Update 12/31/12

Performance Summary for 2012

Equity + 13.5% (SPY +10.9%)
Max DD 5.1% (SPY 10.6%)
+ve Trades 65.5%
+ve Months 83.3% (SPY 75%)

Update 11/2/12

Further to the change I made on 15th August 2011 MFK has gained 46.5% since that date (annualized 37.9%). At the time of writing 11 of the last 12 months have been profitable. Overall (after 35 months live) 67% of trades have been profitable and 71% of months. The vast majority of trades have a risk category of "Low" (per C2's classification).

Update 7/10/12

I have actually been trading MFK via the TOS program since Feb 7th 2012. I was forced to change brokers when Options Express stopped supporting auto-trading on C2. The TOS prgram start date displayed by C2 signifies the day I switched to using MB Trading.

Update 7/4/12.

MFK has been live on C2 for 2.5 years in that time I have made one change to the system (no ongoing tinkering with parameters at all) that being to remove the long-term elements after its slump in July of last year. I had mistakenly believed that diversifying across time would add something to the system but upon detailed investigation of both the back-test and 18mths of live trading it actually detracted from performance from all perspectives.

Since I made that change (on August 15th 2011) the system has gain 41% (46.5% annualized) with a maximum DD of 11.90%. SPY has returned 12.8% (14.7% annualized) in the
same period with a maximum DD of 9.7%. During this period MFK has only been 31% invested on average. And yes I am in the TOS program at 100%.

Description

Mutual Fund Killer (MFK) is an Excel-based timing model which uses a small number of standard TA indicators. It is intended to out-perform the typical Mutual Fund in terms of offering higher returns for less risk and as such employs various techniques and strategies to ensure it will perform in an acceptable fashion across all types of market environments. Back testing indicates that ultra-high yielding years will be the exception rather than the norm and as such the Standard Deviation (SD) of returns is quite low.

The program will issue trades on a fairly frequent basis (about 40% of days - note this means there will be two buy or sell signals per week not two round trips) and will typically phase into (or out of) a long or short position. It will then endeavor to buy dips and sell short-term highs until such a point in time that the markets orientation is considered to have altered whereupon a cash or alternate bias may be assumed. The number of shares referenced may vary considerably from one signal to another. Because of the frequency of trading signals with MFK it is highly recommended that a discount broker such as Interactive Brokers is utilized.

The approximate monthly cost of trading MFK with IB would be commissions of $8.40 (8.4 trades per month * $1) + subscription costs of $19.20 ($30 per month * 64% of months profitable) = $27.60 per month.

Back testing to 1985 would indicate that the model will achieve a CAGR of around 25% with an average maximum annual realized Drawdown of 10% or thereabouts but of course neither back tests or even past live performance are guarantees of how this or any other timing model will perform in the future.

Typically the model will be around 55% in cash but on occasion will utilize some margin albeit rather infrequently (up to 20% per the Back test).