest Gain $: 40,880 409%
Largest Loss $: (3,542) -35%
Maximum losing trades in Succession: 12

Losing Runs Frequency

2 losers in a row: 22
3 losers in a row: 11
4 losers in a row: 9
5 losers in a row: 4
6 losers in a row: 1
7 losers in a row: 2
8 losers in a row: 1
9 losers in a row: 0
10 losers in a row: 3
11 losers in a row: 1
12 losers in a row: 1


Sharpe Ratio: 5.2

Martin Ratio:4.2

Ulcer Index: 9.2

Profit factor: 1.95

Pessimistic Return Ratio: 1.92








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