Oct 31

My experience with Trend Following and Equities…

In January 2014 I decided to launch the HF model which was an attempt to apply trend following mostly on US and Canadian equities.
Nine months and 234 trades later (that I took), here are the returns, expressed in terms of reward/risk, dividends not included.

Main takeaways:

  • Equities only is difficult, at least with this system and samples
  • Adding short positions might have lowered correlation (?)
  • Could not take all the weekly trades due to capital limitation hence introducing discretion (which is a no-no)

What’s next

  • Continue trading this system, reducing to long ETFs only (reason = more long ETFs available than short ETFs and I want to keep one trading account only)
  • Expand from equities only to ideally equal-weighted universe, i.e., equities, commodities (agri + non-agri), currencies, rates (as per Clenow‘s book)
  • Monitor correlation with covariance matrix
  • Model will continue to be free access

Returns & Distributions (click to expand)
Screen Shot 2014-10-31 at 12.08.39 PM

Screen Shot 2014-10-31 at 11.01.00 AM

Screen Shot 2014-10-31 at 10.57.33 AM

Screen Shot 2014-10-31 at 11.05.45 AM

Screen Shot 2014-10-31 at 11.04.02 AM

Oct 26

Oct 27 Trades: Exit $JO $XSB.TO No new entries

Oct 18

Erratum: Read “Buy $XSB.TO (risk = $0.17)” instead of $XSP.TO

Oct 17

Oct 20 Trades: Sell $PRSC $SLP $GULF $PBJ Buy $XSB.TO (risk = $0.17)

Oct 10

Oct 13 Trades: Enter $TLT ($5.29) $IEF ($2.11)

Oct 10

Oct 13 Trades: Exit $VNM $MOAT $EGPT $OILT $LPNT $NOC $LNG $IBKR $CYBE $QQQ $SMH $KBWB $HII $RUK $KED $M $ZQQ.TO $ZUB.TO $NAL.TO $MX.TO

Oct 06

$GTAT was a “BUY” only 2 days ago

Screen Shot 2014-10-06 at 2.28.13 PM

Oct 03

Oct 6 Trades: Exit $HHC $MPAA $QQQC $PSX $IIIN – No new position

Sep 26

Sep 29 Trades: Exit $WCP.TO $PPL.TO $MFI.TO $WPK.TO $PRW.TO $POM.TO $CHE.UN.TO $HA $EWT $IGF $JJU $WX $PLCM $LXK $FINL (No new position)

Sep 21

Sep 22 Trades: Exit $DEE.TO $RRX.TO $VSN.TO $SGY.TO $CUF.UN.TO $EDV.TO $WX $NEM Enter $EWT $CNC

Screen Shot 2014-09-21 at 4.33.35 PM

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