I have a question that is sort of mathematical. Since TNA is a 3x ETF, does that mean that the actual returns for your system would be 1/3 of those you get with TNA if you were trading SPY? In other words, if the trades were taken with SPY rather than TNA, would the current YTD% be more on the order of 13%?
Perhaps 1/3 (ish) if you were trading IWM, which is the 1x unleveraged small caps ETF. It's hard to say, though. August wouldn't have been nearly as bad without the 3x leverage, which experienced massive decay that month.
I would guess SPY results would be slightly less. Just a silly guess though. You're more than welcome to go through trade by trade and figure it out! :-D
I've got a big trading vacation coming up. Perhaps if I get bored, I'll take a stab at it.
You too. And thank you for this blog.
ReplyDeleteAnd a great weekend to you as well - thanks for your blog from Austin TX
ReplyDeleteI have a question that is sort of mathematical. Since TNA is a 3x ETF, does that mean that the actual returns for your system would be 1/3 of those you get with TNA if you were trading SPY? In other words, if the trades were taken with SPY rather than TNA, would the current YTD% be more on the order of 13%?
ReplyDeletePerhaps 1/3 (ish) if you were trading IWM, which is the 1x unleveraged small caps ETF. It's hard to say, though. August wouldn't have been nearly as bad without the 3x leverage, which experienced massive decay that month.
ReplyDeleteI would guess SPY results would be slightly less. Just a silly guess though. You're more than welcome to go through trade by trade and figure it out! :-D
I've got a big trading vacation coming up. Perhaps if I get bored, I'll take a stab at it.
Thanks all!!!!!!
I meant to add that I find it highly ethical that you didn't retrofit your results to include your new stoploss rules.
ReplyDeleteNevertheless, I was wondering how your 2011 YTD% would look had the stoploss rules been in place the entire year.
Thanks, Algyros.
ReplyDeleteI have the adjusted YTD stats on a different computer (when I was doing stop loss research back in Aug). I'll try to track it down for you.
-J
ps- Looking like a hold signal today...