Went Long on the S&P 500

I missed the signal from my system on Friday, and didn’t go long at the close. Luckily I was able to enter the long position at a better price at the pre-open today.

Went Short on the S&P 500

The last long position on the SPY didn’t last for too long. Flipped it to a short at the close today.

Max-Sharpe Portfolio for August

The original strategy implementation was posted on the Systematic Investor Blog. For a third month in a row, the original strategy is 100% allocated in the SPY. My slightly modified version however is split almost equally between SPY and USO (oil). The latter is not among the instruments included in the original strategy, but if added to the list, the original strategy chooses a similar allocation for the month of August. Time to check my modifications in practice.

Went Long on the S&P 500

Time to close another losing trade on the short side. As of the close today, I am long the SPY (the S&P 500 ETF).

Went Short on the S&P 500

The long position held for quite a while, mostly because of the initial downturn in late May and early June (the system is strongly contrarian). After staying out of the market for a couple of days, I am back in, this time on the short side. Since the expected position for today was short, my stay out of the market saved me from a relatively significant loss today. All this is random and pure luck however, I am only mentioning it as a curious observation.

Out of the Market

Some travelling is preventing me from trading actively, so I closed all my positions which require daily monitoring. Will be re-entering at the close on July the 5th.

Max-Sharpe Portfolio for July

The original strategy implementation was posted on the Systematic Investor Blog. For a second month in a row, the original strategy is 100% allocated in the SPY. My slightly modified version however is back to the EWJ/SPY allocation, in about 65%/35% ratio.

June Recap

My trading was negative in June, and that’s on top of a devastating May. My SPY strategy ended up losing about 2.9% in back-testing and at some point reached about 15% drawdown. Without leverage, the loss was equivalent to the loss on the SPY – 1.9%. That’s because the strategy was long for the entire June.

For 2013, my SPY strategy is still up 3.9%, but that’s way below the almost 15% on the SPY for the same period.

In June, the Max-Sharpe portfolio was allocated 100% in the SPY, thus, ended with a loss of 1.9% as well.

May was red, very red

There is no way to avoid considerable drawdowns in trading, and May was probably one of the worst months I have ever experienced (in my systematic trading days at least). These drawdowns are painful of course, but they offer an important opportunity to retrospect in real life on the parameters (the pain related at least;)) of the trading system. Below is what happened, how I reacted to it and what were my actions and conclusions. If not helpful, I hope it’s at least entertaining.

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