HF Model

Selection Criteria

  • US common stocks and ETFs & Canadian common stocks
  • Price relative strength
  • Channel breakout
  • Simple moving average
  • ATR trailing stop
  • Long only positions

Rules

  • Buy up to top 40 at the weekly open
  • Buy & Sell signals are posted & twitted prior to the weekly open

Position Sizing

  • Each trade shows a Risk/Share ($) value
  • Risk ($):  no more than 1% of your total account on any one trade
  • Risk/Share ($) are published over the week-end for all new trades

Returns (as of Oct 31, 2014)

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)
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