The Green Alpha

Thanks, we don't use a stop loss, we've tried to (indexed to volatility, to ATR, or to a number of different things) but we´ve only managed to decrease the performance with a minor impact on volatility.
 
Quote from TheGreenAlpha:

Thanks, we don't use a stop loss, we've tried to (indexed to volatility, to ATR, or to a number of different things) but we´ve only managed to decrease the performance with a minor impact on volatility.
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Do you mind if I ask what triggers the 2X position calls ? Noticed them a few times, and Ive noticed that you only do it one, win or lose.

Thanks for responding.
 
Shure!, we usually leverage when our algorithms reach a certain level of confidence and it is theoretically possible to be leveraged for more than one day as it has happened a number of times in the past (not yet registered in the forum), but it is not a common thing to happen.

Our basic strategy is to follow the trend and to take advantages on some short term movements against it as we did on the last couple of days. Because we constantly take positions against the S&P500, it means that we can't really compare the index performance to our own, but on the other hand, our main objective is to consistently have excess returns over the S&P 500, so although not comparable it is useful to understand the performance of our strategy. (I hope that's not confusing :confused: )

here you have as of today:
<table class="google-visualization-table-table" cellspacing="0" style="width: 260px; "><tbody><tr class="google-visualization-table-tr-head"><td class="google-visualization-table-th google-visualization-table-sorthdr"><span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">TGA<span class="google-visualization-table-sortind">&#8195;</span></td><td class="google-visualization-table-th google-visualization-table-sorthdr">S&amp;P<span class="google-visualization-table-sortind">&#8195;</span></td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Cum Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">17,4%</td><td class="google-visualization-table-td google-visualization-table-td-number">9,21%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg Perf</td><td class="google-visualization-table-td google-visualization-table-td-number">0,17%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,09%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td">Avg W</td><td class="google-visualization-table-td google-visualization-table-td-number">0,75%</td><td class="google-visualization-table-td google-visualization-table-td-number">0,59%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Avg L</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,67%</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,66%</td></tr><tr class="google-visualization-table-tr-even"><td class="google-visualization-table-td"># W</td><td class="google-visualization-table-td google-visualization-table-td-number">58</td><td class="google-visualization-table-td google-visualization-table-td-number">59</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td"># L</td><td class="google-visualization-table-td google-visualization-table-td-number">40</td><td class="google-visualization-table-td google-visualization-table-td-number">39</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Max DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-6,96%</td><td class="google-visualization-table-td google-visualization-table-td-number">-5,76%</td></tr><tr class="google-visualization-table-tr-odd"><td class="google-visualization-table-td">Curr DD</td><td class="google-visualization-table-td google-visualization-table-td-number">-0,38%</td><td class="google-visualization-table-td google-visualization-table-td-number">-1,1%</td></tr></tbody></table>
 
Quote from TheGreenAlpha:

Shure!, we usually leverage when our algorithms reach a certain level of confidence and it is theoretically possible to be leveraged for more than one day as it has happened a number of times in the past (not yet registered in the forum), but it is not a common thing to happen.

Our basic strategy is to follow the trend and to take advantages on some short term movements against it as we did on the last couple of days. Because we constantly take positions against the S&P500, it means that we can't really compare the index performance to our own, but on the other hand, our main objective is to consistently have excess returns over the S&P 500, so although not comparable it is useful to understand the performance of our strategy. (I hope that's not confusing :confused: )
More...

Understood, thank you for clarifying and responding, will keep on following your progress.

Best of luck.
 
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