Welcome back. I missed your biting comments.
I have to admit you are correct, still I am gushing about the strategy, better than me blindly doing covered calls.
Yeah, it's slightly different than Covered calls. Just on a Quant basis.
Not that it is an especially "smart" Quant strategy. Horrendous and inefficient use of buying power.
If you were to ask me for details of what I do? Not that I'd give up much more than this, but a good (
by good, I mean, 80 years of back tested in-sample, and 10 years of live sample data)
Inverse Correlation Strategy, that gives five flying figs about Equities direction. Make that about 60% of the book, and then ... explain enough of it to your Clearing Firm to get a little relief, so you can scale up. This one, make the periodicity around a 20 day to 60 day window
Then make about 20% of your book, a Dunn style, balls to the wall, get long, long, and then long some more,
Directional outright, higher Volatility return Process that can Annualize 25%. Periodicity around 30 day window
You have about 20% left? Give yourself 10% for maybe a nice Graham style
Deep Intrinsic model you don't have to look at that much, and the remaining 10%, for
Option Plays and you reach for 5% per month, on the 10% dedicated for Option Plays. The portfolio set up that way gives you tons of room for rebalances, and if you have to eat a -15% once in a while, on that 10% ... that's more than fine, because you have a ton of runway due to the capital in the rest of your Portfolio. As well, the longer-term stuff doesn't give you a lot to have to focus in on throughout the month; and frees up your effort.
Little secret of the Strategy Development game?
A) Have different strats, doing different things, in different periodicities and
B) You should have some longer term stuff, because the longer periodicities are much easier to develop and test, and allow for a greater "Noise Ratio". The trick with your longer-term periodicity stuff, is knowing the Max DD's / MAE's, because those valley's are where you'll get in trouble, if it just so happens you are taking a hit on one of your other strats.
There, now you know what I do for my Equities Prop. Well, as much as I'm willing to spill.
Honestly, there's no real secret sauce; sans maybe some of the "bells, switches and whistles" I use for turning points. I'm not that special in that probably 25% of the Hedge Funds out there do something similar. Heck, Clifford Assness has discussed much of what they do, and different models they have. And I'm not telling anyone (
Sans the L.S.I. that I demonstrate here) any directional outright models, or any inverse correlation arb strategy, nor am I talking about my longer term Equities stuff. In other words, I don't mind talking about the BROAD over-view. But any deeper than what I would have to put on a Tear sheet? Ehhh ... sorry.
Game Theory for the win. All it's about, is setting up your own "Casino" games on your "Casino Floor", and you know the math of each of the strategies.
But that is the long way of saying (
I always have to go about things the long way) ... is that trust me .... what I am demonstrating here? Is the most basic of basic. There is a lot more out there for folks to discover. And yeah, you're right ... It's not Covered Calls (
though it can look like it from a top-down view).
In a way, I've never run this demonstration with this little of Capital, and am sort of interested in seeing the MAE live so I know how low it can be run before it's busted. So $5k is sort of an "off the top of my head" experiment ...
As always, to see how we are doing on each process? Check out the tabs in the spreadsheet below. Thoughts, questions ... comments? Post 'em below!
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Simple Longer-Term Hypothetical Non-Correlative Strategy Processes:
https://www.elitetrader.com/et/thre...ournal-that-shows-profit.337303/#post-4951437
Spreadsheet:
That keeps track of each trade, each process, and then everything together ...
IF YOU ARE ALREADY AN OPTIONS TRADER, Here is a Disclaimer: I know, I know, I know ... as well as a secondary ...
I know ... I know ... I know
