[LEONARDZIR]

Julian,
Excellent results for July. You mentioned you have an All Weather etf portfolio. Is that Dalio’s , or Russo’s portfolio? I am trading a version of Russo’s all weather etf portfolio with nice results in July. Regards.

[LEONARDZIR]

Thank you Nick

[LEONARDZIR]

June 2023

US MOMO flat
TLT +  9.7%
Weekly Trend Stocks  +7.11%
Daily timing stocks   +2.98%
Daily Trend Futures + 16%
ETF Portfolio + 1.97%
Dow Trend +3.78%

Total Portfolio +4%

Comments. Excellent profits this month. The fact that US MOMO was out of the market this month yet I had one of my better months reinforces to me that you need to trade multiple noncorrelated systems.  My futures portfolio has been very profitable over the last 1 1/2 years  and mulling over increasing it’s allocation. I did add  a Dow stock system which had excellent profits for the month.  I have been studying Tom Basso, a great Trend trader and instituted a part discretionary ,part systematic trend trend system loosely based on Nick’s bollinger band system but instead using Keltner and Donchian channels for trend. I haven’t reported the the results since it is not completely systematic but had excellent profits as well. I consider Nick, Tom Basso and Peter Brandt the 3 great traders who have had the most influence on my trading.
Hope this bull market continues.

[LEONARDZIR]

May 2023

US MOMO   -1.06%
TLT               +6.59%
HFT              -1.3%
Weekly Trend Stocks  +5.57%
Daily Timing Stocks  +2.98%
Daily Trend Futures -0.4%
ETF portfolio +1.5%

Made good money this month. Decided to stop trading HFT and MOC for now and reassess. My mean reversion results results haven’t been that great and they were a very small percentage of my portfolio. The bulk of my investments/trading are in Trend/momentum stock strategies in US and trend following futures.

 

[LEONARDZIR]

April 2023

US MOMO   -9.2%
TLT              -3.35%
HFT              -2.9%
Weekly Trend Stocks -1.29%
Daily Timing  Stocks +2.98%
Daily Trend Futures -0.02%
ETF portfolio +2.2%

[LEONARDZIR]

My error, not trading MOC. MR was -15% for march not MOC.

[LEONARDZIR]

March 2023
TLT                -1.12%
US MOMO    +6.22%
MOC              -15.2%
Daily Trend Futures  -10.2%
Daily timing Stocks   +2.98%
Weekly Trend Stocks  +2.36%
ETF Portfolio    +1.29%

Whole Portfolio  +0.6%

Futures portfolio  took a big hit in March. Many CTA’s were smashed because of a turn in interest rate futures after the FED announcement. Part of the problem was interest rate futures volatility had fallen so position sizes were increased right before the Fed announcement..I did not increase my position size because I was uncomfortable with the size increase so it wasn’t as bad a loss. 
Otherwise it looks to me like the American market is in an uptrend. Hope it lasts.

 

[LEONARDZIR]

I use Falcon trading computers. Very reliable and excellent Tech support although I rarely have needed Tech support.

[LEONARDZIR]

February 2023
US only

US MOMO  +1.9%
HFT -1.9%
TLT -7.63%
Weekly Trend Stocks  -7.05%
Daily timing Stocks -4.66%
Daily Trend Futures  + 14.16%
ETF Portfolio  -3.1%
Sector portfolio on hold.

Lousy month for stocks. Excellent month for futures.
Made back a significant amount of my February losses in Stocks over the last 2 days.

[LEONARDZIR]

January 23

US only

US MOMO flat
TLT   +1.26%
US MR  +10.6%
Daily timing stocks +3.16%
Weekly trend stocks +4.78%
Daily Trend Futures -0.4%
ETF Portfolio +4.4%
Sector rotation +3.18%

Pressing the buttons. Good month.

[LEONARDZIR]

Nick,
Thank you for replying. I am also allocating equal amounts to all my systems.

[LEONARDZIR]

Nick,
This certainly raises many issues about portfolio allocation. Is there a sweet spot for the most profitable allocation based on number of systems, Annualized return, drawdowns, system volatility inter system correlations etc?
I am using a seat of pants determination to trade 9 relatively uncorrelated systems with allocations in 5-10% range. I have no idea if that is the best allocation strategy. Do you use any systematic portfolio allocation methods?

[LEONARDZIR]

I am also running 9 strategies in the US only, allocating 5-11% per system . Pretty active but not finding too burdensome. Currently 51% invested in stocks, etf’s and futures. If my trend filter turns up for the SPX (suspect it will this week) will target a 70-75% investment.

[LEONARDZIR]

Dec. , 2022

TLT:    -3.73%
HFT  -3.3% 
USMomo  -7.87%
Daily Timing Stocks -0.57%
Daily Trend Futures   -0.63%
Weekly Trend Stocks  -1.56%
ETF Portfolio  -1.79%
Comments: Total Portfolio return for 2022: -5.7%. Drawdown 14.4% from peak in 2021.  Portfolio  losses kept reasonably small by SPY standards because two of the stock systems were positive and the futures portfolio was up big. Stopped trading MOC after it had a drawdown beyond historical testing. Only my subconscious knows why I allocated a very amount of capital to my MOC. It had a negligible effect on my total portfolio. I like the systems I am trading and looking forward to 2023
 

[LEONARDZIR]

Terry,
Interesting approach. Thanks for letting us know.

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