DVI Performance

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

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 …

Went Short on the S&P 500

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.

Exited the Short on the S&P 500

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

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

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.

Max-Sharpe Allocations for June

The strategy implementation was posted originally on the Systematic Investor Blog. May’s allocation was good for a 2.4% gain.

The allocations for June differ, but only slightly, between the original approach and my modified version:

ETF Original Modified
S&P 500 (SPY) 33% 28%
MSCI EAFA (EFA) 12%
Emerging Markets (EEM) 20%
US Bonds (TLT) 55% 52%

Both strategies have more than 50% in bonds, not surprising at all considering the recent rally in bonds. Both strategies also have about a third in US stocks, but while the original strategy favours EFA (MSCI EAFE – Europe, Australia, Asia and the Far East), my modified version prefers to stick with the emerging markets. Most likely these differences will prove insubstantial.