Len’s Journal

[Nick Radge]

Nice work Len.

[LEONARDZIR]

Thank you Nick

[LEONARDZIR]

July 2023

US MOMO    +7.39%
Weekly Trend Stocks +3.95%
Daily timing Stocks +5.03%
Daily Trend Futures  +1.44%
ETF Portfol + 2%
All Weather ETF +3.5%
Dow Trend +0.01%

Another excellent month for me. Added my version of All weather ETF portfolio. This is basically the 30 ETF list  from Tom Basso traded as a trend system using a combination of Donchian and Keltner Channels. Good start this month.
Working on adding another shortterm system. I am leaning towards starting to trade volatility with futures and ETNs. Some excellent edges but you have to be careful because of the ETN blowup in I believe 2018. 
Can’t imagine my good portfolio returns over the last 3 months will continue in August which is one of the weakest months for the ES during the year.
 

[AnthonyFuentes]

Awesome work, Len.

I’m just wrapping up Tom’s recent All Weather Trader book. It’s been a great read. Is this where you got your inspiration for your All weather ETF portfolio?

[LEONARDZIR]

Anthony,
Yes, I took the 30ETF list in his book. As he suggested I combined Donchian and Keltner channels. I don’t know the numbers he uses for his channels but I use 20 day Donchian and 20ma for Keltner on daily data..

[Nick Radge]

Have you written the code up in RT Len? I’d be interested in the backtest numbers. I’m yet to read the book – on my to-do list

[LEONARDZIR]

Nick,
I am working on the code. I know. I am pretty close to the way Basso is trading it since he periodically mentions how many ETF’s are in uptrends and I have the exact same numbers.

[LEONARDZIR]

I did speak to Marsten and currently Realtest cannot calculate the dynamic position sizing required. Basso uses 3 initial sizing methods and can reduce size with a successful trade. Marsten is aware of the situation and says he will work on the sizing issue.. Meanwhile I am not trading it with margin so I use a fixed position size based on % of capital similar to what we use for US Momo.

[LEONARDZIR]

A follow up to trading my version of Basso’s AllWeather Trader. Basically after reading his book I took the list of his 30 ETF’s which he trades and using his suggestion I traded them with a trend system using  a combination of Donchian and Keltner channels using parameters he suggested. I traded this backwards, in that I started trading this before I had any stats. Currently up about 1% since July 1,2023. Finally got the stats and the system is pretty mediocre. It did go up 50% in 20-21 but overall CGGR 7.21% DD 21%. I decided not to continue the system.

[Nick Radge]

Interesting. Thanks Len.

[LEONARDZIR]

an observation. I follow the TAA strategies on Allocatesmartly. They follow approximately 70 popular systematic trading strategies. It is of interest that this year the bulk of the strategies are returning between -1% to 3% badly trailing the SPY. I have not seen an explanation for why TIAA doesn’t appear to be working as well this year.. if you haven’t made a lot of money with systematic trading this year, do you have a lot of company.

[Nick Radge]

It reminds me of 2011 and a little like 2018. 

[LEONARDZIR]

August, 2023,

TLT  -5.68%
Weekly Trend Stocks -8.05%
Daily Trend Stocks -7.16%
ETF  -2.3%
Daily Trend Futures  +0.9%
VIX Trading  +5%
Whole Portfolio -2.8%

Working on switching a significant portion of my retirement portfolio to an ALL Weather type portfolio per Nick’s Posts. 
The whole portfolio went down less than the sum of its parts because running about 48% CASH.
Started Trading VIX with futures and ETN’s. Excellent edges.
 

[Nick Radge]

What kind of VIX strategy are you trading?

[LEONARDZIR]

Nick,
Marsten introduced me to Rob Hannah who runs an excellent website quantifiableedges.com. Rob, who trades for a living told me some of his best trading edges are with the VIX. I took the VIX trading course on the site. He develops 2 VIX systems, one trading VIX futures and one trading VIX ETN’s .The systems are based on the historical results of using multiple indicators such as Contango, roll yield etc. Very well documented course.

[Author]

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