New ATH on the Dow

Yes there was a new intraday all time high (ATH) and a new closing ATH on the Dow. NDX was up a bit on the day but totally within model expectations. So the model, which officially went short at Monday's open, remains short.

Update on model performance to date. Based on 63 real time trading days so far the model has a beta of 0.09 and alpha of 153%, Sharpe Ratio of 6.26. These values haven't changed much each day as new data comes in.... My account for only the 4 monthly data points has a beta of -0.77 and alpha of 128% (Sharpe ratio of 2.50). So that means if the market makes 10% p.a. trading like this makes 130% p.a. Still very few datapoints for that analysis. If one could trade the model perfectly with no leverage one would get 159% p.a. on that basis. For comparison, typical hedge funds have Sharpe Ratios (return/standard deviation) of 2 or so. Market indices are always lower than that. Some hedge funds have recorded 100% plus years but never for more than a year or so. The very best hedge funds would record runs of 30-40% returns. Though those are after fees so they were doing better before that.

Monthly data so far:

July

NDX: -4.18%
Model: 10.44%
Account: 13.06%

August

NDX: 4.66%
Model: 8.36%
Account: 13.19%

September

NDX: 4.71%
Model: 6.23%
Account: -4.20%

October (first two days)

NDX: -0.84%
Model: 0.84%
Account: 3.83%

So far to date:

NDX: 4.13%
Model: 28.20%
Account: 27.28%