On 9th. April, we started a Web 2.0 experiment by
publishing an RSS Feed
and
publishing trade data to twitter
,
for an
intraday index futures trading strategy operated by our firm. This
strategy has been running in this context for approximately three months now,
and the daily performance for the trading of DJIA futures is exhibited in the
charts below. (We will exhibit the NASDAQ-100 strategy in a following post
— that variant has lost money to date.)
One can see that the system is profitable, but remains within the drawdown
it entered roughly in the middle of May. A table of monthly returns for this
model account, is given below.
| Month Ending |
Net Profit |
Return |
Cumulative |
| 04/30/2009 |
$ 7,712.54
|
8.57%
|
8.57%
|
| 05/29/2009 |
$ 1,575.10
|
1.61%
|
10.32%
|
| 06/30/2009 |
($ 2,539.16) |
(2.56%) |
7.50%
|
| 07/03/2009 |
$ 6,843.86
|
7.08%
|
15.11%
|