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Compound Algo (new stocks strategy)

#1

I’m checking if there is any interest in stocks strategy (long 125%, short 50% of account size) based on proprietary stocks ranking and monthly rebalancing. The strategy will contain up to 10 stocks on the long side and up to 4 stocks on the short side, with minimum capitalization above 5B. I want to price this strategy at $99, run as 100% TOS, with initial capital 100k. Backtested performance of past 3 years below:

Any comments?

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#2

Nice concept @MarekJ!

It will always be nice to have another hedge strategy!

I’m cheering for you!

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#3

Looks REALLY promising! The only concern I have is the last three years have been Bullish so how does the backtest looking in bear/down market? I really like the equity curve SMOOTH

#4

Unfortunately, I cannot go further than 3 years back (some inputs I’m using are not available before 2016). At the moment, I’m not sure when I will run this strategy. My last 12 months performance is twice better than strategy performance. Also, I want to observe strategy by a few months to check how it behaves without any input changes. Below chart for the past 12 months:

Also, the goal of the strategy is outperforming SPY in up and down markets, not absolute return. From 2016 we had a few corrections in SPY and strategy did hold very well during these periods.

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#5

Thank you for the Info – keep up the good work. Would be nice if we had longer time test, but I understand.

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