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Trading Strategies

Performance of Strategy Bundle-July 12, 2023

Photo by Rodnae Productions

Here is the long-term and year-to-date performance of the five trading strategies included in a bundle.

There are seven strategies in the bundle, five main and two that are offered as a bonus.

Strategy Description Markets Price
MRETF Mean-reversion/breakouts Long-only SPY, QQQ, TLT Bundle
MRETFLS Mean-reversion/breakouts Long-short SPY, QQQ, TLT Bundle
B2S2 Mean-reversion Long-only Dow 30 stocks Bundle
TFDLS Trend-following 23 Futures long-short Bundle
D10S1 Tail Hunting Short-only Russell 3000 Stocks Bundle
TFRUTLS Trend-following Small cap stocks long-short Bonus
MRFREE Mean-reversion Long-only SPY  and QQQ Bonus

We provide the rules of the strategies for programming them on a trading platform. The strategies are not data-mined and have simple rules. Click here for more details.

Performance of the five main strategies based on backtests (Last update: Close of July 12, 2023)

Strategy Start Date CAGR Max. DD Sharpe YTD Correlation* Skew**
MRETF 01/02/2002 5.3% -8.7% 0.80 6.4% +0.42 -1.2
MRETFLS 01/02/2003 5.9% -15.2% 0.62 1.0% +0.08 -1.7
B2S2 01/02/1993 17.6% -30.5% 1.02 11.5% +0.87 -1.2
TFDLS 01/03/2000 13.2% -31.7% 0.72 9.0% -0.13 +3.8
D10S1** 01/02/2002 14.2% -15.3% 1.20 2.7% -0.18 +3.2

*Correlation with S&P 500 index.  ** Skew of trade % Profit/Loss. ** Modified strategy.

Performance charts based on backtests

MRETF Strategy

MRETF LS Strategy

B2S2 Strategy

TFDLS Strategy

D10S1 Strategy

Delivery: The trading rules are in the form of “locked content” in the articles link above and are unlocked after paying for a subscription to the strategies. For more information and to order, use the form below.

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

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