Arthur’s Journal

[JulianCohen]

Interesting that a Stop Loss gives you good results…generally speaking in MR strategies it hurts the strategy

[ArthurHill]

Yes, I thought it was interesting as well. Never had much success with stops, except when they are very loose and/or prevent risk-of-ruin. I need to double check the code, of course.

[ArthurHill]

Results for May 2024 and YTD

Stock-Based ETF (Momentum with Profit Target)
74 stock-based ETFs with data to at least 2007
2024 May +4.6%
2024 YTD +8.0%

NDX Momentum Rotation
2024 May +4.1%
2024 YTD +14.2%

SPX Momentum Rotation (sans Financials sector)
2024 May +2.0%
2024 YTD +26.4%

Russell 1000 Mean-Reversion
2024 May +1.1%
2024 YTD +2.2%

After a drawdown in April, the strategies rebounded nicely in May.
Putting off system changes until August as the summer holiday season hits.
Adjusting takeover filter to weed out stocks that received a takeover offer (SQSP)
Adding a volatility filter to weed out meme stocks.
Revisions to the RUI mean-reversion strategy will be implemented in August-September.
Good luck all!

[Nick Radge]

Rolling along nicely Art. Well done.

[ArthurHill]

Results for June, July, August and YTD

Stock-Based ETF (Momentum with Profit Target)
74 stock-based ETFs with data to at least 2007
2024 June -0.1%
2024 July +3.6%
2024 Aug +2.1%
2024 YTD +14.2% 

NDX Momentum Rotation 
2024 June +3.7%
2024 July +7.8%
2024 Aug -0.3%
2024 YTD +9.4%

SPX Momentum Rotation (sans Financials sector)
2024 June -2.7%
2024 July +0.6%
2024 Aug +9.7%
2024 YTD +35.9%

Russell 1000 Mean-Reversion 
Stopped trading. Might restart a revamped strategy in October 

The S&P 500 strategy continues to drive overall returns as the stock market rally broadened out in July-August. The Nasdaq 100 strategy suffered from big losses in MU and CRWD.  Both strategies use a rank indicator that is offset by 20 days, which delays exit signals. This does not seem like a good idea for Nasdaq 100 stocks because they have above average volatility. In any case, there are new strategies on deck that do not use a delay. Although, the SPX strategy uses a 20 day SMA of the rank indicator, which also adds some lag. This is the price for fewer trades and higher expectancy. 

Good luck to all! 
September could be full of fireworks. 

[Author]

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