A previous post discussed my embracing of quantitative analysis and presented an end of year update. The system is now over a year old and I thought it would be appropriate to revisit the system and see how it has been doing over the last year.

*To see what the system is holding at any time (along with delayed quotes) consult the side bar for a list of current holdings.

Over the whole year, I have tweaked the system about 3 times. I have also started using walk forward analysis to tune the system parameters. My plan is to re-optimize yearly based on the prior 2 years worth of data. This interval seems to be effective in optimizing the parameters.

Results

The system was begun on May 23, 2007 and has performed quite well!

Performance from May 23, 2007 – June 1, 2008:

System 23%
S&P/TSX Composite index 4%

As one stock pundit would say, that’s better than a sharp stick in the eye. I’m glad that the system has done well but the effect of luck on a short sample size cannot be discounted. Translation: it’s better to be lucky than good. I hope that over the years I can be both.

Winners and losers are even at 50% each which is inline with historical testing. POT has been the biggest winner by far (up more than 150%) followed by TIM which has doubled. Although to be fair, I did get stopped out of TIM for a 20% loss prior to the big gain. The worst performer of the first year was VNX with a loss of 29%.

Categories: Finance
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