This month,
although not obvious from the charts
shown here, has been an absolute
triumph for risk control. The
month played out very much like
December 2005 when I
finished up down by over 10%.
Fortunately, however, I had put a
number of risk management procedures
in place after that experience, and
they virtually kept me out of the
markets all this month, and saved me
a good hiding. (I keep
charts of how things would have been
without risk control measures, and I
can assure you they were not pretty this month!).
Anyway, March finished in the
black at +0.2%
Changing the subject to analysis:
for a long while now I have been
frustrated that the mode of analysis
one is forced into if you wish to
use any of the commercial
backtesting programs (TradeStation,
MetaStock, Wealth-Lab, etc) is all
'single pair' centric. Even
the products that support
portfolios, don't allow much in the
way of dynamic selection.
At long last, I have got around
to writing my own program that
approaches the issue from a totally
different direction; looking
at the market as a whole and ranking
each pair on a relative strength
basis (I use the term loosely). So far the results look very
encouraging.
I don't wish to give away too much
IP, but here's a sneak look at what
the program looks like today, although I'm sure
it will be quite different next
week.
