Nov 21

HF Model Trades for Nov 21: Exit $ENZL Enter $EIDO (risk=$2.48) $EWT ($1.09) $EWC ($2.31)

Nov 15

HF Model Trades for Nov 17: Enter $EWH (risk=$1.42) and $ENZL (risk=$2.23)

Nov 14

Always fascinating to see smart people doing really dumb things with their savings…

Screen Shot 2014-11-14 at 2.34.21 PM

Nov 07

HF Model Nov 10 Trade: Exit $EWJ

Nov 04

Must read books about the science of trend following investment and the art of applying it @clenow @GaryAntonacci @TopTradersLive @katykam

  • Following the Trend, Andreas F. Clenow, 2013
  • Dual Momentum Investing, G. Antonacci, 2014
  • Trend Following with Managed Futures, A. Greyserman and K. Kaminski, 2014

Nov 04

Erratum: MonthlyUSD YTD return as of Oct 31 = +3.25%

Nov 03

HF Model Trades: Exit $ALN Enter $EWJ (risk=$0.78/share)

Nov 02

YTD Returns of my ETF models. Monthly rebalanced beats Weekly Rebalanced.

Screen Shot 2014-11-02 at 10.04.00 AM

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

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Oct 26

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

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