Hello again … I started building the Livermore porfolio in March of 2010 and at year end, mark to market, it produced 17% return. Here’s some “refinements” that I made: 1) I used market timing analysis which adjusted my NDX hedge percentage throughout the period with the hedge being completely lifted as of 9/24. 2) I held 6 positions instead of 10 which gave flexibilty in 3) applying a couple more technical criterion to the “new” stock candidates 4) I rotated positions when 3 or more names fell off the list ( to reduce trading frequency ). Good luck trading everyone and thanks for publishing the list !!
We’ll see what happens going forward … Thanks for updating every week !
Pretty impressive. But, in order to better qualify the perf numbers, I am curious what was the Max DD since the index was started (12/18/2009) ?
I have a similar type of index which gives me 14% for the same period with a Max DD of -10% with only 5 stocks. But if I increase the position sizing, I can get to, for instance, 30% (your number) with a -15% Max drawdown (in the summer of 2010). So, I am curious about that. Also, is the index rebalanced weekly ?
A second question relates to the selection of Nasdaq 100. Was there a particular reason to select the components of Nasdaq 100? Why not use the S&P 500 ?
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