Trade Risk Performance

All of the performance metrics you need to know about the Merlin, Lamorak, and Galahad trading systems.

Portfolios2023 Performance2022 Performance2021 Performance
Trade Risk Index+0.53%-13.57%+17.71%
Merlin System-6.94%-20.91%+22.01%
Lamorak System+7.91%-6.29%+10.04%
60/40 Benchmark+17.17%-16.98%+15.10%

See Performance Disclosures: Monthly Performance. Trade Risk uses Interactive Brokers as our primary broker and reporting agent.

Individual Trade Statistics

MeasurementMerlin SystemLamorak System
Average Trades Per Year107328
System Win Percentage64.10%63.76%
Average Size of Winners (%) 11.23%2.29%
Average Win-to-loss Ratio1.080.81
Average Trade Hold Time37 trading days4 trading days

See Performance Disclosures: Portfolio Statistics.

You can see based on the trade statistics, Merlin has a larger edge on a per trade basis, however, it trades much less frequently than Lamorak. Lamorak has a smaller edge per trade, but since it turns over trades much faster, it generate a smooth equity curve and keeps pace with Merlin from a total return perspective.

Portfolio Statistics

MeasurementMerlin SystemLamorak SystemGalahad System60/40 Buy & Hold Portfolio
Start Date of Measurements2006200620182006
Compound Annual Growth Rate+16.31%+17.35%+23.14%+7.28%
Largest 3 Drawdowns-36.57%, -22.10%, -17.60%-18.80%, -14.34%, -13.01%-23.62%, -19.50%, -15.60%-32.57%, -22.78%, -21.70%
Sharpe Ratio0.981.230.990.62
MAR Ratio 0.450.920.980.21
Correlation to 60/40 Portfolio0.460.130.64Benchmark

Merlin and Lamorak systems invest up to 150% at times, see Performance Disclosures: Portfolio Statistics.

Merlin and Lamorak compound returns at very similar rates, but the market environments they generate their returns in tend to be different from one another. Also notice the low correlation Lamorak has with a traditional 60/40 portfolio.

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