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 the formation of anomalies in the 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|
|ETFLSW||12 Commodity ETFs||Long-short||Trend-following|
|ETFNRW||Six ETFs||Long-only||Rotation-Hold up to three ETFs|
|DOWWN||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|
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.
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.
ETFLSW is a trend-following strategy based on price breakouts that generates long/short signals for 12 commodity ETFs.
ETFNRW trades several 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.
DOWWN is a long/short strategy that trades up to 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.
The average return for the six strategies in 2022 was -6.4%. The DOWW long/short strategy ended the year with a profit. Mean-reversion strategies, MRSPYW and MRDOWW, were down the most in 2022 due to a difficult environment for this trading style and several failed rallies. Cross-sectional momentum strategies were also down due to erratic action in equities and commodities. By mid-year ETFNRW was up nearly 9% but ended the year with a small loss. Below is the chart for the ensemble performance only.
All seven active strategies during 2021.
The average performance of all strategies was 15.2% at a 2% drawdown. Sharpe was about 1.
- 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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