The Trading Mate portfolio invests in different asset classes:
The quantitative rules that are used to take trading decisions are using information extracted from volatility surfaces in the corresponding markets and volume profiles.
The charts below show the equity profiles of the strategies against the market they trade. Equity lines are backtested since Jan 2008 using the same set of rules as the ones that have been used for live trading after 2018.
See our recent performance here
Few points to be aware of:
- – Each strategy can be seen as a portfolio of sub-strategies that on each day give a signal (long, short or flat) and are then aggregated at strategy-level.
- – The aggregation logic is a simple average of the signals and no overfit is applied. It is possible that a weighted average would provide better results by overweighting sub-strategies that performed better in the past, but this is not applied here where a simple average is taken instead.
- – Given that the strategy is effectively a portfolio of sub-strategies, it is possible to have periods when the strategy invests less than the full amount allocated to a given market. Those who are following already these strategies have seen that we have days when we are not investing 100% of the allocation. When part of the allocation is not invested, this is assumed to be kept as cash but investors could consider rolling this in short term money market instruments (or short-term bonds) to earn interests while waiting for the corresponding sub-strategy to give a long or short signal.
- – The portfolio uses specific instruments to trade each market but any similar instrument could be used, as long as they refer to the same index/market. The models give a signal for the underlying market so they could be used also in options trading.
- – The equity lines below assume full reinvestment of the accumulated P&L.
Point 2 requires a clarification. The entries of each sub-strategies are always rebalanced so that each module will always have the same relative weight. In other words, if a sub-strategy performs significantly better than others, hence generating a higher equity over time, this is always shared with the other sub-strategies so that the portfolio does not end up overweighting the best performing sub-strategy thus skewing the results towards that component.
While it would be tempting to give more weight to a best performer, it is a risk management decision to keep the weighting unaffected by the past and recent performance of the sub-strategy. It is possible that a sub-strategy that has performed well in the past will have a bad period in future and giving too much weight to that component might compromise the goal to achieve stable returns by diversifying across sub-strategies.
For more information you can also visit the F.A.Q. section here.
Access the updated portfolio here
Equity lines
S&P 500 index
The strategy is using SPY to gain exposure on S&P 500 index, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 44% on average (29% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
NASDAQ 100 index
The strategy is using QQQ to gain exposure on NASDAQ 100 index, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 44% on average (28% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
DOW JONES index
The strategy is using DIA to gain exposure on Dow Jones index, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 54% on average (36% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
RUSSELL 2000 index
The strategy is using IWM to gain exposure on Russell 2000 index, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 55% on average (37% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
Emerging Market index
The strategy is using EEM to gain exposure on Emerging Markets index, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 52% on average (37% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
Energy sector
The strategy is using XLE to gain exposure on U.S. energy sector, hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 52% on average (51% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
NIKKEI index
The strategy is using CFDs to gain exposure on NIKKEI. Results are shown using the actual notional exposure hence they don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 54% on average (38% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
Euro Stoxx 50 index
The strategy is using CFD to gain exposure on Euro Stoxx 50 index. Results are shown using the actual notional exposure hence they don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 45% on average (37% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
DAX 30 index
The strategy is using CFD to gain exposure on DAX 30 index. Results are shown using the actual notional exposure hence they don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 45% on average (37% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
U.S. interest rates
The strategy is using TLT to gain exposure on U.S. interest rates hence the results don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 100% on average (no short position has been opened).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
S&P 500 volatility (VIX)
The strategy is using SVXY to gain exposure on S&P 500 volatility (VIX) hence the results don’t take into account any leverage. VXX/VIXY could be used with opposite signal.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 55% on average (50% on short).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
As evident in the graph, SVXY experienced a large drop in Feb 2018 following a big spike in VIX. After that event the product has started to use a lower leverage (0.5x) so the plot below will focus on the period following this event to allow for a better comparison. Here, we assume that trading activity on this instrument starts at the beginning of March 2018.
Gold
The strategy is using futures to gain exposure on Gold. Results are shown using the actual notional exposure hence they don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 100% on average (100% on the short side).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
Silver
The strategy is using CFDs to gain exposure on Silver. Results are shown using the actual notional exposure hence they don’t take into account any leverage.
The plot shows the long and short exposure over time (first panel). When a long exposure was held, this has been 100% on average (no short position has been opened).
The title also shows the annualised return, the VaR (i.e. the loss we can expect not to exceed with 99% confidence) and the expected shortfall (i.e. an estimate of the expected loss we could face if we incur in a loss higher than the VaR).
Access the updated portfolio here
See our recent performance here
IMPORTANT DISCLAIMER
Past performance is not necessarily indicative of future results. All investments carry significant risk and all investment decisions of an individual remain the specific responsibility of that individual. There is no guarantee that the systems or trading signals here discussed will result in future profits or that they will not result in losses. All investors are advised to fully understand the risks associated with any kind of investing they choose to do and to get personal advice from a professional investment advisor.
As a general rule: never invest more than you can afford to lose.
By using this website and accessing the page containing the current portfolio positions, you confirm that you understood all aspects of this disclaimer and that any future investments you will make based on the information provided on this website, will be your full responsibility.