Recent content by Manny Mendelson

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...

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...

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...

Equity curve of shorter term trades from 2017. 350+ trades, hold time from minutes to 40 days. All Tradestation/Easylanguage coded strategies. All strategies tested from at least 1/1/2007, All used Kelly-style position-sizing. Profit factor: 3.70, 76% profitable. All real-time/ real money.

I have a number of fairly unglamourous systems that have worked for me. I posted about one on the thread linked below. All results are from real-time trades. The market is cruel and there are no guarantees. check out the thread if you like and feel free to contact me. Thread...

Hi to all commenters Thanks for all of the input. I’ve enclosed a JPEG of the equity curve and some stats. Again, live trades, on IB, with “Portfolio Allocator” pdf available for the period when I started trading the strategy exclusively. I understand the comment about the “low drawdown market”...

I recently saw a post on LinkedIn that said a quant-oriented asset allocator was looking for strategies with a Sharpe Ratio greater than 0.7 and a track record of at least 12 months. I then realized I had real-world trading results that beat those benchmarks, in an account devoted to a single...