Momentum ETF Weekly Portfolio

[quanttraderx]

I’ve been trading since 2007 and have been focusing on ETFs over the last few years. The purpose of this journal is to track and to make improvements on a new portfolio based on ETFs using a weekly time-frame.

My primary strategy styles are swing and position trading using an algo approach. This portfolio uses a weekly momentum strategy that takes advantage of the decay effects on the inverse Nasdaq index ETFs, S&P500 and the VIX volatility ETN. Also, the inclusion of a gold miners ETF is to provide diversification and to benefit from global central banks reckless momentary policies. The instruments traded will be CFDs instead of the actual ETFs/ETN because of the easy of short selling. The performance will be tracked via myfxbook and updated weekly.

Trade Plan:
Objectives – Outperform the Nasdaq100 index by 10% p.a with maximum closed draw-down of less than 30%.
Markets – US ETFs: GDX, SDS, SQQQ and VXX.
Trading style – Algo long/short momentum.
Time-frame – Weekly.
Entry – Simple breakout.
Exits – Multiple exit rules.
Money management – Equal percentage allocation with a maximum exposure of two times balance.

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 has failed to break below key support level of 10,650, forming a potential double bottom .
- Friday close of +2.23% puts the week's gains back in the green.
- If prices can break above Friday's high of 11,167 we should see a retest at the 11,600 level at the 50% retracement level from 2 Sep all-time high.
- New long orders for SQQQ and GDX.
- New short orders for SDS and VXX.

Open position:
Short SQQQ @ 27.48.

 

[1nvest]

@quanttraderx what has the historic returns been with this strategy? can you show us a backtest?
I love what you're trying to do, I use momentum alot in my strategies so completely with you in this.

 

[quanttraderx]

@quanttraderx what has the historic returns been with this strategy? can you show us a backtest?
I love what you're trying to do, I use momentum alot in my strategies so completely with you in this.

Hi 1nvest,

The weekly time-frame generally shows the best performance compared to the daily. The only issue is that most ETFs were created after the 2008 financial crisis, therefore the sample size can be less than 100 trades. However, momentum/trends are inherent in all markets. I've run the same model on the QQQ, which has data going back to 1990 and the results are good, showing the system's robustness. Below is a basic breakout strategy for the QQQ.

Weekly Breakout Strategy For QQQ ETF

A simple breakout system to trade QQQ that uses only one indicator. Trade Plan: Instruments – QQQ. Trading style – Long momentum. Time-frame – Weekly. Entry – Simple breakout. Exits – Initial stop loss and trailing stop loss. Trading Rules: Legend: DCUp := Donchian Channels upper band (Length...

www.trade2win.com

Back test results are below:
Starting Capital - $10,000
Slippage and Commissions - $5 per side
Position Size - $5,000 per trade
Compound Returns - No
Test History -15/01/2010 to 25/09/2020

 

[1nvest]

good results. I looked at your previous thread. its practically identical to one i use albeit i use monthly.
better returns, but higher drawdown, which i compensate for with a broader mix of asset class
glad to see more momentum type users. wish you the best

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 reached 1600 price level, the 50% retracement from 2nd Sep all-time high to but failed to break above.
- Friday’s selloff due to President Trump and the First lady being infected with Covid puts the week’s gains in the red.
- Short order filled for SDS at 16.08.
- Short order filled for VXX at 25.01.
- Price reversal rule triggered for SQQQ, exiting at market on open.
- New long orders for GDX.

Open positions:

Short SDS @ 16.08

Short SQQQ @ 27.48

Short VXX @ 25.01

ETF Momentum Inverse System by quanttraderX1 | Myfxbook

www.myfxbook.com

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 only 76 points away from 61.8% retracement and 1800 key level.
- President Trump recovers from Covid and stimulus talks generating positive outlook for the market.
- New long orders for GDX.
- New short orders for SQQQ.

Open positions:

Short SDS @ 16.08

Short VXX @ 25.01

ETF Momentum Inverse System by quanttraderX1 | Myfxbook

www.myfxbook.com

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 failed to break above 12,200 key level and closed red for the week.
- Closed SDS Short trade on for a net gain of +10.20%
- Entered new short trade for SQQQ.
- New long orders for GDX.
- New short order for SDS.

Exit SDS @ 14.44

Open positions:

Short SQQQ @ 20.04

Short VXX @ 25.01

ETF Momentum Inverse System by quanttraderX1 | Myfxbook

www.myfxbook.com

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 trading lower for the week on stimulus uncertainly but finding support around the 11,500 level.
- SQQQ short trade hit stop loss, closed position @ 21.24 for a net loss of -2.89%.
- Entered new short trade for SQQQ @ 14.62.
- New long orders for GDX.
- New long orders for SDS.
- New long and short orders for SQQQ.

Exit SQQQ @ 21.24

Open Positions:

Short SDS @ 14.62

Short VXX @ 25.01

ETF Momentum Inverse System by quanttraderX1 | Myfxbook

www.myfxbook.com

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 down 617 points this week due election uncertainly.
- Prices could still fall further to test the 16th Sep low of 10,656 and then recover after the election.
- SDS short trade hit stop loss for a net loss of -3.13%
- VXX short trade hit stop loss for a net gain of +2.25%
- Entered short on SQQQ at 21.60
- Entered long on SQQQ at 25.35
- New long orders for GDX.
- New long orders for SDS.
- New long orders for VXX.
- New short orders for SDS.
- New short orders for VXX.

Closed Trades:

Exit SDS @ 21.24

Exit VXX @ 23.75

Open Positions:

Short SQQQ @ 21.60

Long SQQQ @ 25.35

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 recovered all the loses from last week’s pre-election selloff to close at 12,075.
- We should see a retest of the 2nd Sep all-time high at 12,500 level.
- SQQQ short trade hit stop loss for a net loss of -6.64%.
- Closed SQQQ long at the open for a net loss of -1.75%.
- Entered Long on GDX at 41.34.
- Entered short on SDS at 16.20.
- Entered short on VXX at 22.47.
- No new orders.

Closed Trades:

Exit SQQQ Short @ 25.03

Exit SQQQ Long @ 24.44

Open Positions:

Long GDX @ 41.34

Short SDS @ 41.34

Short VXX @ 22.47

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 fails to break above all-time high of 12,465 after vaccine optimism, closing slightly negative for the week.
- Closed GDX Long trade at the open for a net loss of -4.20%.
- Closed SDS short trade at the open for a net gain of +5.84%.
- Closed SQQQ short trade at the open for a net gain of +6.77%.
- New long orders for GDX.
- New short orders for SDS.
- New short orders for SQQQ.
- New short orders for VXX.

Closed Trades:

Exit GDX long @ 39.33

Exit SDS short @ 13.29

Exit VXX short @ 19.31

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 trading in a tight range this week, hoovering between 12,906 and 11,804. A good chance we can see a breakout to the upside to re-test all time-high.
- Entered short on SDS at 13.45.
- Entered short on SQQQ at 19.33.
- Entered short on VXX at 18.22.
- New long orders for GDX.
- New long orders for SQQQ.

Open Positions:

Short SDS @ 13.45

Short SQQQ @ 19.33

Short VXX @ 18.22

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 finally broke above the 12,100 short-term resistance level to retest all-time high of 12,465.
- Closed SQQQ short trade at the open for a net gain +0.18%.
- New long orders for GDX.
- New short orders for SQQQ.

Closed Trades:

Exit SQQQ short @ 19.22

Open Positions:

Short SDS @ 13.45

Short VXX @ 18.32

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 has broken above 2nd Sep high to make all-time high and now set to reach 12,800 psychological level.
- Entered short on SQQQ at 17.73.
- New long orders for GDX.

Open Positions:

Short SDS @ 13.45

Short SQQQ @ 17.73

Short VXX @ 18.32

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 made all-time highs but has retraced back to find support at 12,400 level.
- Closed SQQQ short trade at the open for a net gain +2.07%.
- New long orders for GDX.
- New long orders for VXX.
- New short orders for SQQQ.

Closed Trades:

Exit SQQQ short @ 16.63

Open Positions:

Short SDS @ 13.45

Short VXX @ 18.32

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 has reached an all-time high of 12,800 level but found support at the 12,700.
- Closed SDS Short trade on for a net gain of +0.85%.
- Closed SQQQ Short trade on for a net gain of +6.17%
- Closed VXX Short trade on for a net gain of -0.82%
- New long orders for GDX.
- New short orders for SDS.
- New short orders for SQQQ.

Closed Trades:

Exit SDS short @ 13.16

Exit SQQQ short @ 16.65

Exit VXX short @ 18.73

 

[quanttraderx]

Weekly Summary:
- Nasdaq100 has made all-time once again this week, closing 112 points shy of 13,000.
- We should new all-time highs unless there are negative news next week.
- Entered short SQQQ at 15.41.
- Entered short VXX at 16.58.
- New long orders for GDX.

Open Positions:

Short SQQQ @ 15.41

Short VXX @ 16.58

 

[quanttraderx]

Weekly Summary:
- After an initial sell-off at the beginning of the week, Nasdaq100 has managed to closed the week at new record highs breaking the 13,000 level for the first time.
- VIX index rose sharply as result of Monday’s sell-off, a few points shy of the 30 level.
- Gold was dumped on all week and declined sharply on Friday.
- GDX long trade triggered stop loss for a net loss of -2.93%.
- Closed SQQQ short trade at the open for a net gain of +1.46%
- VXX short trade triggered stop loss for a net loss of -5.20%.
- New long orders for GDX.
- New short orders for SQQQ.
- New short orders for VXX.

Closed Trades:

Exit GDX @ 36.13

Exit SQQQ @ 15.01

Exit VXX @ 17.97