ETFandAlgo
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Hi!
My name is Alexander, I'm from Moscow (from Russia with Love(c)
. Sorry for the bad English, sometimes use translator. I am 30 years old. I trade on the main stock exchanges a little more than 10 years. Worked as a trader in investment companies. The results for the last 5 years I attached below. This is my personal trading account.
The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
My name is Alexander, I'm from Moscow (from Russia with Love(c)
. Sorry for the bad English, sometimes use translator. I am 30 years old. I trade on the main stock exchanges a little more than 10 years. Worked as a trader in investment companies. The results for the last 5 years I attached below. This is my personal trading account.The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
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