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Portfolio of Strategies


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Portfolio of Strategies

  #1 (permalink)
 gumdr0p 
Illinois
 
Experience: Intermediate
Trading: Futures
Posts: 56 since Apr 2015
Thanks Given: 72
Thanks Received: 16

I haven't been on here for a few years.

In any event, I started a new approach (for me) earlier this year that I want to document. The goal is to trade a portfolio of strategies that are not my own. These are auto traded through a broker, but may include a trader behind them using some discretion.

So far here are the results w/ 3-4 strategies:

MAR -0.95% [1,2,3] 3 strategies; phasing in from the 19th-22nd
APR +5.99% [1,2,3,4] added 4th strategy on the 29th
MAY +10.46% [1,2,4,5] swapped a strategy on the 24th
JUN -5.57% [1,2,4,5] as of 6/17

One of my motives in posting publicly, is that I'm trying create and adhere to some rules. I have a history of holding on too long to a strategy in hopes of recovery. So, the main rule I'm currently implementing is to drop any strategy that has a drawdown of 40-50% (for its share of funds). With four strategies that is around 10-12.5% drawdown to the portfolio. Currently one strategy is at around 25% drawdown (or 6.25% of the portfolio).

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  #2 (permalink)
 gumdr0p 
Illinois
 
Experience: Intermediate
Trading: Futures
Posts: 56 since Apr 2015
Thanks Given: 72
Thanks Received: 16

I'm not planning to update this weekly, but since the drawdown continues downward, I'm posting ...

June is now down to -8.62%. The one strategy that was causing most of the drawdown is still around the same, but now 3 of the 4 are down this month leading to losing over half the gains from the prior months. This is significant to me, since part of the goal was to select non-correlated strategies which didn't have simultaneous months down. So when one fails, others can offset some or all of the losses.

Adding more strategies could help, and the one I have on deck is positive this month and would have offset a little. But, I'm not ready to add another yet ($), so hopefully I can ride this out and most of them will recover. I'll probably need to get up to seven or more strategies eventually to better smooth things out (maybe).

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  #3 (permalink)
 gumdr0p 
Illinois
 
Experience: Intermediate
Trading: Futures
Posts: 56 since Apr 2015
Thanks Given: 72
Thanks Received: 16


Recovered almost half of the drawdown at the end of June landing at -4.68%, but then July quickly deepened it (3 out of 4 strategies doing poorly) to -12.38% for June + July (to the morning of July 3). I was going to hold on, but the temptation to short the NQ got the best of me ... so this portfolio of strategies is on hold while I monitor the short position.

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Last Updated on July 3, 2020


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