BUY signal the
week of 2.21.12 at $35.91 (adjusted for 4.18.13 4:1 stock split). My first stop was $27.13, so my risk
(R)/share was $8.78.
Closed Friday at $42.33 with a $38.00 stop. My new stop for the coming week is $38.10.
The percentage gain on this trade is +17.9%, and the reward-to-risk ratio is +$6.42/$8.78 = +0.73.
Compound Annual Growth Rate (CAGR): +28.2%
Alpha% (weekly): +0.52%
Sharpe Ratio (weekly): +0.1312
More bells and whistles!
I added alpha% calculations the last time around because I want to compare the weekly performance of my trades against the benchmark S&P 500 Index.
Now I'm adding a weekly Sharpe Ratio (which I've actually calculated for years) because I like to objectively rank all of the stocks that I trade and/or follow from first to worst in terms of reward and risk. Basic portfolio optimization.
I've started to factor Sortino Ratios into the mix as well (differs from Sharpe in that it only calculates standard deviation below a minimum required rate of return), but let's stick with one new thing at a time for the sake of this blog.
Here are my calculations for alpha% and the Sharpe Ratio:
Total # of weeks (5 trades): 368
Mean Trade Returns (weekly): +0.75%
Mean S&P 500 Returns (weekly): +0.16%
Standard Deviation (weekly): 5.74%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.39
Alpha% (calculation): +0.52%
Sharpe Ratio (calculation): +0.1312
Closed Friday at $42.33 with a $38.00 stop. My new stop for the coming week is $38.10.
The percentage gain on this trade is +17.9%, and the reward-to-risk ratio is +$6.42/$8.78 = +0.73.
History (beginning in 2004 and adjusted for 4.18.13 4:1 stock split):
Winning Trades: 4 | 80.0% | +$8.12/share avg.
Losing Trades: 1 | 20.0% | -$0.17/share avg.
Average Trade: +66.9% | +$6.46/share | Reward-to-Risk (R): +1.96Compound Annual Growth Rate (CAGR): +28.2%
Alpha% (weekly): +0.52%
Sharpe Ratio (weekly): +0.1312
More bells and whistles!
I added alpha% calculations the last time around because I want to compare the weekly performance of my trades against the benchmark S&P 500 Index.
Now I'm adding a weekly Sharpe Ratio (which I've actually calculated for years) because I like to objectively rank all of the stocks that I trade and/or follow from first to worst in terms of reward and risk. Basic portfolio optimization.
I've started to factor Sortino Ratios into the mix as well (differs from Sharpe in that it only calculates standard deviation below a minimum required rate of return), but let's stick with one new thing at a time for the sake of this blog.
Here are my calculations for alpha% and the Sharpe Ratio:
Total # of weeks (5 trades): 368
Mean Trade Returns (weekly): +0.75%
Mean S&P 500 Returns (weekly): +0.16%
Standard Deviation (weekly): 5.74%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.39
Alpha% (calculation): +0.52%
Sharpe Ratio (calculation): +0.1312
No comments:
Post a Comment