I’m currently running about 3-4 strategies. I use this many strategies to provide diversification across my portfolio. My strategies focus on three key areas: momentum (momo), trend-following and mean reversion. My strategies are also diversified across timeframes. These means I trade monthly, weekly and daily strategies. I do not currently trading during the day, so all my strategies are based on end-of-day pricing. Finally, although these fall in the category of mean reversion, I have a number of strategies that execute very rarely – I will discuss these as well.
What is Traded?
All of my strategies focus on trading ETFs (Exchange Traded Funds). I started trading ETFs because I was prohibited by my job from trading individual equities, and I’ve come to love the diversity ETFs can provide with a relatively small number of positions. In the future I may go back to trading individual equities, but I’ve always had a love of global macro strategies (strategies which focus on stocks, bonds, currencies and commodities around the world) – so with the expansion of ETFs over the past 3-4 years, it has suddenly become possible for an ordinary investor to create macro-like strategies.
All of my strategies are LONG only – I have not found a strategy that works going short – so I don’t trade short. There is one exception – I am currently exploring a strategy that uses Ultra ETFs long and short – this is a new strategy without a lot of history, so I’m currently running in it in a paper-trading mode.
What are the Strategies?
- SKILL-MOMO1: This momentum-based strategy holds 3 ETFs all times from a portfolio of about 70 different ETFs. The total ETF portfolio was chosen based on volume – I want to make sure the ETF has enough volume to make sure the bid-ask spread is minimized. The 3 ETFs are selected based on the relative strength of each ETF. A score is attached to each ETF and the top 3 are purchased at the beginning of each month. As such, the portfolio updates once per month. Even given the once-a-month turnover, the portfolio does not often turnover all positions in any given month. This portfolio does, however, have a lot of volatility.
- SKILL-TREND1: This trend-based strategy holds up to 2 ETFs from a portfolio of about 70 different ETFs. As above, the base portfolio was selected based on volume. This portfolio attempts to catch long-term trends in the ETF portfolio.
- SKILL-MR1: This mean-reversion strategy holds up to 2 ETFs from a portfolio of about 70 different ETFs. This system trades an average of every 2 days and seeks to exploit short term overselling of individual ETFs.
- SKILL-MR2: This mean-reversion strategy holds up to 2 ETFs from a portfolio of approximately 20 Ultra Long and Ultra Short ETFs. Like MR1, it seeks to exploit short term overselling of the individual ETFs. This strategy is currently experimental and is being forward-tested in a paper-trading mode.
- Other Strategies: I will periodically discuss other strategies that trigger much less often and therefore are not mentioned here. I will also discuss strategies I’m currently exploring – meaning that I often do not know if they will work.
- ETF Correlation Tracker: This isn’t a strategy but rather a page I update with the correlations between 170 ETFs over 10, 50, 120, and 260-day time periods.
The opinions expressed on this site are those solely of site operator and do not necessarily represent stock or portfolio recommendations. No investment recommendations are being offered. Please perform your own research and take responsibility for all investment decisions that you make. This website is made available for educational and entertainment purposes only. Nothing on this website should be interpreted to state or imply that past results are an indication of future performance. This site owner is not responsible for any losses that occur as a result of following the outlined strategies.
This page has the following sub pages.