Friday, March 23, 2007

February Newsletter performance

February demonstrated an entirely different picture to last month's performance review. Under normal circumstances my newsletter performance is based on suggested stop and targeted prices, but this review looks at a fixed risk and 3:1 reward to risk. The overall return saw substantial pain on the 8% risk with an overall return of -4.54% per trade. Best performance came on 2% risk with an average return of +0.84%.

Breaking the performance by Subscriber stocks and Free picks saw a slight edge for the Subscriber picks, with the exception of 2% risk where the Free picks significantly outperformed.

Technicals were mixed. The MACD trigger 'buy' signal underperformed stocks where the MACD signal was given. Twenty-six percent (26%) of the stocks had a MACD trigger 'buy':

Whereas an on-balance-volume breakout saw improved performance across the board. Sixty-five (65%) of stocks were supported by a resistance breakout in on-balance-volume:

Seventy-nine (79%) of stocks were trending (ADX > 20) when featured. Buy the performance of those picks was not as consistent as it was for January. There was slight performance advantage for 1% and 2% risk, but significant underperformance at 5% and 8% risk.

The combination of signals was scrappy, although in many instances the number of stocks in each group was low (with the exception of the ADX and OBV breakout combo). The no signal performance of 5% risk gave the best overall return of 3% per trade. The two best performances perhaps came from the MACD trigger 'buy' in combination with an on-balance-volume breakout, and an on-balance-volume breakout in the absence of other signals. Worst performance came from a MACD trigger 'buy' in combintation with a trending stock (ADX > 20). The latter performance may be explained by the relative mixed signal of this combination; in order for a MACD trigger 'buy' to be given it involves a reversal of a prior downward trend (as per the EMA's from which the MACD is derived), the ADX at the time of the new 'buy' trigger is measuring the strength of that (likely down) trend. What it suggests is trend strength overules the short term benefit of an uptick in EMAs (which give the MACD trigger 'buy'). It is still early days, but I will keep my eye on this.