Long/Short portfolio in DAX universe: stationarity filters

Is this Long/Short portfolio interesting for investments?

  • I would think about investing in this portfolio

    Votes: 2 50.0%

  • No, it has suspicious properties

    Votes: 2 50.0%
  • Total voters
    4
Sergey Kamenshchikov

Sergey Kamenshchikov

Dear colleagues! What do you think about this portfolio of Long/Short positions in the DAX universe (Cumulated returns of spread)? Average annual return: 20%. Maximum historical drawdown is 13%. Stationarity optimization + Fractal filter + CAPM optimization. Is it attractive for possible investment? Thank you.

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OP posts apparently under his real name and there is quite a bit of info coming up through Google, not sure flaming him when he asks feedback on some research is most constructive.
No much opinion on the strat though,but it sure beats the dax on paper at least.
 
@Sergey Kamenshchikov Looks good except during the second half of 2013 against the benchmark. Have you included transaction costs and slippage? What execution platform and venues are you planning on testing the model against in live trading?
 
Last edited:
z3bra said:
@Sergey Kamenshchikov Looks good except during the second half of 2013 against the benchmark. Have you included transaction costs and slippage? What execution platform and venues are you planning on testing the model against in live trading?
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Thanks for your reply. Nobody is perfect :) Though this portfolio is beta neutral, it's perfomance depends on underlying index volatility. Low volatility (like in 2013) decreases spread between long and short parts of portfolio. The only way out - to invest in several markets. Transaction costs were evaluated: 1% per year of invested capital (dividends of long part reduces costs) in IB.
 
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