Minimal Effort Returns - Algo Based

[Spectre2007]

Since 1993 SPY has only returned 7.1%, just shows as yields back up on notes and bonds to higher levels, the risk in other asset classes may not be worth it. Gold is at 4.7% for 30 years.

 

[Spectre2007]

always liked this triple moving average system. It keeps you in for longer time capturing bulk of move.

 

[Spectre2007]

going back to 1990 for the triple system. Linear scale of triple using full basket of futures with 350K starting in 1990.

 

[Spectre2007]

log scale of triple using full basket of futures going back to 1990.

 

[Spectre2007]

deploying triple on the 7 derivatives using 350K, 2012 to present.

 

[Spectre2007]

Derivative 8 - Chicago Wheat

2012

11.2 -10.7

2013

6 -2.4

2014

-16.6 -15

2015

10.4 -3.9

2016

-2.8 -15


surprisingly agricultural commodity held up returns.

 

[Spectre2007]

 

[Spectre2007]

The question becomes, using 400K from 2012 - 2016 resulted in 420K, what would happen if you deployed the 400K in one day on a simple EMA system with a extreme discretionary bias. One contract per 10K, 40 contracts. Trading only 1 week out of the possible 260 weeks.

60K in one week on 400K....

What if you could identify other weeks with similar discretion out of those 260 weeks. The most amount of money can be made in the shortest period of time if you have the ability to identify market catalyzing events/periods using leverage. The EMA system is constantly on after entry to exit.

 

[Spectre2007]

 

[Spectre2007]

Maint Margin = $22,300
Excess Margin = $77,700

Derivative 1 - Gold 5400
Derivative 2 - US 30 year 4400
Derivative 3 - Yen 4000
Derivative 4 - Copper 2750
Derivative 5 - British Pound 2750
Derivative 6 - 2 year note 550
Derivative 7 - 10 year note 1450
Derivative 8 - Chicago Wheat 1000

excess margin is there to buffer against volatility of the individual futures.