shillllihs
6,045 posts
msg #150590
- Ignore shillllihs |
1/30/2020 1:36:12 AM
Found this at C2 under the name Tony Pei,
This Xiv, I mean strategy looks quite familiar.
This is a long-only system that only trades one ETF, TQQQ. This system is designed for non-marginable accounts such as IRAs, 401ks and Cash accounts, and the risk can be controlled by yourself. On average you only expose 40%-60% of your account capital to the market.
This system is comprised of five individual sub-strategies. Each sub-strategy trades TQQQ independently. Each sub-strategy is fundamentally different, i.e. they have no correlation to each other. All of the five sub-strategies use the end of day close data to generate the signals. The five sub-strategies are a mix of trend following and mean-reverting strategies. The benefit of these mixed sub-strategies is that the result adds up each individual strategy's profit while reducing the total drawdown. In modern portfolio theory, you can reduce the overall risk in an investment portfolio and even boost your overall returns by investing in asset combinations that are not correlated.
In a bear market, this system still trades; however, it will adjust the parameters automatically. The trend-following sub-strategies will not generate positions, i.e. filtered by moving average indicators, while the mean-reverting sub-strategies will generate positions trying to buy at low and sell at high with different parameters for a bear market.
Each sub-strategy has a different holding length ranging from 3 to 10 trading days. In C2, it counts one trade after all positions are sold. Therefore you may find one trade lasts for more than two weeks instead of 3 to 10 days, which is an additive result of all five sub-strategies. However, when you click on the 'Show AutoTrade data' button in the trading record, you will find the details of each sub-strategy's transactions. Most of the time, only two or three sub-strategies will have positions. That means on average you only expose 40%-60% of your account capital to the market. Rarely will all five sub-strategies have positions at the same time.
For instance, If you have an IRA account of $25,000, you can trade $5,000 ($25,000/5=$5,000) for each sub-strategy. If TQQQ's price is $70/per share at that time, you can trade 70 shares ($5,000/70=71.4, rounded to 70) per sub-strategy. In C2, I trade 100 shares per sub-strategy. If you want to auto-trade this system, you can set AutoTrade Scaling to 70%.
This system is designed for non-marginable accounts, but it can also be traded with a marginal account. For instance, if you have a marginal account, the maximum amount you can trade is $35,000. You can trade 100 ($35,000/5/70=100) shares per sub-strategy, assuming that TQQQ's price is $70/per share at that time.
The best part of this system is that you can control the risk by yourself. For instance, as with the above example, you have an account that can trade up to $35,000. Based on the standard calculation, you will trade 100 shares for each sub-strategy. If at any moment, you do not feel it is advantageous to trade in such a volume, but would still like to participate in the market, you can reduce the shares of each sub-strategy from 100 to 50. This way, you are still in the market but will reduce the risk by 50%.
On average only two or three sub-strategies have positions at any given time, which means you only use 40% to 60% of your account capital. If you are comfortable with the current market and would like to take more risk for higher returns at that time, you can increase the shares of each sub-strategy.
|