Portfolio showcase

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Portfolio showcase 2018-02-02T13:00:04+00:00
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  • reuptake
    Participant
    Post count: 61

    This thread is meant as a showcase (and discussion) of portfolios composed of various LI strategies.

    So, to start, my portfolio for 2018 (after changes to strategies made in January):

    15% GMRS
    15% GSRS
    10% Nasdaq100
    10% UIS 3x
    30% US sectors
    20% World Country Top 4

    QT backtest results are: 19.04% CARG, 2.33 Sharpe, 8.18 Volatilty (for period of last 5.5 years).

    I wanted to create a medium aggressive strategy. Got rid of MYRS which was always component of my strategies since the risk of very high volatility is in my opinion very real. Also, I didn’t want to have more exposure to GLD than hedge part of strategies gives me, so I haven’t included GLD USD. Other than that I want it as broad and global as it could be.

    My investment is large enough to have so many strategies included (some components can have just 1% share). That said today only 1 out 20 is green 😉 and guess what? It’s the one with the lowest allocation 🙂

    Still this is the best I can do for now.

    Comments? And I’m very interested in your portfolios!

  • Richard
    Moderator
    Post count: 26

    Thanks for starting this thread.
    I think this portfolio works well; its good to keep both ZIV and TMF out for now. In QT, how did you set the history range to 5.5 years? the drop down shows only 5, then 10 years.

    I’ve been doing some tweaking as well and hope to share an updated portfolio soon.

    • reuptake
      Participant
      Post count: 61

      The dropdown is one thing, the other is the actual data period that is available. Since both Nasdaq100 and 3xUIS use TMF, the first day of backtest is 29 Sep 2012.

      1 user thanked author for this post.
    • Alexander Horn
      Keymaster
      Post count: 363

      I´m working on a small tool to extend the most used tickers with recent inception by synthetic data automatically. Got a first version ready, but still doing some testing and verification.

      Idea is to have an batch input list like:

      TLT VUSTX (which means extend TLT data by the mutual fund Data using a return multiple of 1)
      TMF TLT 2.8 (which means extend TMF history by TLT using a return multiple of 2.8)
      ZIV ZIV_S 1 (which means extend by the synthetic data we´ll make available on our server)
      .. same for SPXL, UGLD, and all other tickers which currently hamper longer backtests..

      Output will be synthic symbols like TLT$, TMF$, ZIV$ which you can use in backtest versions of strategies.

      Will first develop as small app in order to allow Frank to work on other QT “hot list” items, but then hopefully we get it into QT later.

      Hope to have the tool ready next week, then I need some brave and geeky subscribers to test and verify. Interested volunteers pls send a note to BraveAndGeeky@logical-invest.com.

      3 users thanked author for this post.
  • Mark Faust
    Participant
    Post count: 21

    Utilizing the following portfolio across 3 different scenarios/tools
    10% – BRS
    10% – GSRS Hedged
    10% – MYRS
    10% – NASDAQ (non-hedged)
    10% – UIS-SPXL-TMF (3x)
    25% – GLD-USD
    25% – US Sectors
    ——————–
    Non-3x Hedge ini file in QT from 1/31/11 – 2/2/2018 (Max)
    CAGR – 21.699%
    Sharpe – 2.693
    Vol – 8.059%
    Max DD – (6.39%)
    ———————-
    3x Hedge ini file in QT from 9/28/12 – 2/2/2018 (Max)
    CAGR – 20.157%
    Sharpe – 2.182
    Vol – 9.236%
    Max DD – (7.79%)
    ———————-
    Portfolio Builder (old Way…not sure if GLD has been introduced as a hedge in portfolio builder yet…it has in the online allocation tool)
    CAGR – 21%
    Sharpe – 2.68
    Vol – 7.9%
    Max DD – (5.5%)
    ———————

    Prior to QT Lite, I was utilizing the last option above with Portfolio Builder and the Excel Tool. Going forward, I know we are looking at utilizing GLD and UGLD as hedges instead of Bonds. I have setup my portfolio with the 3x hedge (option #2 above for now) while I continue to dabble..

    Mark

    3 users thanked author for this post.
    • reuptake
      Participant
      Post count: 61

      I was always using GLD/USD in my portfolios, but now, when this is significant part of Hedge strategy, I decided to abandon it. Time will show if this was a good decision.

    • Mark Faust
      Participant
      Post count: 21

      I realize my LI portfolio puts a large % in GLD as a hedge. (probably around 28% counting UGLD as 3x)
      Since I am not utilizing GLD as a hedge in my other investment accounts, I am using the GLD hedge in LI to cover my overall investments.
      This brings my overall GLD hedge down to the order of 13%…
      Now…a good question would be could we diversify the hedges with other precious metals like Silver, Palladium or Platinum. I will be looking at the possibility of diversifying the GLD hedge with at least some SLV next month…..

      Mark

    • Mark Faust
      Participant
      Post count: 21

      Reuptake,
      I must have missed this response. If you take GLD-USD totally out, dont you lose the Currency side of the hedge as well??? or are you talking about just taking out the GLD side of the strategy??

      thx
      Mark

    • reuptake
      Participant
      Post count: 61

      I’m not using GLD/USD strategy in my portfolio as independent strategy, since it’s part of hedge strategy.

    • arvind suthar
      Participant
      Post count: 4

      Mark,

      Thanks for the inspiration with this strategy! I think it’s really interesting and I like the balance between the return and volatility/DD. I’m trying to play around with a few variations and was just wondering how you back-tested it in QT…I’m only able to test the top 6 ETFs (as you cannot select more than the top 6 ETFs in QT) but there are 7 ETFs here.

      Any help would be appreciated!

      Arvind

      Screenshot

      Attachments:
    • reuptake
      Participant
      Post count: 61

      Use Consolidated Signals from newest version of QT.

      1 user thanked author for this post.
    • Mark Faust
      Participant
      Post count: 21

      Reuptake is correct,
      I only use the QT Lite version, so my backtesting is done on the Consolidated page of the newer version. It allows percentages across all loaded strategies and gives the backtest numbers at the bottom…
      Mark

      1 user thanked author for this post.
    • arvind suthar
      Participant
      Post count: 4

      Thank you both! I appreciate the help.

      Below is the strategy I am planning to implement in the beginning of March:

      US Sectors multi momentum: 30%
      GSRS Hedged: 20%
      World Country Top 4 Hedged: 20%
      BRS: 10%
      Nasdaq 100 (non-hedged): 10%
      UIS 3x: 10%

      I also took GLD out of my portfolio as with the new hedging strategy, gold still accounts for ~13% of my entire portfolio. I wanted to diversify a bit more with bonds and cut down on volatility which is why I allocated a small percentage to the BRS as well.

      Backtesting this over a period of 5.5 years gives me a CAGR of 19.6%, Sharpe of 2.31, and volatility of about 8.4.

      Would be interested to hear your thoughts!

      Arvind

    • reuptake
      Participant
      Post count: 61

      This is very close to my portfolio. My question is why you use non-hedged Nasdaq 100 instead of hedged?

    • arvind suthar
      Participant
      Post count: 4

      My portfolio already has ~17% weight in gold and treasuries not including the hedge if I use the Nasdaq100 Hedged strategy. Additionally, I don’t mind taking on a little bit more risk for the potential of higher return (my investment window is more than 10-15 years) since I am only allocating 10% of my entire portfolio to this strategy.

  • Patrick
    Participant
    Post count: 7

    Would like to know if the LI principles would share their personal portfolios? I realize everyone’s situation is different, but would love to see how you utilize the strategies and your rationale behind it. Also, it’s always reassuring to know that advisers are eating their own dog food. 🙂

    1 user thanked author for this post.
    • Alexander Horn
      Keymaster
      Post count: 363

      Hey, here comes the challenge, like it. Mine is not much of a surprise if you watched the recent video tutorials and previous comments. I´ve been following the Max CAGR <15% volatility with slight variations for quite a while now. But since some months felt the low vol "trap" was growing with spectacular returns but muted volatility in 2017 so did a management-override to lower the MYRS portion and put some protective puts in place early Jan this year. Probably still not enough, dog food got a bit sour recently, but sticking to plan so far ...

      5 users thanked author for this post.
    • Vangelis
      Moderator
      Post count: 138

      I currently trade the UIS 3x (using inverse ETFs), a MYRS variety using futures and a couple of short term mean-reversion systems. On an another account, I run a strategy-of-strategies currently in BUG/GMRS/USSector 40/20/40. I also trade weekly/monthly rotational systems on crypto. Once every few years I take a p.o.v. on currencies since I am EU based but trading in $$.

      3 users thanked author for this post.
  • reuptake
    Participant
    Post count: 61

    I currently trade the UIS 3x (using inverse ETFs), a MYRS variety using futures and a couple of short term mean-reversion systems. On an another account, I run a strategy-of-strategies currently in BUG/GMRS/USSector 40/20/40. I also trade weekly/monthly rotational systems on crypto. Once every few years I take a p.o.v. on currencies since I am EU based but trading in $$.

    Thanks! Two questions:

    – What is the advantage of inverse UIS 3x (I understand you mean SPXS-TMV?). I’m using SPXS too, but during recent correction/crash it’s performing even worse than SPXL?
    – I’m also very curious about your crypto strategies (maybe in another thread), how they perform and so on. I used to trade a strategy on Bitcoin for nearly 2 years, but I’ve dropped it. There are lot of problems with trading cryptos, eg. for a weekly strategies you’ll probably have to keep all assets on exchanges?

    • Vangelis
      Moderator
      Post count: 138

      The advantage of trading the inverse 3x ETFs is that you get an extra return from their tracking errors. So if SPY starts at 200, then goes up and down for a few months and then ends up back at 200 (0% return), SPXS may start at 40 but will probably end up at 34, so shorting it will produce a slight return (minus the borrowing fees for shorting). On the contrary SPXL may start at $40 but will end up around $34, ie loosing compared to 3x it’s benchmark. Error is path dependent so it works best when volatility is high and direction is choppy (not straight up or straight down as we just experienced).https://www.signalplot.com/the-definitive-guide-to-shorting-leveraged-etfs/
      Yes, weekly strategies need to stay on the exchange, which is a problem. The only solution is to keep it small, use leverage and diversify across exchanges. Trading is a nightmare compared to trading stocks/ETFs/Futures, liquidity is poor, fees and spreads are high, you need multiple wallets and transfers are error prone etc, etc. So far what seems viable is running a topX ‘large cap’ QT type strategy picking from 10 coins and rebalancing once a month. I use cointracking which is a must to keep track of multiple exchanges/wallets, etc.
      I also make a few judgment calls outside the systems (when to go to cash and when to re-enter) since as another subscriber mentioned, Bitcoin seems to follow fibonnacci retracements / extensions surprisingly well.

      3 users thanked author for this post.
    • reuptake
      Participant
      Post count: 61

      Thanks for info on shorting ETFs, I’ll give it more time, because when I looked at it few days ago SPXS performance was worse 2 or even 3%.

      As of BTC, I can only agree, BTC can be model market for AT, it works much better than anywhere else. Are you using QT type modified Sharpe for cryptos? Have you tried Prism https://prism.exchange/ ?

    • Vangelis
      Moderator
      Post count: 138

      I see you have done your homework! I was accepted in the closed Beta a couple of months ago. It is a great idea as it facilitates rebalancing and is more secure than an exchange. The problem I encountered with Prism is the fees. For now they are waived but at a proposed 0.5% per rebalance they are outrageous. That means that if you rebalance monthly you give away 1%/month = 12% per year. This is peanuts for crypto buffs but for equity traders it’s a pretty substantial number. What will be interesting if prism opens up both sides of the market, as they propose to do, so that you can post collateral and get part of that 12% 🙂 Once fees become ‘logical’ it seems like be a viable management tool for us.

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      1 user thanked author for this post.
  • Mark Faust
    Participant
    Post count: 21

    Reuptake,
    Was this based on the last close? or last period? or intraday?
    Also, was your Nasdaq the hedged variety??

    (not sure this went in the right place…this was in response to the first post in the thread)
    thx
    Mark

    • reuptake
      Participant
      Post count: 61

      I’m not sure what is the question? This is my portfolio (the Nasdaq strategy is hedged one). The backtest values were based on last close as far as I remember, from the Feb 2, 2018. Probably maxDD is different now.

    • Mark Faust
      Participant
      Post count: 21

      I think you answered the question, and that would account for the discrepancy….
      I think if you used the option “Based on End of Last Period Close” and don’t use a mid month strategy (like MYRS) then no matter if I do the consolidation on 2/2 or 2/17, it should be using the values from 1/31/18….Isn’t that correct, Alex?

      Since you used “Last Close” then I assume the numbers on 2/2 would still be better than the ones I would use today using the same option….

      thx
      Mark

      I’m not sure what is the question? This is my portfolio (the Nasdaq strategy is hedged one). The backtest values were based on last close as far as I remember, from the Feb 2, 2018. Probably maxDD is different now.

    • Alexander Horn
      Keymaster
      Post count: 363

      The pricing options, e.g. last period close, last close and intraday affect only the consolidated signals, not the backtest. Backtest is always based on selected trading frequency (monthly, bi-weekly..), and executed at the close. To delay backtest use the options in Settings, e.g. cut signals delayed by x days, trade delay x days.

      1 user thanked author for this post.
  • Mark Faust
    Participant
    Post count: 21

    Thanks Alex…..Just to make sure I am understanding the QT Lite capabilities correctly.
    I think am getting the capabilities of the “Summary” section on the first page of QT Lite confused with the “Summary” page of the consolidated page confused. (I have been using the summary on the Consolidated page to look at my CAGR, SHARPE, etc of my blended portfolios.

    In regards to the Summary page on the first page of QT Lite
    1) This page is meant to view the attributes of each strategy on its own..(no blending of strategies)
    2) You can adjust parameters to backtest each strategy on its own.(they will revert back to the defaults on next load)
    3) You can view different time periods for each strategy by using the history range

    In regards to the Summary page on the second page of QT Lite (Consolidated Allocations)
    1) This page allows you to blend together the strategies in different proportions.
    2) Changing the allocation frequency (End of Period, Last Close and Intraday) only affects the allocations and not the section labeled “Summary” on the Consolidated Allocations page?
    3) The Summary section is fixed to the last closing period only? No matter the history range chosen?

    Hopefully I got most of this correct…..?
    I also wanted to ask. In the blog introducing the new QT Lite, it said that the All Strategy subscribers would also see the other classic portfolios like minimum volatility and maximum Sharpe ratio portfolio?? Am I missing those in QT Lite?

    thanks for the help
    Mark

    The pricing options, e.g. last period close, last close and intraday affect only the consolidated signals, not the backtest. Backtest is always based on selected trading frequency (monthly, bi-weekly..), and executed at the close. To delay backtest use the options in Settings, e.g. cut signals delayed by x days, trade delay x days.

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