Is this strategy marketable?

Discussion in 'Professional Trading' started by Manny Mendelson, Aug 16, 2017.

  1. truetype


    You didn't address any of my questions from last August.
    #11     Mar 3, 2018
  2. I am grateful for your interest. I will be in front of trading stats on Tues and will update. The strategy (all etfs, mostly equity, some energy and bonds) took no trades in Feb. Hit many targets in Jan. It has momentum inputs and I totally agree it is correlated with index momentum, no question. It helps me risk the proper size and an occasional "beat" like Feb helps me handle the stress of trading risk. I also suspect compounding is facilitated by the low drawdown. I did intraday futures systems earlier in my life but they did best only in extreme volatility. Now I do etfs, but some of the best performing ones have been leveraged etfs so that's helpful. Obviously you cannot beat the market by only getting a piece of it but between leveraged etfs and kelly-based compounding I am satisfied with the system. I use Tradestation walk-forward optimizer and only trade etfs that do outstandingly in that test. I think it will be interesting to see how this long-only system performs in a down market. If the signals avoid a lot of entries then that will be that much easier t follow. I think that somewhere there must be an asset allocator interested in these stats but I have yet to find one. I also know that any time I injected discretion into the account I did worse. By the time of the stats I have displayed, I stopped any discretionary trading. For me, at least, cherry picking around this system did not help at all.
    #12     Mar 3, 2018
  3. Questions any allocator will ask you...
    -- What instruments? (allocators especially don't like short-Greeks option strategies)
    -- Long biased? (allocators prefer neutral)
    -- What hold time, on average? (pertains to scalability)

    ETFs, mostly equity, some leveraged etfs, some energy and bond etfs. Long only. I will have to be vague on describing hold time so I will just say more than 5 days, less than 60 days. But the equity curve should say a lot. I'll just say that the time distribution of those trades is reasonably spread over the period. If there was genuine interest I would be happy to email the pdf of my Interactive brokers strategy report (I forget the name of the report but will be in front of screen Tuesday) , since that particular account is totally devoted to this strategy. The strategy is not nuclear physics. It has reasonable targets and seems to avoid SOME down months. It's optimized using Tradestation Walk-forward and I present it because it has the cleanest, most dis-aggregated stats of any of my strategies. I trade several but this is the easiest to demonstrate and also the longest running of anything I currently use.
    #13     Mar 3, 2018
  4. Congratulations on running your system live and avoiding recent downturn.

    Good Luck!
    #14     Mar 3, 2018
  5. I'm updating the performance of my strategy through the end of February. Attached are pages from my Interactive Brokers Portfolio Analyst. I have attached JPEGs of returns and benchmarks

    2 year live trading performance, proprietary strategy. Compared against: a)S&P, b)Long/Short benchmark, c)Hedge fund multi-strategy benchmark:

    VAMI: 2nd highest
    Max drawdown: Lowest
    Recovery time: Shortest
    Sharpe Ratio: Highest
    Sortino Ratio: Highest
    Calmar Ratio: Highest
    Std Dev: 2nd lowest
    Downside deviation: lowest
    Mean returns: 2nd highest
    # Positive Periods: 2nd Highest
    # Negative months: 2nd lowest

    mmStrategy CumPerformance_Feb 2018.jpg mmStrategy_Cum Perf Continued.jpg mmStrategy_Benchmarks_Feb2018.jpg
    #15     Mar 10, 2018
  6. If you simulated this in extreme historical stress times, what sort of max DD do you get?
    #16     Mar 11, 2018