Forecast, Quick P&L’s – Feb and To Date

Forecast, Quick P&L’s, February and To-Date

 Quick Summary

 Annual rate of return: +17.6% (un-leveraged)

 In October 2013, we developed an algorithm called Edge which helps us quantify the opportunity in a trade

 Since the development of Edge, the rate of return of the Forecast has risen to +17.6% per year and our trade-by-trade standard dev has dropped by 72%

Forecast P&L, 2012-p

Forecast P&L

 

 

Edge P&L, Monthly, October 2013-Feb 2014

Gross

7.3%

Avg/mo.

1.5%

Avg/yr

17.6%

% Profitable

100%

Std Dev/mo

0.5%

z

7.26

Sharpe*

3.2

Forecast P&L, Monthly, March 2012 – Feb 2014

Gross

15.5%

Avg/mo.

0.6%

Avg/yr

7.8%

% Profitable

75%

Std Dev/mo

1.2%

z

2.58

Sharpe

0.5

Monthly Returns, 2012-p

Date

%/unit

Mar-12

2.1%

Apr-12

0.9%

May-12

1.7%

Jun-12

2.1%

Jul-12

-0.1%

Aug-12

0.6%

Sep-12

0.2%

Oct-12

0.9%

Nov-12

0.1%

Dec-12

0.0%

Jan-13

-0.5%

Feb-13

-0.3%

Mar-13

2.6%

Apr-13

-1.9%

May-13

-2.4%

Jun-13

1.5%

Jul-13

0.3%

Aug-13

0.7%

Sep-13

-0.3%

Oct-13

1.9%

Nov-13

1.6%

Dec-13

0.9%

Jan-14

1.0%

Feb-14

1.9%

Notes:

 We continue to focus on using Edge to identify trades and understanding when Edge gets overwhelmed by real world events

 That should lead to more and better opportunities and continued low standard deviation

 *A Sharpe Ratio on 5 months results is still a bit silly

—h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
www.verticalsolutions.com

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