Went Long on the S&P 500

Flipped my position in the S&P 500 (SPY) from short to long at the today’s close. The leverage is still 1.5.

Went Long on the S&P 500

Hard to tell from the recent developments that this is the right thing to do, but I am committed to follow my systematic approach. At the close today, I flipped my position in the S&P 500 (SPY) from short to long. The leverage is still 1.5.

Weekly/Monthly Update

Tuesday’s close finally ended the short position on the SPY, which was in place since Jan 8th. With a multi-year record upside performance on the SPY, this position was obviously a huge loss – down 3.5%, 5.2% with leverage.

The SPY strategy ended January at about 0, hardly a success compared with a huge gain on the S&P 500. Still, it was a good January – the last three Januaries the strategy recorded about 5% loss each! My gut feeling is that a strong second half of December (QE setting in?) followed by a strong January is taking a toll on this (and probably other) contrarian strategy.

This pattern got me thinking that a lose stop loss may be able to keep most of the gains while reducing the pull-backs. Haven’t had positive experience with stop losses in the past, so I am still pondering what to try. Any ideas?

Went Long on the S&P 500

Flipped the long-standing short position at today’s close. The leverage is 1.5. Another painful position, more details on the weekend.

The Weekly

Monday’s close saw my first SPY trade for the year, switching from long to short. The long was quite eventful – it was established on Dec 27th, at the close, and it started with a 1.5% loss. Then the SPY went up in a ballistic manner finishing the trade with a gain of 4.6%, again including leverage.

As you may have noticed from previous posts, sometimes I exit the markets around holidays. I am glad that I decided to stay this time around.:)

Adding Comments to CSV Files

Various of my R scripts produce csv files as output. For instance, I run a lengthy SVM back test, the end result is a csv file containing the indicator with some additional information. The problem is that over time one loses track what exactly the file contained and what parameters were used to produce it.

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Went Short on the S&P 500

Flipped the position at the yesterday’s close, but forgot to post about it. The leverage is 1.5.

2012 Summary and 2013 Plans

2012 was a very important year for me. It was my first full year of trading only pure quantitative strategies. It was a very successful year as well, despite the fact that the S&P 500 returned 16% (including dividends) – a tough to beat benchmark.

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