Update on performance of six systematic trading strategies as of end of November, 2018. This report includes strategy descriptions, year-to-date performance and drawdown.
Year-to-date performance based on backtests (Last updated: 11/30/2018)
* Performance is adjusted for dividends and does not include any leverage. Commissions of $0.01/share are included in all performance calculations. Click here for a disclaimer.
None of the strategies listed below was ever coded or disclosed in a social trading platform. The strategies are proprietary and based on sound hypotheses about price action behavior and formation of anomalies in weekly timeframe.
|ETF2RW||SPY, TLT||Long-only||Rotation/Hold up to two ETFs|
|ETF4RW||SPY, TLT, GLD, SHY||Long-only||Rotation/Hold up to two ETFs|
|DOWW||30 Dow stocks||Long/short||Top 6/Bottom 6 based on proprietary rank|
|MRDOWW||30 Dow stocks||Long-only||Mean-reversion|
The weekly timeframe applies to the signals of all strategies. All entry and exit signals are for the open price of the following weekly bar except when a stop-loss is triggered.
SPYLSMAW is a long-short (exit long and reverse to short) strategy for trading SPY based on adaptive moving averages. The long-only part of the strategy can be also used.
MRSPYW is mean-reversion strategy for SPY ETF based on sound mathematics that generates long-only signals while avoiding bear markets.
ETF2RW trades SPY and TLT long-only based on momentum and can hold one of those ETFs or both based on a ranking method.
ETF4RW trades, SPY, TLT, GLD and SHY long-only based on momentum and can hold up to two ETFs at a time based on a ranking method.
DOWW is a long/short strategy that trades the top 6 and bottom 6 of the Dow 30 group of stocks using a ranking method based on features generated by DLPAL LS software.
MRDOWW is a mean-reversion strategy based on sound mathematics that generates long-only signals in Dow 30 stocks while avoiding bear markets.
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