Wednesday, October 17, 2018

Results for the S&P 500

These are the results of the year to date for the S&P 500 model, again without stops. As volatility is lower than the NASDAQ index, returns are lower but are still very good:

Alpha       0.47948 Beta      -0.22355 ror       0.46115 Sharpe       2.62376

Again these are annualized values. Annualized rate of return is 46% for this year.

I've now written all the code including stops for NQ and ES. Stops only detract a little from performance for ES but quite a bit for NQ. This suggests that we should use wider initial stops, just to avoid catastrophe, rather than to get out of ordinary bad trades.

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