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This topic contains 73 replies, has 10 voices, and was last updated by  Tony Walker 10 months, 3 weeks ago.

Viewing 15 posts - 16 through 30 (of 74 total)
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  • #50079

    Vangelis
    Keymaster

    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 $$.

    #50081

    reuptake
    Participant

    [quote quote=50079]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 $$.
    [/quote]

    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?

    #50101

    Vangelis
    Keymaster

    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.

    #50106

    reuptake
    Participant

    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/ ?

    #50122

    Vangelis
    Keymaster

    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.

    #50167

    Mark Faust
    Participant

    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

    #50168

    reuptake
    Participant

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

    #50206

    Mark Faust
    Participant

    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

    #50207

    reuptake
    Participant

    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.

    #50208

    Mark Faust
    Participant

    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

    [quote quote=50207]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.
    [/quote]

    #50212

    Alexander Horn
    Keymaster

    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.

    #50227

    Mark Faust
    Participant

    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

    [quote quote=50212]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.
    [/quote]

    #50250

    Alexander Horn
    Keymaster

    Absolutely correct, Mark, thanks for the summary!

    Indeed I was going to include the pre-configured portfolios from the Online Portfolio Builder as meta-strategies into QT, but then Frank was quicker assembling the new Consolidated View – which basically gives you the same ability inputting the %s of your online portfolio. As meta-strategies you would not be able to change the fixed allocations, while in the Consolidated View you can blend as you like and save them, so think this is much better.

    So I think this is not necessary anymore – if there is no other feedback.

    #50257

    Richard
    Participant

    Thanks for this thread – its been very informative already.

    I think it would be helpful to include LI’s Portfolio Builder (PB) meta-strategies in QT. An attractive aspect of PB is that we can arrive at a portfolio of strategies starting from an investing objective, e.g., Max CAGR, Vol < 10%, or Max Sharpe, etc., or even a custom objective. Of course PB delivers fixed allocations among the constituent strategies over the period of the back test.

    QT improves on this result. It allows strategy allocations within the portfolio of strategies to change each rebalancing period by picking the top N strategies for the period and optimizing allocations among them, which in turn helps to improve overall performance. But QT does not start with the pre-configured meta-strategies expressed as an investing objective as in PB, rather the strategy constituents must be defined at the outset in QT.

    So I have used a 2 step process – First, I relied on PB to arrive at the meta-strategy constituents (at fixed allocations) and then I built my meta-strategy in the QT portfolio manager with those strategy constituents. Each rebalancing period I update the pricing data to produce the rebalance allocations and note the overall portfolio performance as well as that of the constituents on the main QT summary page. Allocation fractions are then transcribed by hand from the current allocations box on the first QT summary page (where the meta –strategy results are presented) to the Consolidated Signals page where the level of specific holdings for the period is calculated. (It would be helpful if the Consolidated Signals page was populated with the allocation from the summary QT page by default).

    I think it would be helpful to include the PB meta-strategies in QT and to produce the risk return graph for various portfolios of strategies as shown in PB. For now PB does a satisfactory job on this feature.

    Alex had indicated that PB would likely be phased out in favor of QT lite, but I hope it remains in play until the interesting features of PB are also captured in QT.

    #50258

    Mark Faust
    Participant

    Alex,
    I think I have to agree with Richard on this one. While there is a lot of flexibility in creating your own “meta strategy” in the QT consolidation tool, most people were using the PB strategies as “kicking off” points to build their custom PB portfolio. Having the “box” crank out the meta strategies every month so we dont have to start from scratch….or throw darts to come up with the allocations, makes life a lot simpler.

    For Richard….I “adjusted” the consolidated excel spreadsheet that to keep track of my invetments and rebalancing. Its not very pretty, but it gets the job done..(and keeps me from pulling out a pencil).. :-)

    Mark

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