Project Q7 – results 2008Q4
For high volatility, the second half of 2008 was initially even more difficult for investing than the previous one. S&P500 – S&P500 futures were used in the current period as the only trading tool – has decreased by 16,9% in October, fell further 7,5% in November and finally increased by 0,8% in December. Such incredible volatility changed the whole game and required modification of the trading strategy. It was an invaluable lesson to learn, though 
Also, as planned, the project’s goal for the finished period was to improve detection of profitable positions and timing of transactions – this was mostly achieved – as well as to test new approaches to trading. One of such a tests – aggressive day trading – nearly turned into disaster, when more than a third of capital was lost in a single day.
All of the above led to lower returns in October and November (however still higher than 5% per month assumed for the period at the end of 2008Q3).
Hence the final results for the 2008Q4 are as follows:
- October: +12,90%
- November: +13,99%
- December: +26,59%
(see also results for the previous quarter)
Frequency of publishing the Project Q7 progress reports should increase from quarterly to monthly starting in February 2009. Also, all trades completed in the finished period will be disclosed. Such transparency seems required in the light of the recent Madoff’s Affair.
See: trades completed in 2008-12
Goals for the 2009H1:
- monitoring and – later – trading automation
- monitoring larger number of instruments
- maintaining positions in strong trends
- identifying and taking advantage of differences in behavior of various asset classes (equities vs currencies vs commodities)
In the starting period Project Q7’s planned return is between 10% and 15% per month.
Notes and disclosures:
- all positions were closed as of December 31st, 2008 – the managed capital was 100% in cash
- the small size of the managed capital allows for much swifter maneuvering in the market than it would be possible with larger funds what skews the results (no problems with liquidity – positions can be opened and closed virtually at any moment, lack of influence on the marked caused by the transactions)
- for testing purposes Project Q7 assumes taking much more aggressive positions (leverage up to x5) that would be prudent with larger funds; the currently pursued strategy is extremely risky and can lead to loss of significant part of or all of the managed funds
The experiment will be continued for the further 18 months and concluded in June 2010.
