Please note: None of the strategies listed below was ever coded or disclosed in a social trading platform. The strategies are not data mined but are based on sound hypotheses about price action behavior and formation of anomalies in weekly timeframe. Performance is based on backtests and provided for informational purposes only. Strategies can fail in the future if market conditions change. Past performance is no guarantee of future results.
|TFD3W||SPY, TLT||Long-only||Systematic Asset Allocation|
|ETF2RW||SPY, TLT||Long-only||Rotation/Hold up to two ETFs|
|ETF4RW||Three ETFs||Long-only||Rotation/Hold up to two ETFs|
|ETFNRW||Six ETFs||Long-only||Rotation/Hold up to three ETFs|
|DOWW||30 Dow stocks||Long/short||Long/short up to 6 stocks based on DLPAL LS rank|
|MRDOWW||30 Dow stocks||Long-only||Mean-reversion, up to 6 open positions|
* Changed to Top 3/Bottom 3 in 2020 from Top 6/Bottom 6, in 2019.
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.
SPYLMAW is a long-only strategy for trading SPY based on adaptive moving averages. In 2020 the strategy used volatility targeting for position size determination. This strategy is no longer active after 2021.
TFD3W is a long-only systematic tactically allocation strategy using price series momentum for timing and cross-sectional momentum for position sizing.
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. This strategy is no longer active after introduction of ETFNRW.
ETF4RW trades a number of ETFs long-only based on momentum and can hold up to two ETFs at a time based on a ranking method.
ETFNRW trades a number of ETFs long-only based on momentum and can hold up to three ETFs at a time based on a ranking method. Strategy was introduced in 2021.
DOWW is a long/short strategy that trades up tp 6 stocks long/short from the Dow 30 group of stocks using a ranking method based on features generated by DLPAL LS software. The strategy was dollar neutral; 3 long/3 short stocks of equal dollar allocation.
MRDOWW is a mean-reversion strategy based on sound mathematics that generates up to 6 long-only signals in Dow 30 stocks while avoiding bear markets.
All seven active strategies during 2021.
The average performance of all strategies was 15.2% at 2% drawdown. Sharpe was about 1.
Period of backtest: 01/03/2007 to 11/12/2021 (Click on image to enlarge.)
*Performance is based on equal allocation of current strategies and does not include DOWW strategy due to being used as a hedge.
Comparison of combined strategy performance to SPY ETF performance.
|Strategy||Buy and hold|
|MAR ratio (CAGR/MDD)||1.24||0.17|
Due to the low volatility that is the result of using an ensemble of strategies, “leveraged alpha” is possible while maintaining low maximum drawdown. Note that the Sharpe ratio stays nearly constant under leverage.
- Equity performance is based on backtests
- All trades are placed at the open of the next weekly bar.
- Commission of $0.01/share is included in all backtests above.
- There is no use of leverage.
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