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System Lab: March 2012 Performance

The system closed the month of March with a modest gain (+2.5%).  With the exception of a few days, most of the market’s movement continues to be in the gaps, with relatively narrow intraday ranges.   Again and again the market gaps up/down and then just lays there.  Everyone seems to be guarding their chips and waiting for the other guy to make the first move.

So why all the caution?  My personal view is that the ever-looming Euro debt crisis has instilled quite a bit of fear into the markets and the retail investor (after loosing all of his home equity and most of his 401K) has run screaming, fleeing equities for the foreseeable future.  Thus, what we seem to have now is a listless market comprised largely of HFT bots trading money back and forth.  A zero sum game and a difficult environment for the retail day trader, to be sure.

Here’s the system’s equity curve from inception through the end of March (click to enlarge)

And the histogram of daily returns (click to enlarge):

Here’s the matrix of monthly returns (click to enlarge):

And the system’s performance against its benchmarks:

During the month of March, the system outperformed all of its benchmarks (save Berkshire), albeit by just a sliver.  The good news is that on an annualized basis, the system is still outperforming all benchmarks by a wide margin.  The bad news is that it is still recovering from the debt crisis meltdown last August and the lack of volatility has made that a very slow crawl out of the pit indeed.

As you can see from the equity curve, the system was humming along quite nicely during March until the market decided to deliver a sucker punch at the 11th hour, cutting returns by more than half right at the close of the month.  The market is a harsh mistress to be sure.  Bitch.

In a Word: “Meh”

So the doldrums of 2012 continue.  The system is up a whopping +3.9% YTD.  Yawn.  One can only hope that the market’s volatility will expand as we undergo the usual spring/summer sell-off; It’s very difficult to make money intraday when day after day the market just sits there and stares at you.