October Trading System Results

Happy Halloween! It’s time for an October wrap-up the day after the biggest candy eating day of the year. 

Both statistical and implied volatility remained low, as it has been in the past few months. In fact, as I reported last month, volatility is about as low as it’s been in the past five years. This isn’t a bad thing, and in fact has been mostly good for that long buy-and-hold part of your portfolio, but it’s not the greatest for our trading system.

The MS8 system thrives on volatility, so when its slow, we don’t necessarily lose money, but it’s also not very active.  October had a nice little bump in volatility starting around the 19th, and in fact about 2/3 of our trades took place just after this.  Aside from that it was still pretty quiet.

Our overall exposure was about as low as I have seen, at just 9.35% (meaning that’s how much time we had cash in the market). Below are a few of the key statistics:

Net profit for the month	5.87%
Total number of trades	14
Average return per trade	2.54%
Win ratio	71.43%
Exposure	9.35%
Total time invested	Less than 10 minutes a day!

Low volatility means fewer trades.  The average return per trade and win ration was just about typical for the system, so we just needed some more trips to the plate. As I said last month, we could really use some volatility! All in all, it’s hard to complain about a 5% month, however, and if I can do it with only 9% exposure it’s even better.

Good Trading…