[Mark Faust]

Good luck reuptake…I am also doing some evaluating of my current situations to see what is best for me going forward…ttyl

Bama

[quote quote=53497]Due to regulatory problems I’m no longer able to trade LI strategies. I’ve closed all my positions. This month was bad, again, my drawdown is > 6%. I will have a month (or more) sitting in 100% cash to consider what to do next.

[/quote]

[Mark Faust]

MYRS getting close to being back in play???even in small amounts???
Looking forward to the read tonight….

[Mark Faust]

[quote quote=52563]Rather than cash, I recommend GSY or MINT so you can at least earn 1-2% yield with very little risk.

[/quote]

Thx Patrick…I will take a look

[Mark Faust]

Well….been a very busy month…..I am not liking the hedges at all at this point…When Stocks, Gold and Bonds all go down at the same time, that is not good…Will it last?? probably not, but I decided to utilize a different hedge for now….Cash….
My current portfolio for LI is
17.5% – Nasdaq (non-hedged)
17.5% – GSRS (non-hedged)
7.5% – GMRS (non-hedged)
7.5% – World Top 4 (non-hedged)
50% – Cash

I am carrying a position in PDBC for some hedging in another portfolio…Not sure how well that one will work out long term, but currently is doing ok due to Oil’s upward move….

good luck all

Mark

[Mark Faust]

Thanks reuptake….I am still in a quandary as to my portfolio going forward. I just don’t believe that bonds or gold are a decent hedge at this. I am not sure what is…I will definately be getting out of the us sector strategy as I don’t see it changing for a while….
I will post my new allocation sometime over the weekend after I have licked my wounds from this past month…..

Bama

[quote quote=51923]I’ve finally give following portfolio a chance:

The last month was terrible. While in February, there was a lot of turmoil on market, and high volatility of portfolio was somehow expected, given how aggressive the allocation was, April underperformance is worse for me. The value of my investment was going down day after day, regardless what’s going on on the markets, and I feel that it will be very hard to get out of this drawdown.

Now I’m going for a holiday, I wish you a profitable May!
[/quote]

[Mark Faust]

Thanks Reuptake…out of those 3 choices, I also would lean towards your favorite.
I agree on the US Sector strategy…It has not been doing very well and the ERY component (even at 1/3 allocation due to its 3x leverage) has been doing horribly.
A couple of issues I still have are the bond hedges we are currently using. I think that all the backtesting is still utilizing the timeframe when bonds were a viable hedge. Personally, I do not think they will be a decent hedge for a while to come.
I do understand that the recent hedge allocation is moving everything to GLD which I am not sure is necessarily the greatest hedge either. Especially at 100%.
I have been working on another momentum based minimum covariance algorithm which uses GLD, TLT and DBC as its hedge (if you will). The choice of DBC spreads out the commodity hedge across multiple entities and not just all Gold.
I will have to make a change as well as I believe the US Sector is facing a tough road ahead. Good luck…
Mark

[quote quote=51786]I’m preparing for the next rebalancing. I’ll have to do it bit earlier, since I fly away for holiday Friday morning.

I’m not fan of changing portfolio allocations every months (for most 2017 I’ve maintained the same allocation) but this time I think I’ll do quite substantial changes. I want to reduce investment in US Sector strategy which was 30% of my portfolio. I have serious doubts in robustness of this strategy (which I shared with LI team).

So I have 30% to distribute among other strategies.

[/quote]

[Mark Faust]

Thanks Reuptake…..
Is it me or does nothing seem to be holding a negative correlation in the hedges……..
It seems the market goes up and TMF/TLT goes down… (expected)
Then the market goes down and GLD/TMF/TLT goes down….

With the high concentration in TLT/TMF hedges, we lose money/barely break even when the market jumps up…
Then when it drops, the hedges either drop or dont kick in enough and you lose money again….

I know I am just complaining….but losing money sucks…..I guess I need to find the right combination….
Even SoS is sitting at 5.01%…..Maybe I should just go that route and leave the creative combinations to the professionals…

off the soapbox now….
Mark

[quote quote=51650]

Mark Faust wrote:

So…I have been keenly watching the latest “Hedge” strategy…..
It has been bouncing back and forth between GLD and TLT and since it is a “Top 1 ETF” it is bouncing at back and forth at 100%.
While I can see that the optimization favors the single ETF theory, I wonder if it would not be better to diversify the hedge fund a bit and take the top 2 ETF’s??? This lowers the CAGR/Sharpe but also lowers the volatility and the DD…

I was testing this and Top1 is performing bit better. But then again I’ve tested UIS and WTOP4 strategy using GLDUSD strategy as a hedge. And the performance is pretty decent. So my plan is when Hedge is 100% TLT use GLDUSD version of one of those strategies, to diversify a bit.

[/quote]

[Mark Faust]

So…I have been keenly watching the latest “Hedge” strategy…..
It has been bouncing back and forth between GLD and TLT and since it is a “Top 1 ETF” it is bouncing at back and forth at 100%.
While I can see that the optimization favors the single ETF theory, I wonder if it would not be better to diversify the hedge fund a bit and take the top 2 ETF’s??? This lowers the CAGR/Sharpe but also lowers the volatility and the DD…

thx
Mark

[Mark Faust]

Update for April….
I looked at the results from MTD, YTD, 1 year, 3 year, 5 year and Max.
I kept the same strategies but changed up the percentages a bit.

• 25% GSRS
• 25% Nasdaq Hedged
• 25% US Sectors
• 25% World Top 4

1 year
• 21.58 CAGR
• 2.65 Sharpe
• 8.15 Volatility
• -6.85 DD Range

Max
• 23.69 CAGR
• 2.83 Sharpe
• 8.37 Volatility
• -6.85 DD Range

It still has a lot of Bonds (TMF & TLT) which make up 45% of the portfolio..(more if you factor in the TMF leverage.) While the numbers above only show the portfolio using the top 4 entries in the Nas100, I will be using the top 8… Happy Trading..
Mark

[Mark Faust]

Anyone else getting n Exception Error with the latest 3/29 .ini file???

[Mark Faust]

Good afternoon everyone,
While not sitting directly in front of my allocation percentages, I opted to invest in EWC instead of HEWC based on spread and liquidity. I understand this is the nonhedged version, so I believe I increased my hedge somewhere else to compensate. (And yes, I understand my substitute hedge is not the same as having the hedged version of EWC)
I have not had a chance to look at the returns of both to see if I had made a good choice or not.
Thanks
Mark

[Mark Faust]

Alex,
I was updating my QT quotes and had a couple of questions: (nevermind…I figured it out)

1) QVCA changed to QRTEA…How do I get the historical data into QT correctly if I just change the symbol in the .Ini file? Looks like QVCA has almost all the data points except for the last week or so…How does that data get merged together?? I renamed QVCA to QRTEA and then adjusted the Quanttrader.ini file…it picked up the updates fine

2) DXPS has been liquidated – I just deleted the 2 instances out of the Quanttrader.ini file

3) SCC does not seem to have any volume whatsoever over the last few days. Is that why QT is saying there is no data??

thanks
Mark

[Mark Faust]

No, I did it in QT light.

[quote quote=50592]Hello Mark,
Did you run this allocation through the custom portfolio with the online Portfolio Builder?
Regards, Richard
[/quote]

[Mark Faust]

I have decided to go with the following for this month….

• 20% GSRS
• 30% Nasdaq Hedged
• 30% US Sectors
• 20% World Top 4

• 25.88 CAGR
• 2.80 Sharpe
• 9.2 Volatility
• -7.72 DD Range

It still has a lot of Bonds (TMF & TLT) which make up 34% of the portfolio..(more if you factor in the TMF leverage) I may replace 5%-7% with GLD or increase the REW component just a bit…..Have not decided….Looking for a better month than Feb. Happy Trading..
Mark

[Mark Faust]

Reuptake,
While I really like the numbers of this strategy, I am not a fan of 22% being in TLT…..That seems like a lot given the recent history in bonds and where they are headed in the future….What do you think of replacing some of the TLT with some GLD? or even a little more SDP???

[quote]Fixed strategy with: 20% GSRS, 30% NASDAQ100 hedged, 30% US Sectors and 20% WTop4 has better backtests results: CARG 26%, Sharpe 2.83, Volatility 9.32… and is less prone to overfitting.
Even fixed strategy with allocation given by you has very bit better performance than adaptative one.
I have to say that I still can’t see clear benefits of adaptative strategy of strategies approach. What would convince me? Much better results for wide range of lookback periods.
[/quote]

[Mark Faust]

The 3X – UIS is what is taking 80% of TMF. I am not really liking that so I might make an audible on that particular strategy. Not sure what I will replace it with though. For some reason, it did not choose UGLD.
I will work on it a little more tonight.
Mark

[quote quote=50425]

Mark Faust wrote:

Hey All, I went and played with the new version of QT and the new ini files this weekend. I concentrated on the Strategy of Strategies(SOS) as well as a multi strategy. I tried my best to like the SOS version, but the amount of GLD (43+%) and UGLD(13+%) was a little too much for me. The best I could come up with (based on Reuptakes portfolio) with a COB 2/23/18: GMRS(15),GSRS(15),NAS-Non-Hedged(15),UIS 3x(10),US Sectors(25),World Top4(20) CAGR(22.076),Sharpe(2.734), Volatility(8.074), DD Range(-9.28) This gives me a 26% position in GLD (for today) No UGLD as UISX3 went over to TMF… If I cant find anything better tonight, this is probably what I will go with about 30 minutes before tomorrow nights close….

I’m not changing my allocations. I’m very curious what would be the outcome at the end of the month, this portfolio is pretty heavy invested in long term bonds.
[/quote]

[Mark Faust]

Hey All,
I went and played with the new version of QT and the new ini files this weekend.
I concentrated on the Strategy of Strategies(SOS) as well as a multi strategy.
I tried my best to like the SOS version, but the amount of GLD (43+%) and UGLD(13+%) was a little too much for me.
The best I could come up with (based on Reuptakes portfolio) with a COB 2/23/18:

GMRS(15),GSRS(15),NAS-Non-Hedged(15),UIS 3x(10),US Sectors(25),World Top4(20)
CAGR(22.076),Sharpe(2.734), Volatility(8.074), DD Range(-9.28)

This gives me a 26% position in GLD (for today) No UGLD as UISX3 went over to TMF…

If I cant find anything better tonight, this is probably what I will go with about 30 minutes before tomorrow nights close….
Mark

[quote quote=49769]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)………
[/quote]

[Mark Faust]

Reuptake,
I totally understand. We can never tell the future. I think it was just bad timing of when you started your new allocations. I also took a decent hit on my portfolio as well. It also makes our backtesting more difficult when we cant “stress” our portfolios against a similar case in the past due to the shortened period we have to work with.
I continue to search for robust portfolios that can withstand drawdowns such as the one we had in February.

I see that the LI Team has released a new version of QT as well as a new INI file that can utilize Inverse Sectors. I am glad to see this as I think putting this option into their “LI Engine” gives us more options during a questionable market.

Good luck…I am off to tinker with the new releases…..
Mark

[quote quote=50346]Richard/Mark
…………The last month was a warning call for me. I’ve tested my strategy and I learned from backtests what was the maximum drawdown of it for last 5.5 years (1000+ trading days). Then I started to trade it, and it took 3 days to beat record drawdown…
[/quote]

[Mark Faust]

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

[Mark Faust]

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]

[Mark Faust]

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]

[Mark Faust]

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

[Mark Faust]

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

[Mark Faust]

I agree Tom…While most momentum based strategies pass control of the current trend leader to the next leader, it would be nice to be able to test a “trailing stop” limit going up or a “stop loss” going down. While we can always put in our own $$$ type numbers in this situation, it would be nice to be able to apply an indicator to get out…(it looks like you like the Volatility type indication from your comments), but they could be based on just about anything…. very interesting idea…

Mark

[Mark Faust]

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

[Mark Faust]

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]

Alex,
I see that you updated the Consolidated Excel File as well on 2/1.
I am still using this as my base as I get more familiar with QT Lite…
In the 2/1 Excel file, I did not see SDP as an entry??? but isee where QT shows it in the allocation side???

thanks
Mark

[Mark Faust]

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

[Mark Faust]

Hi Alex,
I was trying to run portfolio builder on the website and noticed that it is not picking up the February trading days???

thx
Mark

[Mark Faust]

Nice job Deshan!! I wish I would have found LI during my earlier years where I could have taken the risks you did….Would have been nice to have been retired by now….As it is, I will have to wait about 4 more years(52) until I can officially relax.
I tried creating a spreadsheet something akin to yours…I had limited success so I ended up staying with just a basic version.
I wonder what the difference in Std Dev is between using SPXL and TQQQ is in the “3X” strategy…..
I assume you have a nominal portfolio with LI and that the 3X strategy is just a small piece??? I currently employ 10% each to MYRS and 3X UIS….i might look into the TQQQ though..
thanks
Bama

[quote quote=48216]……I’ll be retired next month at the age of 44 and will draw a small monthly pension. Thanks to LI, I’ve paid for my house and have accumulated a balance where I’m considering shaving each month’s gain and reverting back to a set balance each month to offset the difference in pay to help maintain living standards. It’s a different approach than what I’ve done in the past and part of my psychology only wants to let my account roll with the flow, but at the same time, shave some money and enjoy it. Oh the conflict.
Any drawbacks to the “shave the monthly” profit plan? I know there will be months where you’ll have to wait because of drawbacks, but some of those monthly gains are hefty enough to carry you for long periods of time on a comfy budget plan.
[/quote]

[Mark Faust]

Alex,

So it tuns out that the currency ETF’s you use in this strategy are not allowed in my Fidelity Brokerage Link account. They were, however, allowed in my normal IRA..(I think I had to sign an “aggressive investor status form” a while back that allows it….Regardless, I am in with CROC…the spread was only .06 when I made the trade….I put it right in the middle and it filled quickly….
(sidenote: On Friday, CROC had its highest Volume in 4+ years with 64,600)

Mark

[quote quote=47962]Hi Mark, I hear you and this is really a pain in the neck. It´s just that using Gold and FX is such a nice hedge, but indeed hard to trade in deferred accounts. We also keep looking for alternatives, please drop us a line if you find something at your end.
[/quote]

[Mark Faust]

I am in the same boat with Fidelity. CROC is not allowed in my IRA/401k. I was able to get around this when the selection was YCS by using 2x the number of the DXJ etf. I have not found a suitable replacement for CROC and really don’t Want to wade into the world of FX. I will keep looking..

[quote quote=47221]Up to our knowledge the limitation is only for inverse leveraged ETF in pension accounts, e.g. IRA or 401k. With a standard account you should be able to trade the ETF CROC with a limit order as stated above.
If you cannot trade CROC or use leverage, then the only way is to use FX without leverage, and re-calculate your allocation so you mantain the original leverage in CROC and YCS, so reduce GLD accordingly to stay within 100%.
[/quote]

[Mark Faust]

Thanks for the quick response and link to file.
I will have a look and see if I can finish polishing up a decent combination of strategies for next month (and going forward)
Mark

[quote quote=47836]Hi Mark,

thanks for the hint, seems the input file caching was too long, so you always pulled an old version. Have updated now and just pulled with last date 11/29/2017, please give it a try to see if it works properly.

The input file from our server is this here, you can also use for other purposes or to validate it should add the last day about mid-night after last close: https://logical-invest.com/wp-content/csvrepository/PortfolioBuilderExcel2.csv

All the best,
Alex

[/quote]

[Mark Faust]

Alex,
Is there a reason that the Excel version lags so far behind in updating quotes??
I just hit the Refresh Quotes button and then opened the advanced column so I could see the extra worksheets..
(I specifically use the Return Weighted worksheet to track the daily returns when I am calculating Mean, Standard Deviation and Sigma values. I am trying to find a good Meta Strategy.)

Problem is, for the last 3 days, it only will refresh back to 11/24….That is 5 days ago….
While I love this Excel version, it seems to always have trouble doing daily refreshes….

Any thoughts on this?

thanks
Mark

[Mark Faust]

In looking at the last couple of months, I agree with Edmund and Giles….IMO TMF is no longer the best hedge to be used in MYRS…the near term future of long term bonds is questionable. In using the website https://www.etfreplay.com/correlation.aspx and inputting ZIV and TMF, you can see that The correlation factor is all over the map. If you input something like TZA as a hedge, you get a much less volatile and still negatively correlated fund. (Not saying that TZA is the correct hedge fund to use, but just the first example I picked using another correlation website https://www.etfscreen.com/corrsym.php?s=ziv )
While I can see using cash as the hedge in this case, I think that the full value of this strategy would be better utilized using a different leveraged negatively correlated fund….

Bama

[quote quote=43874]I am not trying to advise anyone. That said, here is what I do and why. At this time I think interest rates are going to rise over the next XX years; therefore, I won’t touch the TMF. I keep the portion that “should” be in the TMF in cash and the ZIV portion in the ZIV. The cash also helps me to backup the cash position needed to for the margin requirements for various cash backed short puts and put spreads that are sometimes in the account…………
[/quote]

[Mark Faust]

Good Morning All,
With a lot of financial professionals thinking we are at the end of the “Bond Bull Market”, I was wondering where a good strategy might lie to keep the volatility in our portfolios at bay???

I have been using the BRS in the 20%-30% range, but I am afraid that going forward it might not be the vehicle it once was….

Comments?

thx
Mark

[Mark Faust]

[quote quote=45592]Hi Larry,
don’t worry, everything still there, but currently doing an upgrade of the scripts which generate the data, and also the Excel and Online Portfolio Builder. Thought to finish by last week, but have some real headaches with some new functionalities..
So the current file will not update correctly, but this will be solved .. next days! Promise!
Btw, have you seen the “advanced” button on the first tab? This triggers the solver and some other tabs I hide for people who just use the pre-configured portfolios.
[/quote]

I am waiting for the new version as well…..old one stops in Feb of 2016…
Currently using the strategy signals to track ROI….(although there is not a 3XUIS there?)

Mark

[Mark Faust]

Thanks Alex…As long as we got to the same answer, we should be fine….
I decided to do a 50/50 with DXJ/GLD…which in effect gives me a 1.5x on the DXJ for this go around….
I will see how it goes…
thanks
Mark (bama)

[quote quote=45288]Hi Mark,
yes, my brain just does it the other way around. 60 GLD / 40 YCS equals 60 GDL / 120 DXJ, total 180 so divided by 1.8 would be 33 Gld and 67% DXJ. So you dilute by a factor of 1.8, which means also returns, etc would be reduced by that factor .. bit less considering the loss leveraged ETF occur.
[/quote]

[Mark Faust]

Alex,
I ran into the same issue with YCS and instead, I am using the ETF DXJ which has a correlation of .76 to YCS.
It is doing rather well in this environment even though it is only a 1X instrument. You said one could adjust the leveraged ratio to account for the 3x YCS position….I want to make sure I would be doing this correctly…
Assuming a 60GLD/40YCS ratio….(3:2)
To get the correct leverage using my DXJ example, would the correct resulting “leveraged ratio be 3x on the DXJ side??
something like 3:6 or 1:2???
Thus 33GLD/67DXJ??
Or am I calculating the implied 3x incorrectly??

thx
Bama

[quote quote=44667]…..You can instead use non-leveraged ETFs and increase their allocation to keep the intended leverage ratio. This dilutes the overall effect in the portfolio, e.g. you need to allocate less to GLD to keep 100% overall, but is the only way currently……
[/quote]

[Mark Faust]

Hi,
I have been looking at the offline builder.
I noticed it did not import 5/16 & 5/17 of this past week???

thanks
Mark

[Author]

Posts