Forum Replies Created
- Posts
Thanks Alex, fired up QT again, thought I did do what you are suggesting before but clearly something was wrong as now it shows allocations identical to that online.
I use a yield enhancement function as it does create some additional income and has no effect on any trading in the account.
Apt time to revisit this discussion. I have taken a similar approach to Richard above but tend to stick with selling e-mini against the portfolio rather than buying puts/writing calls. I cannot say this has always been successful as it does rather depend on the assumption that there is more downside ahead. The most success I had with this was selling into very over-extended upside rather than after some downside momentum already built up. If you wait for the latter then in recent years you invariably ran into the buy the dip crowd before you are out and you end up closing the e-mini with a loss even though the portfolio has compensated and you avoided some downside volatility. Overall I find running the strategies as they stand is the best bet and personally I run some shorter term algos which do attempt to extract value in the mini’s independently of the LI strategies.
I have been a full time trader for many years but only started with LI strategies live in May2017 after enjoying reading some posted content. Took a while to find a portfolio balance in QT that I felt comfortable with and spent quite some time switching around parameters for the balance of 2017 not really finding my comfort zone May-Dec17 I was able to post 6.5% which was well below what I was returning on other non LI strategies and seemed low for the risk I took.
For 2018 I came back to some of the offered strategies and settled on a 50/50 mix of Nasdaq100 hedged and 3*UIS. Although I do not stick strictly to the month end rebalance, often making intra month adjustments, this ytd it has outperformed every other portfolio, at 11.4%, including monthly balanced TAA (~7%) and short term automated price action driven models (~8%). I also trade crypto which was absolutely wonderful last year (550%) but a train wreck this YTD (-66%).
Over the portfolio I keep my worse case back test at < 10% dd but I do sustain 15-20% vol with the LI models in the back test so just keep their allocation at appropriate levels. I rebalance between programs as well as within them.
I appreciate the continued development of QT and prefer to work there rather than the online tools.I also ran into the compliance issues earlier this year when some US ETF’s suddenly became unavailable in Europe. The initial solution was to use CFD’s which could be executed at the identical price and were available without issue (these regs make little sense) and subsequently by registering as a professional investor via a couple of forms from compliance departments which gave me back full access to all products.
Some users may find this library useful
https://github.com/ccxt/ccxtI have been trading crypto since 2015 when I bought some BTC just out of interest. Just dumb luck to be long into 2017. I have been actively trading many coins and tokens over the past 12 months but I have noticed that the market dynamics have changed a lot in this time. In the first 3Q’s of 2017 you could be long just about anything and make extraordinary gains. Today you have to be a lot more discretionary in where you place the risk. The market is starting to mature a little and is looking far more at utility. You need to focus on projects where there is a definable use case and where you see true adoption potential. Although I remain an advocate of crypto, I am also realistic about the fact that many of the current products being traded today will end up at zero value. My favoured products are BCH (over BTC), XMR, Ethereum, Neo and one of the new index products. I favour Crypto20 as the best to date, they recently listed on a few exchanges and have low costs. I did build my own index product but the execution over many exchanges was taking up a lot of time and effort for which I decided I would rather pay the management fees. I run all my equity & derivative trading systematically but I do not find crypto has the historical data or liquidity yet to minimise slippage to the extent where I can deploy algo’s in this space, so I just do my research and hodl.
