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Our EOD data provider seems suddenly to have problems with splits resulting in huge jumps in these 3x leveraged stocks. I have reported this historical data error. Using QuantTrader you can use Yahoo or Tiingo for better historical data.
I will do some correction files for these data errors. In the meantime you can use Tiingo as data provider. They have correct data
Another way to avoid witholding tax is to sell delta 50 TLT put option at least 6 months out, which is similar to a long TLT position. Advantage is that you collect premium. Disadvantage is that your delta $ exposure changes with bigger TLT moves and so it needs sometimes readjustments.
A way to avoid witholding tax could be to buy UB or ZB futures instead of the ETFs. I use ZB futures and once you roll from March to June you get the further out Future about 0.7% cheaper because of the dividend. Disadvantage is that one Future is about 150’000$, so it is not something for smaller accounts.
There is a way to capture upward volatility by using options to construct for example a SP500 equity long position. For example now as volatility is low you can construct a calendar spread with a positive Vega. When volatility is high, then you can change your strategy and sell a put option right away so that you profit from falling volatility.
Best is to make a copy of your old 518S strategy folder and then just replace QuantTrader518S.exe with QuantTrader520S.exe.
You can also just copy single strategies from the ini folder to a new QT version. The strategies look like BUG_20191212110548_LI.ini. If you do this, then you also have to copy all substrategies used by a strategy.
The screenshots (like: UIS SPXL-hedged (3x leveraged).png) go to the data subfolderThese are the performance numbers of the actual strategy.
Sure the old strategy did extremely well last year as it could go up to 70% into one single asset and switch 100% between Gold and Treasuries. This however works only well if the market is not volatile and these assets just go up. If you check the 3 year performance, then you will see that the new strategy did much better with much less intermediate drawdowns.
If you think the year 2020 will be another year like 2019 with the S&P 30% up, then probably the old strategy was the better one. However if the market just goes a little bit more sideways, then most probably the new strategy will do better.Further down the strategy page you have a link to the actual performance numbers. The backtested performance numbers and charts which we show are from the actual new updated strategies. The idea is that you should see how the actual strategy would have performed in the past. Only this way you can decide if you want to invest in such a strategy. The new version of the strategy is less aggressive as it limits the maximum equity exposure.
QT needs to be rebooted to recalculate the strategies in the right order (substrategies first). We could probably add a Menu item which recalculates everything instead of rebooting.
If you would like to invest more aggressive, then you can always just increase the equity allocation and decrease the hedge. The new strategies have a maximum equity allocation of 60% with a 40% hedge to be able to hedge for market corrections like the one of January 2018 where you had no time at all to change allocations in time.
The MYRS and the 3x leveraged UIS strategies are leveraged strategies which should be used only with a small fraction of the portfolio. For a normal investor it is just too risky if the Top3 strategy rotates for example from the BRS strategy to MYRS. Better select the top 3 strategies between similar unleveraged strategies.
You can always tweak the Top3 strategy in QT. Just open the “strategy editor” and select the Top 3 strategy. Now you can delete the Nasdaq and the Dow strategy in the strategy list. This way the top 3 strategy uses only strategies which do not invest in individual stocks.This will be the strategies starting Jan 1.
We will post a document explaining all changes next week
Regards FrankAs of today CELG is still in the official Nasdaq100 list. I will have to wait until it disapears and I see which company will replace CELG
