[Trend Day Forecast] Quicklook Performance for August #trenddayforecast

About:

At the end of each day, the Trend Day Forecast forecasts tomorrow’s closing prices (bullish/bearish) for ES, US, Stoxx and Bund.

Forecast Quicklook Performance:

TDF Aug

Forecast Monthly Performance (on $200,000):

       

SP 500

Month

Return %

Return/Contract

Return

Dec

3.9%

$7,835

 

-2.3%

Jan

4.6%

$9,197

 

-5.1%

Feb

1.8%

$3,691

 

-0.4%

March

3.9%

$7,862

 

6.6%

April

2.9%

$5,825

 

-0.1%

May

2.7%

$5,481

 

1.9%

June

1.0%

$1,949

-0.1%

July

-3.2%

$6,475

3.7%

August

4.4%

$8,776

0.3%

Forecast Statistics:

Winning Trade Percent: 59%

Annualized Return (from Dec 2015): 30%

Max DD: 5.0%

Alpha v SP500: 25%

Alpha v CTA: 28%

Forecast Notes:

Current results, December 2015 to present, represent the third refinement of the forecasting techniques underlying the Trend Day Forecast since 2012. The second refinement was the development of a quantitative technique known as Edge in October of 2013.

tdf 2012 - aug p&l

Licensing:

The Trend Day Forecast is available by subscription. The underlying strategy is available for license. Contact Henry Carstens, 503-701-5741.

Other notes:

My book, 101 Trading Ideas, A Magical List for Fast-Paced Alpha Hunting is available. The book helps users quickly create new trading ideas. More info here. The example strategies in 101 Trading Ideas are up +16% annualized since February out-of-sample.

I hope you had a great month; I’m available to develop strategies and strategy ideas and to teach idea development,

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

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