Hi all,
Been away for almost a year …. Days turned into weeks and weeks turned into months, but months did not turn into years yet! I am still doing the system trader thing with some success after the recent momentum run. And I am still on Amibroker, but not averse to RT. Just need to find the time.
Stock-Based ETF Strategy (Momentum with Profit Target)
74 stock-based ETFs with data to at least 2007
2023 -6.9% (got slammed in September)
2024 Jan +0.6%
2024 Feb +4.5%
NDX Momentum Rotation Strategy
2023 +10.2%
2024 Jan +6.1%
2024 Feb +11.8%
SPX Momentum Rotation Strategy (sans Financials sector)
2023 +11.3%
2024 Jan +7.0%
2024 Feb +10.8%
Russell 1000 Mean-Reversion Strategy
2023 +0.1% (slammed in March)
2024 Jan +1.3%
2024 Feb -0.1%
Goals for the next month or two:
Check the forum at least twice a week and tune in to a call when possible.
Revamp the mean-reversion strategy. It is not worth the hassle with current returns. Got hit hard in March 2023 (-6.4%) with the Silicon Valley bank scare as the system was too heavy in financials. Perhaps I should limit sector exposure, but this is a double sided sword (think, tech). The strategy produces some good trades, but then gets some outsized hits as the knife continues to fall.
While I am generally happy with the returns on the momentum-rotation strategies, I would like to see fewer trades, a longer holding period for winners and a higher Profit/Loss%. My current system also operates using the position score value 20 days prior. I wouldn’t mind a current score so I can see current rankings, not the rank score 20 days ago. In this regard, I have new systems on the backburner that I will consider for the next market cycle, or perhaps after we see a drawdown. Hmm… waiting for the pullback. I’ve heard that one before.
Cheers,
Arthur
