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Stoch's own mutual fund

Discussion in 'Trade Journals' started by Stoch, May 4, 2020.

  1. Stoch

    Stoch Well-Known Member

    Joined:
    Jan 5, 2019
    Messages:
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    The model slipped 0.1% this week as the shift out of equities into bonds and commodities continues with a 13% transfer this week. Portfolio 2 with the tighter equity screening sold most of the equity percentage. It outperformed the base model as the McClellan oscillator fell all week and shows that the breadth of the rally is falling as fewer stocks are holding up the indices. The model is selling the utility index VPU on Monday.

    Portfolio positions
    bonds and commodities 71% (+13%)
    equity 22% (-13%)
    cash 6% (0%)

    PREDICTION OUTPUT

    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 45.9% 17.7% 3/17/2020 8/21/2020

    since 5/1/20
    Model portfolio 12.0%(+1.1% this week)
    Portfolio 1 11.1%(+0.8%)
    Portfolio 2 13.1%(+1.4%)
    SPY 16.9%(+0.9% this week)
    60%/40% model 6.9%(+0.7% this week)
    40%/60% model 10.7%(+0.7% this week)

    [​IMG]
     
  2. Stoch

    Stoch Well-Known Member

    Joined:
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    312
    More bonds and commodities were added this week as the long bond yields continued to increase. The net result was a small 0.3% gain vs an S&P move of 3.8%. The model has definitely started taking equity profits as it dropped equities to half of their previous levels and is positioning for a correction. Monday morning the model gave up on VMW.

    Portfolio positions
    bonds and commodities 69% (+12%)
    equity 24% (-12%)
    cash 6% (0%)

    PREDICTION OUTPUT

    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 47.6% 19.2% 3/17/2020 8/28/2020

    since 5/1/20
    Model portfolio 12.3%(+0.3% this week)
    Portfolio 1 11.6%(+0.5%)
    Portfolio 2 13.3%(+0.2%)
    SPY 20.7%(+3.8% this week)
    60%/40% model 8.7%(+1.1% this week)
    40%/60% model 12.7%(+2.0% this week)
     
    #22 Stoch, Aug 29, 2020
    Last edited: Sep 5, 2020
  3. Stoch

    Stoch Well-Known Member

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    Finally another correction to evaluate performance in a down period. The portfolio was down 0.4% while the S&P lost 2.8%. Pretty good drawdown protection. It would seem the model captures 59% of the up moves and limits the drawdown by 85%. In a flat market that would work great, but in an uptrend it doesn't capture enough of the move. Since 5/1, it handily beat both a 60/40 and 40/60 model, but I lag the S&P by 5.9%, which is almost 32% of the move since May.

    I broke the the model into 3 models, one for each of the equities, bonds and commodity positions. Then I plan to re-balance the portfolio into a 30/30/30 distribution, filling any open positions with index funds like SPY, DBA and BND, as long as they run above the 20 day MA. The model has already started reducing bond positions in favor of equities. The commodity positions remain stable for now,

    Portfolio positions
    equity 31.8% (+7.8%)
    bonds 35.1% (-17.3%)
    commodities 22.9% (+0.1%)
    cash 4.2% (-1.8%)

    since 5/1/20
    Model portfolio 12.0% (-0.4% this week)
    Portfolio 1 11.2%(-0.4%)
    Portfolio 2 17.9%(-0.5%)
    SPY 17.9%(-2.8% this week)
    60%/40% model 7.6%(-1.1% this week)
    40%/60% model 11.0%(-1.3% this week)


    PREDICTION OUTPUT
    original model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 49.5% 21.0% 3/17/2020 9/4/2020

    Equity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Optimization 231.9% 4096.4% 1/3/2000 5/27/2020
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 23.1% 6.3% 5/21/2020 9/4/2020

    Commodity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Optimization 23.9% 273.0% 11/18/2004 5/27/2020
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 15.4% 4.2% 5/28/2020 9/4/2020

    Bond model
    (ALL INSTRUMENTS AVERAGE) (AVG) Optimization 9.4% 101.5% 4/10/2007 5/27/2020
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.8% 1.3% 5/28/2020 9/4/2020
     
    #23 Stoch, Sep 5, 2020
    Last edited: Sep 6, 2020
  4. Stoch

    Stoch Well-Known Member

    Joined:
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    September is giving us some correction action and the model was negative but outperformed the S&P by 3.1% this month (-1.2% vs -4.3%)
    Not a whole lot of activity as I continue to transition from the original model to the 3 models for equities, commodities and bonds. The cash position did increase to 10% and the commodity positions remain underfunded likely due to the dollar strength. The only change for monday is getting back into WMT after its 7 day correction, down 9%.

    Portfolio positions
    equity 35.5% (+0.3%)
    bonds 30.8% (-1.0%)
    commodities 23..4% (+0.5%)
    cash 10.3% (+6.1%)

    since 9/1/20
    Model portfolio -1.2% (-0.8% this week)
    SPY -4.3%(-2.4% this week)
    60%/40% model -1.8%(-0.9% this week)
    40%/60% model -2.6%(-1.4% this week)

    PREDICTION OUTPUT

    original model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 44.0% 19.6% 3/17/2020 9/11/2020

    Equity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 18.6% 5.4% 5/21/2020 9/11/2020

    Commodity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 11.3% 3.3% 5/28/2020 9/11/2020

    Bond model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.5% 1.3% 5/28/2020 9/11/2020

    The McClellan Summation still hasn't found a bottom yet
    [​IMG]
     
  5. Stoch

    Stoch Well-Known Member

    Joined:
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    September continue to test the protective action of the model as I had a -0.4% drawdown vs a -5.3% drop on the S&P. It even managed a small 0.8% gain for the week as it shifted more cash into the commodity positions. The original model still has numerous long equity positions on as I transition to the new equity model. The new model wants to add back MSFT and TSLA and cash in on DG(+2.9%) and KR(+3.5%) on Monday.

    Portfolio positions
    equity 35.2% (-0.3%)
    bonds 29.8% (-1.0%)
    commodities 32.2% (+8.8%)
    cash 2.8% (-7.5%)

    Performance since 9/1/20
    Model portfolio -0.4% (+0.8% this week)
    SPY -5.3%(-1.0% this week)
    60%/40% model -2.2%(-0.4% this week)
    40%/60% model -3.2%(-1.2% this week)

    PREDICTION OUTPUT

    original model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 44.0% 20.4% 3/17/2020 9/18/2020

    Equity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 19.4% 6.0% 5/21/2020 9/18/2020
    Commodity model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 14.5% 4.5% 5/28/2020 9/18/2020
    Bond model
    (ALL INSTRUMENTS AVERAGE) (AVG) Trading 4.3% 1.3% 5/28/2020 9/18/2020

    The summation index tried to rally but ticked lower. The lower RSI of 15 now has a positive divergence and potential upcoming MACD cross suggests we may be looking for a short term
    bottom.

    [​IMG]
     

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