ETFandAlgo
Newbie
- Messages
- 8
- Likes
- 0
Hi!
My name is Alexander, I'm from Moscow (from Russia with Love(c)
. Sorry for the bad English, sometimes use translator. I am 30 years old. I trade on the main stock exchanges a little more than 10 years. Worked as a trader in investment companies. The results for the last 5 years I attached below. This is my personal trading account.
The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
![S1.PNG S1.PNG](https://www.trade2win.com/data/attachments/123/123090-d21fd3048044787fd15969867b5616b9.jpg)
![S2.PNG S2.PNG](https://www.trade2win.com/data/attachments/123/123091-856eaac68ceca916f72a75e20e5ccc94.jpg)
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
![G1.PNG G1.PNG](https://www.trade2win.com/data/attachments/123/123092-810bde579d5bfad14cc4f307a8f9e71c.jpg)
![G2.PNG G2.PNG](https://www.trade2win.com/data/attachments/123/123093-0e059f59dd97d28d713c93fee60884ea.jpg)
![G3.PNG G3.PNG](https://www.trade2win.com/data/attachments/123/123094-e2e848806b5bd111758d5e3acc4710d2.jpg)
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
![V1.PNG V1.PNG](https://www.trade2win.com/data/attachments/123/123095-732626c5722ad9e0f807a1c2d7762a01.jpg)
![V2.PNG V2.PNG](https://www.trade2win.com/data/attachments/123/123096-5a524afe980438be1f91e3857ccfb0eb.jpg)
![V3.PNG V3.PNG](https://www.trade2win.com/data/attachments/123/123097-879885b1e748a163679a65bf7d09e179.jpg)
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
![2012.PNG 2012.PNG](https://www.trade2win.com/data/attachments/123/123085-c2243e3e849eceea12c43d1675207ae1.jpg)
![2013.PNG 2013.PNG](https://www.trade2win.com/data/attachments/123/123086-be82f105ef827e6b4a1c5bbb3c989b28.jpg)
![2014.PNG 2014.PNG](https://www.trade2win.com/data/attachments/123/123087-5993441edf84b122a9d5c1243d8c44c9.jpg)
![2015.PNG 2015.PNG](https://www.trade2win.com/data/attachments/123/123088-517fcd14057498f4292afd70fb16028e.jpg)
![2016.PNG 2016.PNG](https://www.trade2win.com/data/attachments/123/123089-69f72b72932b71c4940156f8cb735329.jpg)
My name is Alexander, I'm from Moscow (from Russia with Love(c)
The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
![S1.PNG S1.PNG](https://www.trade2win.com/data/attachments/123/123090-d21fd3048044787fd15969867b5616b9.jpg)
![S2.PNG S2.PNG](https://www.trade2win.com/data/attachments/123/123091-856eaac68ceca916f72a75e20e5ccc94.jpg)
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
![G1.PNG G1.PNG](https://www.trade2win.com/data/attachments/123/123092-810bde579d5bfad14cc4f307a8f9e71c.jpg)
![G2.PNG G2.PNG](https://www.trade2win.com/data/attachments/123/123093-0e059f59dd97d28d713c93fee60884ea.jpg)
![G3.PNG G3.PNG](https://www.trade2win.com/data/attachments/123/123094-e2e848806b5bd111758d5e3acc4710d2.jpg)
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
![V1.PNG V1.PNG](https://www.trade2win.com/data/attachments/123/123095-732626c5722ad9e0f807a1c2d7762a01.jpg)
![V2.PNG V2.PNG](https://www.trade2win.com/data/attachments/123/123096-5a524afe980438be1f91e3857ccfb0eb.jpg)
![V3.PNG V3.PNG](https://www.trade2win.com/data/attachments/123/123097-879885b1e748a163679a65bf7d09e179.jpg)
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
![2012.PNG 2012.PNG](https://www.trade2win.com/data/attachments/123/123085-c2243e3e849eceea12c43d1675207ae1.jpg)
![2013.PNG 2013.PNG](https://www.trade2win.com/data/attachments/123/123086-be82f105ef827e6b4a1c5bbb3c989b28.jpg)
![2014.PNG 2014.PNG](https://www.trade2win.com/data/attachments/123/123087-5993441edf84b122a9d5c1243d8c44c9.jpg)
![2015.PNG 2015.PNG](https://www.trade2win.com/data/attachments/123/123088-517fcd14057498f4292afd70fb16028e.jpg)
![2016.PNG 2016.PNG](https://www.trade2win.com/data/attachments/123/123089-69f72b72932b71c4940156f8cb735329.jpg)
Last edited: