As we noted in the previous post, on
(almost) the first quarter's trading for DJIA Index Futures , we have
also been trading NASDAQ-100 futures under a variant of the same strategy, and
also publishing that trade data to
Twitter
,
for the same period.
One can see that the system is unprofitable, and remains within the drawdown
it entered roughly in the middle of April. A table of monthly returns for this
model account, is given below.
| Date |
Net Profit |
Return |
Cumulative |
| 04/30/2009 |
$ 4,224.20
|
4.48%
|
4.48%
|
| 05/29/2009 |
($ 14,338.60) |
(14.56%) |
(10.73%) |
| 06/30/2009 |
($ 7,541.00) |
(8.96%) |
(18.73%) |
| 07/07/2009 |
$ 2,528.00
|
3.30%
|
(16.05%) |