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Charts & Analysis

System Trading Performance Update

A system trading update: now we have two systems in operation. The first one is running reasonably, up 19.11% since Jun 08, unlevered. This translates to around 60% annualized returns, which is reasonable – our aim was to get something that can survive ups and downs.

The Nifty in the same time period, has been down 17%. Last five days have been positive returns, regardless of which way the market went. (All returns are net of costs/brokerage etc.)

System 2 is now on for about five days. It’s done one trade and is up 3%, though 5 days is simply too little to judge. Will keep posting as it goes on.

What we’ve learnt is to understand how systems change – and they change often. Specifically intraday systems change because the behaviour of markets changes. Plus, given that we’ve focussed only on the most liquid stocks, adding a lot more money shouldn’t impact prices too much. (Otherwise, you could buy 1 lakh worth of a small cap and literally make it hit upper circuit – a waste of effort!)

One thing is that now we must look at whether this kind of system trading concept can be taken to a new level. Either by directly managing money or providing system advise. It’s a pretty lousy market to raise money, unfortunately. Need to find investors who’ll understand the concept and be willing to participate – this is going to be tougher than designing the systems themselves!

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