I’ve changed up this section a bit and decided to stop posting updates for my trades and returns. I’ll keep my cumulative performance and summary statistics posted here and the rest of my blog entries will be dedicated to portfolio research. Be sure to check out my GitHub for code updates and projects!

Key Statistics
Inception Date 10-21-2015
Cumulative Return Since Inception 0.3108
Same Period SPY Cumulative Return 0.4399
Best 1-Day Return 0.0592
Worst 1-Day Return -0.0875

Risk Measures
Max Drawdown -0.1356
Peak-To-Valley 12-29-2015 to 01-07-2016
Recovery Time 139 Days
Sortino Ratio 0.69
Annualized Volatility 0.123821161
Annualized Return 0.107553816
Positive Periods 412 (59.80%)
Negative Periods 277 (40.20%)

Cumulative Portfolio Return vs SPY Return Since Inception