We will not change the scheme for summing up the results of the year, adopted two years ago. Here is a table of my results for the period when for each day there is a brokerage report of my account
Actually commenting on it is not very relevant due to the limited range of benchmarks. I have been repeatedly rightly pointed out that it is necessary to compare not with the Moscow Exchange index, but with the Moscow Exchange index of the total return on the rates of Russian organizations. But in this table, it is still a simple index, because if we talk about the quality of algo trading in Russian shares, then we need to compare it with this index, since dividends are not received within the framework of short-term trading. But of course, as an alternative for clients, the total return index is more correct.
Only three comments can be made on this table.
Firstly, it is clear that 2022 was the worst year of my trading for the entire period under review, both in terms of losses and drawdown. The reason for this I have already written many times in monthly reviews: “black swan” for my systems on February 22-25. And, alas, while I do not have a systematic solution, how to avoid it in the future. Although one idea with an abnormal increase in volatility, expressed in the comments to one of my recent topics, I took to work. Thanks to the colleague who expressed it.
Secondly, it is necessary to apparently explain how the “Russian Buffett with a down payment” almost “caught up” with the Moscow Exchange index. Yes, last year there was a signal to close the deposit on February 24th. It is clear that before the resumption of trading on March 25, it would never have occurred to anyone to do it, but the system is the system. And the presented loss is the loss to the deposited funds, because the return on GIPS is not affected by the down payment
And finally, thirdly, I would pay attention to the line Total for Inflation. It follows from this that since the end of 2007 ruble prices have risen almost 3 times (+200% is a 3 times increase). If we take the prices of poultry and pork, gasoline, bread, sausages, eggs, public transport fares, we will see that there was approximately such an increase. Yes, in some years, official inflation may deviate from the perceived one (in the same 2014, my family’s current expenses grew much more than official inflation), but at a distance it is closer to real, and not the figures called by some “15-20%% in year”.
Well, to continue the tradition, let’s look at the results on my account relative to inflation and in dollars at the official rate
Regarding inflation, we clearly see what I wrote above: 2022 is a very bad year for my trading, 2 times worse than the previous worst year – 2011. But in dollars it is even better than 2014. Again nonsense turned out in dollars.
Let’s move from relative results to comparative ones: in comparison with different indices
In 2022, all benchmarks from this table updated their drawdown highs. Also, my account in terms of profitability rolled back from the first place to the third, giving way to benchmarks with the S & P500 (TR) * (in rubles, “net” (at the tax rates of Russian organizations)). And according to Kef (see last year’s review for the definition), my score does not differ statistically from the benchmarks on the first two rows of the table. Although it partially “justifies” me that I trade only Russian instruments.
We also see that inflation is already in the middle of the table, overtaking all benchmarks without stocks.
And finally main in the table located in Reference. As we can see, my Comona indexes are the best in all respects. This says two things:
— diversification by trading methods is the best way to limit risks and, as a result, higher profitability:
– “One head it’s good, but two better”.
We talked about the results of individual components of these indices in 2022 at the traditional webinar on January 12.