End of Month Strat: Summary
Dates: Avg %: % prof: Ds:
Dec 16 - Jan 3 2.2%++ 78%++ 16-18
Jan 26 - Feb 4 1.9++ 78%++ 7-11
Feb 26 - Mar 4 0.4 67 4-7
Mar 26 - Apr 4 -0.7- 56 7-11
Apr 26 - May 4 1.3%+ 70+ 7-10
May 26 - Jun 4 1.0+ 80++ 6-11
Jun 26 - Jly 4 0.5 60 8-10
Jly 26 - Aug 4 0.8 70+ 8-11
Aug 26 - Sep 4 0.4 60 8-12
Sep 26 - Oct 4 0.7 60 7-10
Oct 26 - Nov 4 0.9 50 7-11<=distorted by97+7%
Nov 26 - Dec 4 1.2+ 80++ 7-10 <= -1.4 - +3.1%
26th-4th (all): 0.7 65 9.3 ds avg = 31.4% annzd
= 81% of the rtn/ 31% risk = 2.65x
+ 3.4% lim 3.0 94 64.4 ds avg
11-5 0.8 64 10.4 ds avg = 32.3% annzd
6m:
Oct 26 - May 4 9.7 89 189-193 = 19.4% + 2%
Apr 26 - Nov 4 6.5 90 190-194 = 12.9% + 2%
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