take a look at my portfolia curve.

T

trend2009

I developed this strategy in 2007 and have used it since then. it produced three digits return in first several years, and then the performance went down since 2014. I guess that was due to the low market volatility. in the last 12 years till now, the maximum dd is below 2%, the sharpe ratio is around 7. below is the performance chart for this year.
WeChat Image_20191123164516.png
 
S&P has returned 24% this year and has basically been a rocket ship up.

If you've been running this for 12 years post the entire return curve, otherwise it just looks like you're deeply underperforming the market.
 
the bull market makes day trading more difficult. The strategy works better in high vol environment. In 2008, the return was 250%. Wish trump step down and let stock run its own course
 
trend2009 said:
I developed this strategy in 2007 and have used it since then. it produced three digits return in first several years, and then the performance went down since 2014. I guess that was due to the low market volatility. in the last 12 years till now, the maximum dd is below 2%, the sharpe ratio is around 7. below is the performance chart for this year.
View attachment 213958
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Very nice! A few questions if you don't mind:

1. Long only or Long/Short?
2. Approx holding period of trades?
3. Automated or manual?
4. Average # of positions held at a time?
5. Trend or Reversion?
6. What instruments? Stocks, futures?
 
R1234 said:
Very nice! A few questions if you don't mind:

1. Long only or Long/Short?
2. Approx holding period of trades?
3. Automated or manual?
4. Average # of positions held at a time?
5. Trend or Reversion?
6. What instruments? Stocks, futures?
More...


1) both long and short. not necessarily market nuetral
2) a few seconds to end of the day, depends when the price hit my target to close .
3-4) automated, a few hundred trades per day. so far about 1.5 million commission has paid to IB in the last decade.
5) reversion
6) stocks.

btw, on average, I make more on short position.
 
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Nice consistently. My question would be, given you are generally trading reversion on stocks, how do you avoid getting nailed by bad news & large moves?
 
sometimes i have big loss on one stock, for example, loss 40%. but since I have hundreds of positions, each stock accounts only less than 1% of my portfolia, 40% loss is less than 0.4% hit to my account, even that is very rare.

I do not trade stocks that have news and large moves. i filter out any stocks with potential large moves.
 
trend2009 said:
1) both long and short. not necessarily market nuetral
2) a few seconds to end of the day, depends when the price hit my target to close .
3-4) automated, a few hundred trades per day. so far about 1.5 million commission has paid to IB in the last decade.
5) reversion
6) stocks.

btw, on average, I make more on short position.
More...
How do you backtest a beast of a strategy such as that? Tick data? Daily bars?
 
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