The strategy implementation was posted originally on the Systematic Investor Blog. The SPY was up 4.5% in February, and so was my Max-Sharpe capital, but that was due … to a mistake. Looking backwards, it seems that the Max-Sharpe allocation for February should have been something like 58% in IEF (treasuries) and 42% in SPY. I made a mistake somewhere and mis-allocated the portfolio only to make more money. A pleasant way to be wrong.
March is another 100% SPY month (hopefully not by mistake). To be honest – I don’t like this single-instrument months and am looking into improvements. Stay tuned, but until them – I will be using what I have.
It has been more than a year since I decided to give RStudio yet another try (yes, there were previous attempts) and … I can’t live without it today! Nowadays I use it almost 100% of the time when working on R code, but the reason is not just a preference over my favorite editor/environment (vim). In fact, I still like vim much better for editing code. This alone should tell you a lot.
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Time to take some time off. Closed all, but the Max-Sharpe positions, which are re-shuffled at the end of each month.
My SPY strategy suffered loses on the way down, but that was not all. Due to the increased volatility, I scaled down the positions (systematic), thus, I couldn’t benefit entirely from the recent rally. All in all, some stress and work for … nothing.:)
According to the SPY strategy, the rally has gone too far – time to take a short. My gut feeling tells me the same, but the last call is always up to Mr Market.
The strategy implementation was posted originally on the Systematic Investor Blog. After losing a bit less than 4% in January, this strategy wants to stay 100% in the SPY for a third month in a row. Sounds weird at first, but it doesn’t take too much digging to realize that the SPY still has the best momentum, the least bad among worse in other words.:)
After the big day today, my system signaled a switch yet again. After my latest updates to the system, two days is just a below the average length for a short trade. Nothing unusual with the swift change of positions, hoping the market agrees with me.
This time I used futures (the S&P 500 minis – ES). The main motif was to learn the mechanics of trading futures, which I think I will need for some new stategies.
I also decided to increase the leverage of the strategy. Immediately I noticed a disturbing problem with trading futures in small quantities, namely, one cannot control leverage precisely. The reason is that a single future is equivalent to about 500 SPY shares. Thus, I was left to choose between going under the required leverage or over it. Greed won …
In a recent post, I did some analysis of the efficiency of the DVI indicator. That was pretty much all I had to say back then, but that quickly changed. While reading Building Reliable Trading Systems, by Keith Fitschen I stumbled upon an alternative way to visualize entry efficiency – the entry power.
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The first position reversal for the year.
2013 was a tough year. Trading was tough, with one of my strategies experiencing a significant drawdown. Research was tough – wasted a lot of time on machine learing techneques, without much to show for it. Also made some expensive mistakes, so all in all – it was a year I’d prefer I had avoided.
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The strategy implementation was posted on the Systematic Investor Blog. For a second month in a row, the allocation is 100% SPY. The gain for December was about 2.6% (assuming trading at the close, which is unrealistic IMO for this strategy). This strategy yielded more than 10% in 2013, but more about that in the annual recap.
Happy trading in the New Year!