- 07/15/2016 at 11:22 am #34513
Hi, it looks like the spreadsheet for June 15th was posted by accident instead of the one for July 15th?
Evan07/22/2016 at 1:22 pm #34607
+107/25/2016 at 6:45 am #34649
Thank you for your feedback. There are no plans for API access at the moment but we do see how this could help many of our clients. We will look into this.
We do license our full QuantTrader software to select professional clients so they can generate our signals in-house.07/25/2016 at 6:52 am #34650
We answered via email but I will post the answer here too. We publish after the close (ie July 16) so you are still looking at the June 15th excel that was erased once the new signal are posted.
Vangelis08/02/2016 at 3:03 am #34789
Thanks for the awesome service.
On the spreadsheet for August 1, the last row for MNST was not populated for the columns used to calculate the allocations (at least for me). I fixed it manually but wanted to let you know.
Evan08/02/2016 at 5:55 am #34790
Thank you for the feedback Evan. It’s been corrected.09/28/2016 at 5:04 am #35701
We´re working on an automated solution using separately managed accounts, this will be interesting for followers too busy for manual rebalancing.09/28/2016 at 5:06 am #35702
Tim, we do not expect our strategies loosing their edge because of too many people trading it, the volumes are just too big than our community moving the market.09/28/2016 at 5:08 am #35703
Hi Elsid, yes, we´re considering the compounding of percentages, that is, we would also show 100k * 0.8 * 1.3 = 104k or 4% gain.09/28/2016 at 5:13 am #35704
I´m not aware of any objective statisctical way to measure the degree of curve fitting. Maybe the confidence ranges of a Monte Carlo Simulation would be such a measure? For me the ultimate measure is the performance in live trading, which sadly you only know after the fact and some years.09/29/2016 at 3:43 am #35725
Hello there, I have recently subscribed for 12 months & am impressed with the quality of your approach and service. I trade from Australia and my main concern is how to best manage the currency wildcard that awaits me. I am not asking for financial advice, however I would be interested how you & your partners manage your currency risk. One thought I had was to use a balancing rotation system similar in concept to the UIS system to monthly adjust the ratio of AUD/USD. I use Interactive Brokers with margin facilities & have access to futures, forex, options etc. but am unsure what method and vehicle would be most effective. I would appreciate some experienced thoughts on the matter. Many thanks, Trent09/29/2016 at 3:10 pm #35739
According to my Banker one should benchmark everything to their own native currency. In your case that would be AUD. The logic is that one should benchmark to their cost of living. So if you hold dollars, you are exposed to “currency risk”.
If you subscribe to that point of view, you have two possibilities:
1. Your IB account base is $US
2. Your IB account base is AUD.
If your account is based in $U.S., then you could hedge your currency risk by buying AUD/USD to cover all your funds and trade normally in $$. So if you had a $100,000 account you would buy $100K worth of AUD/USD (or use futures if you don’t want to get IB’s confusing accounting) and take the signals as they are. These would give you two main factors driving your account: Strategy performance and currency performance.
Basing your IB account in AUD is something I would not really be familiar with.
You do not want to base your benchmark on your local currency but want to manage currency as a whole.
Assuming you have multiple accounts, you could aggregate currencies.
You trade 100K in IB with LI strategies.
You also own a bond worth 100K of AUD in your local bank.
Roughly your currency split is 50/50 USD and AUD. Now you have to manage this :)
You can either do it discretionary (ie, subjectively) or develop a long term system that will re-balance your currencies. Either case you would use IB and futures or fx to increase/decrease currency exposure.11/02/2016 at 1:12 pm #36536
Have any members used out of the money covered calls to supplement the strategy signals? If so, can you share your experience, lessons learned, and guidance? Obviously you stand to lose out in a strong uptrend; yet would benefit in a downtrend. I’m curious to learn if others have tried this, and to what success.11/03/2016 at 4:35 am #36538
In fact adding option strategies to strategies like UIS (SPY-TLT) or BUG (with SPY-TLT-GLD) is a very good strategy during sideways markets. You can do only covered calls, or you can also sell wide OTM strangles (about Delta 10) on GLD and TLT. The only thing not to do is to sell naked puts on SPY because SPY has a big downside risk. If you sell a strangle on SPY, then always add a protective put to limit the downside. Best is to do it so, that you do not have any downside risk but only upside risk which is acceptable because the risk of a SPY upside crash is extremely small.
The nice effect of such a option strategy on SPY TLT and GLD is that the underlyings have low to negative correlation. Even if you would once lose with one of the options strategies, you would still have a high chance to win on the two others.12/22/2016 at 10:28 pm #37231
I am trying to construct the portfolio for 2017 using ~3 strategies. While the custom portfolio tool is very helpful and powerful as it shows us the model risk/return of various strategy composition, I am trying to get a better understanding on the p&l driver for each strategy, i.e., what market will make a strategy works and what environment will make it not work as well until market normalizes. I have read the white paper, and read some of the forum posts, but would love to hear your advice on how best to get a better understanding on this.
For instance, 2015 was a tough year for various strategies given the macro events that drove volatility, especially the August 2015 cny depreciation sell off. Why is that? Is that because such events make momentum gauging difficult? I remember Alex mentioned that in one of his responses. But would love to hear your thoughts further. 2017 could be a bumpy ride given rates vol, various geopolitical events coming up etc.
Good luck investing in 2017!
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