Max-Sharpe Allocations for October

by ivannp on October 1, 2014

Was busy at the beginning of September and didn’t post the updates for that month. However, the allocations were pretty close to August’s. The performance for September was pretty bad – a loss of 3%, which sent us at a negative 1% for the year.

It seems that a correction might be starting, and the strategy (both the original and my modified version) is acting accordingly, allocating 71% to TLT (treasuries) and the rest to SPY (S&P 500).

DVI Performance

by ivannp on September 24, 2014

This is the next post in the DVI indicator series. After the first two (here and here) analyzed in details the post-entry returns and the entry power of this indicator, it’s time to take a look at the trading performance.

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Went Long on the S&P 500

by ivannp on September 23, 2014

Was short for a single day, and the system said to flip to long at the close. The position got cancelled out (I am out of the S&P 500), since another system of mine wanted to go short the same instrument. Go figure it …

Exited the Short on the S&P 500

by ivannp on August 20, 2014

Time to stay out of the market for a bit. This last short position went ugly – lost about 1.7% on it.

Went Short on the S&P 500

by ivannp on August 14, 2014

Reversed my position, from long to short, on the S&P 500 at the today’s close. The long position was established on August 4th and was good for about 1.7% gain. There seem to be some uncertainty in the markets lately, so the short might turn out to be timely.

Max-Sharpe Allocations for August

by ivannp on August 4, 2014

Back from a relaxing vacation and it’s just about time (one day delay) for the August reshuffling.

The strategy implementation was posted originally on the Systematic Investor Blog. July’s allocations were good for a 1.2% gain.

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Max-Sharpe Allocations for July

by ivannp on June 27, 2014

The strategy implementation was posted originally on the Systematic Investor Blog. June’s allocation was good for a 0.6% gain.

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Exited the Short on the S&P 500

by ivannp on June 26, 2014

At the today’s close my system indicated a neutral position, which was quite timely since I will be away for a while, unable to trade.

Went Short on the S&P 500

by ivannp on June 20, 2014

Looks like I forgot to disclose my long entry, but I was long since the close of June 17th. Today my artificial brains are reversing their short term view on the S&P 500 and I acted accordingly at the close.

Closed the Short on the S&P 500

by ivannp on June 2, 2014

The market went against this short right from the start. Things got better today, nonetheless my system thinks it’s time to stay out of the index until the next long signal arrives.