June Recap

My trading was negative in June, and that’s on top of a devastating May. My SPY strategy ended up losing about 2.9% in back-testing and at some point reached about 15% drawdown. Without leverage, the loss was equivalent to the loss on the SPY – 1.9%. That’s because the strategy was long for the entire June.

For 2013, my SPY strategy is still up 3.9%, but that’s way below the almost 15% on the SPY for the same period.

In June, the Max-Sharpe portfolio was allocated 100% in the SPY, thus, ended with a loss of 1.9% as well.


  1. jon says:

    Why does this happen??? System stopped working?

    1. ivannp says:

      Telling when a system stopped working is a problem on its own. Any system has drawdowns. So far my feeling is that the system is within a normal drawdown. Hopefully I am right.:)

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