My Hedged Fund - Another "Trend-Following" Post

This is a discussion on My Hedged Fund - Another "Trend-Following" Post within the Trading Journals forums, part of the Reception category; Originally Posted by meanreversion Boston, just looking at your blog, would you say $10k is an average investment size for ...

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Old Feb 16, 2011, 10:36pm   #99
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Re: My Hedged Fund - Another "Trend-Following" Post

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Originally Posted by meanreversion View Post
Boston, just looking at your blog, would you say $10k is an average investment size for you, per ETF?
Investment size today would be $7,541 to be exact. I allocate investments using 2.5% of available capital; current proprietary capital in "My Hedged Fund" is $229,363, plus the use of $72,267 in marginable securities give me a total of $301,630 of available capital, times 2.5%, and there's your $7,541. This number of course fluctuates on a daily basis.

Boston
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Old Feb 18, 2011, 11:11pm   #100
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Re: My Hedged Fund - Another "Trend-Following" Post

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Week 7: When will the trend end?


Bears are saying we're definitely over-extended, and that a correction is imminent, some bulls say this ride has barely started. While I may care about the answer, and as a true trend-follower would say, I do not have the slightest clue.

Current Positions:

I completed the following transactions this week:
  • - Sold my positions in Grains (JJG), Nuclear Energy (NLR) and 30-Yr Treasuries Short (TMV)
  • - Reduced my positions in Financial Services (FAS) and Agriculture (DBA).
  • - Added to Nasdaq (TQQQ), Japan (EWJ), Canada (EWC) and the S&P 500 (UPRO) after receiving “pyramiding” buy signals.
  • - Bought the Russell 2000 (TNA), Real Estate (IYR) and Metals & Mining (XME) after receiving technical buy signals.
I continue to hold 20 positions, as well as some cash which I may use to add to my Consumer Discretionary (XLY), Water (PHO) and Materials (XLB) positions early next week.

Current positions listed in more details here.

Current performance:
Week 7 saw a continuation of the trends observed throughout the entire year; following in general the rise in the US, Canada and Japan markets, as well as the Energy Sector. I am at this point (and have been for almost two weeks) totally out of the emerging markets arena.

The fund increased in value by 3.02% during the week; total return YTD stands at 12.53%. Chart with some relevant benchmarks below:

Click the image to open in full size.

Current sector allocations below:

Click the image to open in full size.

Questions and comments always welcomed and often answered...

Boston
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Old Feb 18, 2011, 11:34pm   #101
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Re: My Hedged Fund - Another "Trend-Following" Post

myhedgedfund started this thread Pictures below...

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http://www.trade2win.com/boards/atta...1&d=1298072000
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Old Feb 19, 2011, 7:34am   #102
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Re: My Hedged Fund - Another "Trend-Following" Post

Very promising start to the year, well done. At this moment, how much of your account would you say you have open to the market, i.e. if every single position suddenly went to its stop level, what % of your equity would you have lost?
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Old Feb 19, 2011, 3:42pm   #103
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Re: My Hedged Fund - Another "Trend-Following" Post

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Originally Posted by meanreversion View Post
Very promising start to the year, well done. At this moment, how much of your account would you say you have open to the market, i.e. if every single position suddenly went to its stop level, what % of your equity would you have lost?
Current "open to the market" risk as of today is 8.21%, meaning, the account will suffer an immediate loss of 8.21% if all technical stop-losses are hit at the same time. I track this number on a daily basis, and chart it on a weekly basis. It has been between 6.5 and 12% all year (see below).

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Old Feb 19, 2011, 4:19pm   #104
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Re: My Hedged Fund - Another "Trend-Following" Post

Hmmm, you're running fairly 'hot' relative to my risk size ..... I think you mentioned at the very beginning that you would not expect to see a DD larger than 30%.... is this something you've calculated from backtesting? This is in no way having a go at you, I'm just trying to guage your risk parameters. For example, I bet 0.75% equity per market, up to a total of 10 markets, and would expect to see DD of between 20-30 at some point.

You have 20 positions open, but what risk as % of equity is each one?

Final question - do you know the annualised vol of your daily returns?

(Excellent thread by the way)
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Old Feb 19, 2011, 5:30pm   #105
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Re: My Hedged Fund - Another "Trend-Following" Post

myhedgedfund started this thread Correct Meanreversion; I expect a DD of no more than 35% as calculated from backtesting. It is actually a quite typical DD for trend-following systems, with the exception of the likes of Dunn, who have been known to experience a DD of up t0 60%, followed by expectacular returns of course (see sample performance chart from Dunn Capital Management).

Dunn Capital Management.pdf

Weighted risk as % of equity for my current positions listed below:

DBA 0.12%
ERX 1.81%
EWC 0.24%
EWJ 0.24%
FAS 0.34%
FCG 0.30%
IAI 0.13%
IYR 0.12%
MWJ 1.00%
PHO 0.16%
TNA 0.39%
TQQQ 0.95%
TYH 0.33%
UDOW 0.23%
UPRO 0.84%
XLB 0.14%
XLI 0.33%
XLY 0.12%
XME 0.23%
XOP 0.18%


I do calculate the annualized daily returns, but the data, while informative, has limited actionable value (for me based on my trading style). How do you use this data? I'm actually curious here...

BTW, thanks for the nice comment...

Boston
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