July 2013 Results

July 2013 was our second best month since inception: 15.96% versus 5.08% for the S&P 500.  This brings ytd 2013 to 92.95% (18.67% for the S&P 500) and the average monthly return to 11.95%.

As expected, we didn’t repeat last month’s 26%; but, July helps answer the question of whether our strategy can succeed in the face of a steadily gaining market.

I made an effort this month to reduce the total number of trades — about 40% fewer than last month (I’ll post on the performance page.)  I continue to try to find a balance between  trade volume and performance.

Our hit ratio was terrific this month, with over 90% of trades in the green.  But, we also suffered our first 1% loss since May: a 1.2% loss on a short position held over a weekend that was partially offset by a concurrent trade.  Fortunately, these trades have been few and far between, and we have yet to incur a negative month or even week.

But, this incident raises my interest in switching the primary focus of our forecasts to the E-mini S&P 500 contract rather than the S&P 500 index.  It’s how I intend to invest in our upcoming fund, as the e-mini offers tight spreads, minimal trading costs, and the ability to leave positions open overnight while maintaining effective stops loss orders.

The only other way to protect oneself is go to cash every night — which means lots of trades.  More on this in the coming weeks…

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The Fine Print:

  1. Represents performance of a theoretical portfolio, where SPX is bought or shorted based on signals generated by my research.  Your mileage will vary.
  2. Assumes no leverage:  100% long, 100% short or 100% cash.
  3. Prices listed reflect the index at the time tops/bottoms are called and/or trades are made and are believed, but not guaranteed, to be accurate.  Dividends ignored.
  4. MTM = marked to market.
  5. Results are since inception of pebblewriter.com on March 22, 2012.
  6. Past results are not necessarily indicative of future results.  See Disclosures and Use Agreement for important information.

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