Weekly/Monthly Update

Tuesday’s close finally ended the short position on the SPY, which was in place since Jan 8th. With a multi-year record upside performance on the SPY, this position was obviously a huge loss – down 3.5%, 5.2% with leverage.

The SPY strategy ended January at about 0, hardly a success compared with a huge gain on the S&P 500. Still, it was a good January – the last three Januaries the strategy recorded about 5% loss each! My gut feeling is that a strong second half of December (QE setting in?) followed by a strong January is taking a toll on this (and probably other) contrarian strategy.

This pattern got me thinking that a lose stop loss may be able to keep most of the gains while reducing the pull-backs. Haven’t had positive experience with stop losses in the past, so I am still pondering what to try. Any ideas?


  1. Miguel says:

    Why did you classify your strategy as contrarian? Is not a arma-garch strategy?

    1. ivannp says:

      Nope, I don’t use arma-garch on the SPY.

  2. Dan M says:

    I have an idea. I have found it useful to backtest the actual trades I have made using a large variety of SL, TP strategies. I then tend to pick whichever SL, TP strategy worked best in the past, especially the recent past. There are of course a large variety of SL, TP strategies you could test…

    1. ivannp says:

      Hi Dan, I am kicking myself now – just adding a simple stop loss improves the back tested results immensely. Well, never late to learn.

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