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Performance Of Hedge Fund Strategies In 2017

This article includes performance results for 2017 of seven Price Action Lab institutional grade, high capacity, long-only and long-short strategies for trading Dow 30 and S&P 100 stocks in daily and weekly timeframes.

The strategies are based on the following principles:

MRSP100 and MRDOW use the MR5 mean-reversion strategy that is based on a formula from a graduate text on probability theory.

FLUXSP100 and FLUXDOW are based on Newtonian fluxions.

Long/Short strategies are based on features engineered by DLPAL LS software.

Below is the list of strategies. Click on the names of strategies for previous articles with more details and longer-term performance results.

Strategy Market Timeframe Type Hypothesis
MRSP100 S&P 100 Daily Mean-reversion Unique
MRDOW Dow-30 Daily Mean-reversion Unique
MRDOW Dow-30 Weekly Mean-reversion Unique
FLUXSP100 S&P 100 Daily Short-term Unique
FLUXDOW Dow-30 Daily Short-term Unique
Long/Short Dow-30 Daily Short-term Data-mined
Long/Short Dow-30 Weekly Medium-term Data-mined

Performance from 01/03/2017 to 12/29/2017 (No leverage)

Strategy 2017 Max. Drawdown
MRSP100 9.4% -3.6%
MRDOW daily 9.2% -1.2%
MRDOW weekly 14.0% -1.9%
FLUXSP100 14.5% -3.3%
FLUXDOW 9.8% -1.8%
Long/Short DOW 11.3% -3,43%
Long/Short DOW weekly 13.4% -1.3%

Performance is net of $0.01 per share commission with no leverage.

Equity and Underwater Equity curves 01/04/2016 – 12/29/2017

MRSP100

MRSP100

MRDOW

MRDOW

MRDOW WEEKLY

MRDOW WEEKLY

FLUXSP100

FLUXSP100

FLUXDOW

FLUXDOW

LONG/SHORT DOW

LONG/SHORT DOW

LONG/SHORT DOW WEEKLY

LONG/SHORT DOW WEEKLY


Hedge funds can also develop strategies with our DLPAL LS software.

Contact us for details and pricing. Important: Please use an email address based on the hedge fund domain name. This is an example of an acceptable email address: john@newbestequityadvisers.com. We do not reply to emails from free email accounts. Also please include the following:

  • Fund name
  • Your name and position
  • Telephone number
  • Website of hedge fund

Note that these strategies are not available to individuals and we reserve the right to deny any such requests.

Disclaimer: The strategies are provided as educational trading tools for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of any strategy. Under no circumstances the strategies should be treated as financial advice. Before subscribing please read our Disclaimer and Terms and Conditions.

Copyright notice: Any unauthorized copy, reproduction, distribution, publication, display, modification, or transmission of any part of this report is strictly prohibited without prior written permission.

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