New BUY signal the
week of 7.29.13 (Friday) at $462.54. My initial stop is $393.59, so my risk
(R)/share is $68.95 (14.91%).
That probably seems like a very wide stop, but my Value at Risk (VaR) calculation (at a 99% confidence level) is -10.10% ($46.74), and my Worst Actual/Historical Weekly Drawdown is -19.43% ($89.87), so 14.91% ($68.95) actually sounds about right.
At least to me it does.
History (beginning in 2003):
Compound Annual Growth Rate (CAGR): +55.0%
Sortino Ratio (annualized): +2.36
Omega Ratio: 1.74
Sortino and Omega Ratio calculations:
Total # of weeks (4 trades): 431
Mean Trade Returns (weekly): +1.08%
Mean S&P 500 Returns (weekly): +0.20%
Excess Trade Returns (weekly): +0.88%
Downside Deviation (weekly): +2.70%
Sortino Ratio (calculation): +2.36
Cumulative Gains %: +894.47%
Cumulative Losses %: -514.16%
Omega Ratio (calculation): 1.74
That probably seems like a very wide stop, but my Value at Risk (VaR) calculation (at a 99% confidence level) is -10.10% ($46.74), and my Worst Actual/Historical Weekly Drawdown is -19.43% ($89.87), so 14.91% ($68.95) actually sounds about right.
At least to me it does.
History (beginning in 2003):
Winning Trades: 3 | 75.0% | +$203.20/share avg.
Losing Trades: 1 | 25.0% | -$12.10/share avg.
Average Trade: +274.8% | +$149.38/share | Reward-to-Risk (R): +11.14Compound Annual Growth Rate (CAGR): +55.0%
Sortino Ratio (annualized): +2.36
Omega Ratio: 1.74
Sortino and Omega Ratio calculations:
Total # of weeks (4 trades): 431
Mean Trade Returns (weekly): +1.08%
Mean S&P 500 Returns (weekly): +0.20%
Excess Trade Returns (weekly): +0.88%
Downside Deviation (weekly): +2.70%
Sortino Ratio (calculation): +2.36
Cumulative Gains %: +894.47%
Cumulative Losses %: -514.16%
Omega Ratio (calculation): 1.74
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