George II - Results (2009)

January 2009

ES: 14.5 pts with 4 trades of which 2 were winners
YTD: 14.5 pts with 4/2 trades.

Not a bad start of the year ...

February 2009

ES: -15.5 pts with 6 trades of which 1 were winners
YTD: -1.0 pts with 8/3 trades.

Well, not as good as we would like it to be, but still only a very small dip in the equity curve for the year, measured monthly.

March 2009

ES: 38.25 pts with 7 trades of which 3 were winners
YTD: 37.25 pts with 15/6 trades.

Now, that's what we like and the first quarter closes up quite decisively too ...

April 2009

ES: 7.5 pts with 3 trades of which 2 were winners
YTD: 44.75 pts with 18/8 trades.

Not bad ...

May 2009

ES: 13.5 pts with 8 trades of which 3 were winners
YTD: 58.25 pts with 26/11 trades.

Now, that's quite nice. We are likely to post another winning quarter. Since the system does not trade often, the proper time units to measure its performance are quarters rather than months. Actually, a unit that consists of 4-6 months would be even more appropriate.

June 2009

ES: -12.75 pts with 7 trades of which 1 were winners
YTD: 45.50 pts with 33/12 trades.

Well, not the best of months, for sure, but not the worst this year either and there is some hope we will post a better result in July.

July 2009

ES: 7.75 pts with 9 trades of which 3 were winners
YTD: 53.25 pts with 42/15 trades.

Another good month, could have been better, but the market was not particularly cooperative.

August 2009

ES: -28.25 pts with 10 trades of which 2 were winners
YTD: 35.0 pts with 52/17 trades.

Summer months, when congestion increases, can be nasty, especially for a simple system like that.

September 2009

ES: -5.0 pts with 7 trades of which 2 were winners
YTD: 30.0 pts with 59/19 trades.

Well, we almost broke even, but the last day of the month wiped it out. Tough ...

October 2009

ES: 15.25 pts with 10 trades of which 7 were winners
YTD: 45.25 pts with 69/26 trades.

Finally, some good news and a large number of winners too.

November 2009

ES: -4.25 pts with 5 trades of which 2 were winners
YTD: 41.0 pts with 74/24 trades.

An okay month, even if slightly losing.

December 2009

ES: -22.25 pts with 5 trades of which 1 were winners
YTD: 18.75 pts with 79/25 trades.

December was very congested, so this result should not come as a major surprise. Despite its incredible simplicity, this is not a bad system for markets with decent volatility, as the second half of 2008 and the first half of 2009 showed. Unfortunately, volatility decreased quite a bit in the second half of this year, so the final outcome has deteriorated too. 

In 2010, I will either return to Russell 2000, in which this system had two winning years in a row in the recent past, or I may change the system parameters to make it more competitive for ES. Or I will simply stop updating it. It has always been mainly an educational system, one of the simplest and fully mechanical systems you can think of and yet profitable in a reasonably volatile market.