Monday, 7 April 2008


Just updated my portfolio page with my asset mix as of this morning. I went long the NASDAQ 100 index on the open using a leveraged fund. This trade is based on my bullish signal from my trading setup for this index based on the trader data reported weekly by the U.S. Commodity Futures Trading Commission, in the Commitments of Traders reports. Good luck this week, and I hope see you back here in coming days with updates about my ongoing refinements of my COTs Timer setups.


Ian said...

Hi Alex,

I was wondering what your stop-loss was for the Nasdaq-100 entry you made this week. I understand you use the Largest Drawdown % from your signals sheet to determine this (21%) but should I interpret that to mean that you are willing to ride a 21% loss in that position before closing it out?

Thus, if you entered on Monday at 45.76 is your stop now just below 36.15?



Alex Roslin said...

Hi Ian,

Haven't looked at the specific NDX numbers, but your understanding is correct. My position size is set such that such a loss would amount to 3% of the total portfolio.

I've experimented with filters to set a tighter stop, but that invariably reduces the strategy's performance. Curtis Faith's Way of the Turtle talks about the same issue.


Ian said...

Thanks for the explanation on that, Alex. We definitely must be willing to set wider stops to allow for the longer term trend to develop.