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Up 4% in 3 Days - Five Stocks/Wk, Zero Margin, Fully Hedged


#41

Good response. Let your results do your talking for you. You’ve said enough.


#42

Thanks for the response. From this data, it does show you are hedged, but not 100% in 1:1 beta for beta protection. But it’s some what account $ balance hedged. If long 50k in stock vs short 50k $iwm you are going to capture 35-40% of the downside of those stocks.

From your backtest an 80%+ gain with 15% draw down is achievable but requires almost perfect stock picking and perfect timing. At my day job we have a team of 32 working 10+ hours per day and we can barely achieve half of your return at the same DD rate. If you can maintain the longevity of 80% annual alpha with 15% DD then good for you man!

Good luck!


#43

Rgdg Liqudity - FYI:

This weeks top five stocks traded, inc avg-volumes (63 day)…

top-five-avgvol-data


#44

Important Message for all Sims/Subscribers…
There was an error with C2’s systems yesterday which resulted in showing an incorrect daily P/L and all-time P/L. I am advised this has now been fixed by C2, so all data (daily/all-time P/L) is now reflecting accurately.
On another note - I have almost completed my research into testing out the long/short strategy purely for ‘liquid’ (S&P500 only) stocks. This would allow the same rules etc., to be appied to more easier to trade S&P stocks. The long/short strategy would buy 5 stocks long and 5 stocks short, all in the S&P500. I will post more details on this in the next few days.


#45

That’s a pretty big change. What’s the backtest result?

Often are you going to change the system?


#47

There will be no changes to the @fiveHedged strategy, which will continue to run as normal.

The strategy applied to S&P500 stocks (long 5 stocks, fully hedged) is based on the same ‘long entry’ rules (but instead of shorting an ETF, we would short five S&P stocks, totalling same dollar value as the long S&P stocks), and will be launched as a brand new, seperate strategy here on C2.


#48

In your strategy description it says you trade five stocks a week, published every Monday. In your trade history here, you are trading much more often than that. What’s going on?

I am always looking for systems that are easy to trade manually and are IRA-friendly, so no margin, no shorting, no day trading. Your system seemed to fit the bill so have been keeping an eye on it but now I’m not so sure.


#49

Please check Direct Message.


#51

Latest Update on fiveHedged Strategy:
New all-time record high today: +6.0% since launch (fully hedged portfolio).

fivehedged-update-11142018


#52

Quick Update on fiveHedged Portfolio…

(1) the portfolio is permanently hedged by IWM, we have not suffered the heavy market correction in recent days, for example…

Today: fiveHedged Portfolio down 0.7% (approx)

Compared to:
Dow: -2.08%
S&P: -1.83%
Nasdaq: -2.38%

Similar pattern yesterday (portfolio was net positive), compared to heavy losses on dow, s&p, and nsdq).

(2) I am also researching how the portfolio would have performed historically, and since live-launch, based on a 5% stop-loss on all trades, and no hedge. The current summary-results look positive, with returns averaging 60.05%/year, with max d/d 11.40% since Jan 2007.

Rules: Buy 5 stocks Monday, fix 5% trailing stop-loss on each stock. Exit following Monday, and buy latest 5 (some carried forward if in top-5). No hedge.

Key: Red line = Portfolio, Blue-line = Benchmark (s&p)


#53

Backtests are impressive, but I’ve never seen a backtest on here I didn’t like.

Just be careful you aren’t over-fitting with all your new ideas for tinkering with it.

So far so good. Indeed this is one of the more interesting systems I’ve seen in a long time. :popcorn:


#54

I agree, too much tinkering is something I am fully aware of, so ensure I steer clear of that. In this case there are no additional entry ‘rules’ than the original. I have kept rules consistent/unchanged - the only difference in the above is from subscriber-requests to apply a ‘long only’ test, so (for the test only) I applied the two rules: remove hedge, and apply 5% trail-stop to all entries.
Of course, if this is launched it will be separate to the already running/undisturbed fivehedged.


#55

Yes. I agree that this hedge idea is interesting. I wish there were more of these instead of the reckless over leveraged trading systems that is typical of most C2 systems.

Don’t over backtest since all that does is curve fit your strategy and confirm that it works in the past. As we all know the future can behave differently.