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Systematic US Equities Investing
- Thread starter mahras2
- Start date
Mahras, thanks for the update.
You mentioned that you have stopped trading the equity system for various reasons.
I am questioning either the validity of the backtest(your backtest results were superb) or I am questioning our ability as investors to stick with our systems during difficult drawdowns. Anyone care to comment on either?
I do look forward to future updates if you have the time.
You mentioned that you have stopped trading the equity system for various reasons.
I am questioning either the validity of the backtest(your backtest results were superb) or I am questioning our ability as investors to stick with our systems during difficult drawdowns. Anyone care to comment on either?
I do look forward to future updates if you have the time.
chaimshmerel> I understand what you mean. This has been a side project for me as already noted. I should have observed the performance of the system further before heading into it which is exactly what I am doing right now. I still believe that this system has merit (as I think the backtests are indeed accurate). However, I need to observe this on a walk forward basis which is important for any system.
Nothing big to note except that the long model has given back some profits made in August and is currently +2.22% for the month and shows a net return of -1.42% since start of the journal vs. +0.96% for the S&P 500. The hedged model, however, has made some steady gains and is +0.17% for the month.
Positions will be liquidated on September 1st.
Nothing big to note except that the long model has given back some profits made in August and is currently +2.22% for the month and shows a net return of -1.42% since start of the journal vs. +0.96% for the S&P 500. The hedged model, however, has made some steady gains and is +0.17% for the month.
Positions will be liquidated on September 1st.
Mahras,
I enjoyed your journal and hope you can trade your systems again in the future.
As for the last few months, how did your cash account differ from your model account? Were there significant divergences? Did liquidity or trading fees play a role? Or did your system trade accurately according to your model?
All the best,
Granville
I enjoyed your journal and hope you can trade your systems again in the future.
As for the last few months, how did your cash account differ from your model account? Were there significant divergences? Did liquidity or trading fees play a role? Or did your system trade accurately according to your model?
All the best,
Granville
Results for September:
Long-only Model: +3.80%
Hedged Model: +1.03%
Long-only model (since start of journal):
Model: +5.36%
S&P 500: +4.06%
Dow: +7.02%
NASDAQ: -2.07%
Russell 2K: -0.09%
Wilshire: +2.94%
So, the model has beat its benchmark, the S&P 500, and the rest of the indices other than the Dow which has recently been flirting with its historical highs.
Hedged model (since inception in July):
Model: -1.34%
The hedged model has been recovering from the initial hit it took in July (when the long positions simply blew up). The returns have been as expected and nothing to cause alarm.
Long-only Model: +3.80%
Hedged Model: +1.03%
Long-only model (since start of journal):
Model: +5.36%
S&P 500: +4.06%
Dow: +7.02%
NASDAQ: -2.07%
Russell 2K: -0.09%
Wilshire: +2.94%
So, the model has beat its benchmark, the S&P 500, and the rest of the indices other than the Dow which has recently been flirting with its historical highs.
Hedged model (since inception in July):
Model: -1.34%
The hedged model has been recovering from the initial hit it took in July (when the long positions simply blew up). The returns have been as expected and nothing to cause alarm.
IV> I was actually short JBL. I would have made money if I was long (even after that run up). The long portfolio's returns this month had a big range. FTO lost 17% but RIMM was up 25% and PCCC was up 37%.
Granville> No I had no problem in replicating the results. Liquidity was no issue what so ever for my size and trading fees were managable. The difference was nothing to cause alarm (in one of the months I actually did better than the reported results). It can go both ways and over the long run should average out.
Granville> No I had no problem in replicating the results. Liquidity was no issue what so ever for my size and trading fees were managable. The difference was nothing to cause alarm (in one of the months I actually did better than the reported results). It can go both ways and over the long run should average out.