Sell 140 T-Note10YR
Buy 150 AU10YR
Closed out Position at max stop loss $200,000
Sell 220 eminiSPX500 @ 1633.71
Buy 177 RUT2000 @ 1011.85
Convergence 0.39% or $76,688 profit
Sell 121 DIJA$10 @ 14817
Buy 177 RUT2000 @ 1011.85
Convergence 0.29% or $57,436 profit
Sell 59 Nasdaq100 @ 3079
Buy 177 RUT2000 @ 1011.85
Convergence 1.25% or $249,901 profit
Sell 121 DIJA$10
Buy 59 Nasdaq100
Closed out Position at max stop loss $200,000
Sell 121 DIJA$10 @ 14817
Buy 220 eminiSPX500 @ 1634.61
Divergence -0.19% or $37,800 loss
Fictitious Hedge Fund using Stat Arb to try to outperform the worlds best Hedge Fund Managers.
* Performance (Initial FUM $20m):
Year 1: 23.8% return
(1/23/2012 - 1/22/2013)
FUM $24.8m - 73.1% win rate from 104 trades
Year 2: 3.7% return
(1/23/2013 - 1/22/2014)
FUM $25.675m - 63.64% win rate from 66 trades
Friday, August 30, 2013
Tuesday, August 20, 2013
Open Position (5)
Buy 220 eminiSP @ 1653.35
Sell 177 RUT2000 @ 1027.91
Buy 59 NASDAQ100 @ 3089.5
Sell 177 RUT2000 @ 1027.91
Buy 121 DIJA$10 @ 15009.7
Sell 177 RUT2000 @ 1027.91
Buy 121 DIJA$10 @ 15009.7
Sell 59 NASDAQ100 @ 3088
Buy 121 DIJA$10 @ 15009.7
Sell 220 eminiSP @ 1652.75
Thursday, August 1, 2013
Close Position (2)
Sell 177 RUT2000 @ 1057.73
Buy 60 NASDAQ @ 3113.6
Loss of $62,935
Open Existing Positions:
Buy 140 T-Note10YR @ 126.731
Sell 150 AU10YR @ 96.235
Buy 60 NASDAQ @ 3113.6
Loss of $62,935
Sell 220 SPX200 @ 1701.01
Buy 120 DIJA$10 @ 15625
Profit of $18,413Buy 120 DIJA$10 @ 15625
Open Existing Positions:
Buy 140 T-Note10YR @ 126.731
Sell 150 AU10YR @ 96.235
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