Performance Summaries updated

The strategies page has been updated with the out-of-sample results for the 3 strategies that have been published. Below the summary picture, there is a link to a detailed report-file containing equity chart, performance table, SPC charts and list of trades. The three strategies did not fare that well during this year. The main reason … Read more

Strategy 2 – Monthly End-of-the-Month (MEOM)

The 2nd strategy is a the Turn-on-the-Month implementation applied to a universe of 26 ETF’s. Excellent risk vs reward results are achieved, reflected by an annualized sharp ratio of 5.56. Details below. Signals of this strategy will be provided through this blog starting  end of June 2010. Strategy Concept The seasonal strategy is based on the Turn-of-the-Month anomaly. … Read more