My system signalled flipping from short to long last night, however, there was no-one to follow it. :) Still debating what to do today – whether to stay in the wrong position for the day, or to flip at the open, or to put a limit at the yesterday’s close. Ah well, another voluntary donation to Mr Market.

Went Short on the S&P 500

by ivannp on April 3, 2014

After a long-ish and profitable long position, it’s time to switch gears, expecting a correction. That’s what my system is telling me. Taking this short position in a red-hot bull market doesn’t bring the usual gut discomfort, in other words, my gut feeling is the same. If only Mr Market was that agree-able too …

Max-Sharpe Portfolio for April

by ivannp on April 1, 2014

The strategy implementation was posted originally on the Systematic Investor Blog. March was slightly positive on the SPY, so was the strategy.

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Went Long on the S&P 500

by ivannp on March 14, 2014

After a long time out (partially due to vacation, partially due to the system keeping me out) it’s time to get involved on the long side. The markets are a bit nervous, so it’s likely not going to be a smooth ride.:)

Previously (here and here) on this blog, I have demonstrated how to implemented an end-of-day trading strategy in real life. The common problem mentioned is that one cannot possibly get the signal and execute the trade at the same time. Well, I can.

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Max-Sharpe Portfolio for March

by ivannp on March 2, 2014

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.

A Year of Using RStudio

by ivannp on February 25, 2014

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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Closed All Positions

by ivannp on February 11, 2014

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.

Max-Sharpe Portfolio for February

by ivannp on February 3, 2014

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.:)

Went Long on the S&P 500

by ivannp on January 23, 2014

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. :)