A update: Closed a major part of the positions last Friday 20140801 15:59:41 sell 420 EFA at 66.14 20140801 15:59:42 sell 450 XLE at 95.8 20140801 15:59:42 sell 400 SPY at 192.48
Have you used system parameter optimization? And how do you test your systems - in sample or out of sample?
No optimization is used in the strategy construction nor in the portfolio allocation. All the strategies have been subject to at least three years out-of-sample tests besides the in-sample tests. One strategy was recently retired because it lost its edge in the last three years. Obviously the system is in a draw-down, however the draw-down is still much less than the 9% max drawn-down historically. The intraday strategy did well in the last few days but it was allocated too little capital as I am still trying to getting comfortable with it.
A update: Not much going on except that the remaining spy position was closed on Aug 8, 2014, and the efa position was closed on Aug 11, 2014, both at market close.
The system has generated only one signal ( a small gain in qqq) in the past month and so there is not much to post. Overall the system generated about 20% fewer signals this year compared to the same period last year, which has got me to worry. In any case, going forward I will probably only post the monthly results. Thank everyone who continues to read this thread.
The return for 2014 is 9.98% according to IB's PortoflioAnalyst. Actually lost slightly since this journal began. One main reason for the loss in the 2nd half of the year is that a strategy suddenly lost big in 2014. Because this strategy had been performed very well across various markets before 2014, I had allocated more capital to it than I should have.
Can you give some background on your strategies. For example, are they trend following, mean reverting, etc.? thanks fan27
A combination of mean-reverting and trend following strategies. Personally I am a firm believer in diversification.
Onto the best month for the past year. Though there is some improvement in risk management and it benefited from new strategies, I was lucky enough to be on the right side of the market.
Time to post to prove that I am still alive, I suppose. For 2015, the return was 12.98%. For the first half year of 2016 , the return was only 1.5%. I know it is not good but there are two footnotes. 1. There were several missed trades because of IB data issues (data missing or wrong data). If there were no data issues, the return would be 4%-5% for the first half year. I rewrote my program to work around the problems but occasionally still experienced them. May have to experiment with other data providers. 2. The market in the first half was really hard to trade, which I think had something to do the rate hike last year and the expected hikes (or lack of) in the future. Strategy wise, I still stuck to the same group of strategies that I used last year, but added two new ones at the beginning of this year. I also experimented with the Hong Kong index futures but quit it after a small loss.