[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. 

[ArthurHill]

Interesting….thanks for sharing.

Nasdaq stocks account for around a third of the S&P 500 and there is an equivalent indicator for the S&P 500. #SPX52HL 

[ArthurHill]

Too volatile for my heart! I added a volatility filter to weed out meme stocks. HHV of the 5-day Standard Dev.

[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!

[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 April 2024 and YTD

Stock-Based ETF (Momentum with Profit Target)
74 stock-based ETFs with data to at least 2007
2024 Apr -4.5%
2024 YTD +3.3%

NDX Momentum Rotation
2024 Apr -6.0%
2024 YTD +9.7%

SPX Momentum Rotation (sans Financials sector)
2024 Apr -.50%
2024 YTD +23.9%

Russell 1000 Mean-Reversion
2024 Apr -0.2%
2024 YTD +1.7%

Making final adjustments on new RUI mean-reversion strat with three changes. First, I raised the threshold for the trend indicator to ensure only the strongest stocks make the cut. Second, I added 10% max loss stops to exit positions quicker and move on. Third, I moved the stale exit from 5 to 10 days. Seems that time is on my side when the stock is in an uptrend. Onward through the fog…

[ArthurHill]

Results for March 2024 and YTD

Stock-Based ETF (Momentum with Profit Target)
74 stock-based ETFs with data to at least 2007
2024 Mar +2.9% 
2024 YTD +8.1% 

NDX Momentum Rotation 
2024 Mar -1.6%
2024 YTD +16.6%

SPX Momentum Rotation (sans Financials sector)
2024 Mar +4.7%
2024 YTD +24.1%

Russell 1000 Mean-Reversion 
2024 Mar +0.7%
2024 YTD +1.9%Goals going forward: Revamp MRV strategy and look into an all weather strategy.
Will start by diving into the long thread that was started by Nick.

[ArthurHill]

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 

[ArthurHill]

Russell 1000 MR (No leverage): +.20%
S&P 1500 Rotation (no leverage): -1.00%

[ArthurHill]

Russell 1000 MR (50% leverage): -1.86%
S&P 1500 Rotation (no leverage): -3.5%

Getting whipsawed with my market timing filter on the rotation strategy. Going to revisit the timing model.

[ArthurHill]

February 2023
Russell 1000 MR (50% leverage): +1.04%
S&P 1500 Rotation (no leverage): -3.04%

[ArthurHill]

January 2023
Russell 1000 MR (50% leverage): +.60%
S&P 1500 Rotation (no leverage): Cash

[ArthurHill]

Calling it a day, week, month and year. Happy new year to all and best wishes for 2023!

December 2022
Russell 1000 MR (50% leverage): -.74% (started in Oct. YTD +2.8%)
S&P 1500 Rotation (no leverage): Cash

[ArthurHill]

Thanks for the suggestion! I am now cleared for futures trading so will start making the calculations.

[ArthurHill]

Rotation strategy put on ice for a month or so to consider a currency hedging strategy (Euro/USD). Currency hedging not as important with MR because only 20% exposure, short holding periods and can use margin. Rotation has 100% exposure, longer holding periods and no margin.

Unless I missed it, a forum search did not turn up anything on currency hedging strategies. Ideas are welcome. Considering Euro/USD options. Is hedging cost effective when considering the next 1000 trades?

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