Prerequisite: Read, skim or scour my previous article titled — “An Apple Story: Alpha, Algo’s and a Poorman”
I am writing an informal instablog as I only want to give the results from full year 2012 while adding a few missing items.
So How Did Year Two Fare?
If you bought Apple on the close of 12/30/2011, you paid $405.00. Your buy and hold YTD result is a very respectable 104.19 point gain or 25.7% return. (for the purpose of this article, I will say Apple closed 2012 at $509.19) To achieve this, you carried market or time risk equaling 365 days.
How Did The Poorman Manage?
The long only side was able to squeeze out 253.80 points or 62.6% return using the same $405.00 basis. This was on ~208 days of market or time risk. So, not only did the long side double the stocks gain, it did it on 157 days less.
The stock lost 180.69 points on a Wednesday close – Friday close basis. Since The Poorman goes short on Wednesday close, this is a 180.69 point or 44.2% gain. If we combine the long and short side to complete the full algo, 2012 reported a 434.49 point or 107.2% gain.
Read the full story (here)