Hi!
My name is Alexander, I'm from Moscow (from Russia with Love(c) :-). Sorry for the bad English, sometimes use translator. I am 30 years old. I trade on the main stock exchanges a little more than 10 years. Worked as a trader in investment companies. The results for the last 5 years I attached below. This is my personal trading account.
The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
Attachment 238800
Attachment 238802
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
Attachment 238804
Attachment 238806
Attachment 238808
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
Attachment 238810
Attachment 238812
Attachment 238814
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
Attachment 238782
Attachment 238784
Attachment 238786
Attachment 238788
Attachment 238790
My name is Alexander, I'm from Moscow (from Russia with Love(c) :-). Sorry for the bad English, sometimes use translator. I am 30 years old. I trade on the main stock exchanges a little more than 10 years. Worked as a trader in investment companies. The results for the last 5 years I attached below. This is my personal trading account.
The purpose of the journal.
Show professional trading and find a large investor ($1M).
Investment philosophy.
I use both passive investing and algorithmic trading. In my opinion, using both approaches can be achieved the best results.
In recent months, I revised my long-term strategy and decided to focus on stability of results, high Sharpe ratio. For this, I developed 2 algorithms in addition to my main strategy and lowered the target profitability to 40-50 per annum.Beginning in April, I will post my monthly results here every month.
Practice.
On 100% of the capital I bought ETF XLP. Why XLP and not SPY? XLP has a higher Sharpe and dividend. My broker (IB) gives overnight 2 leverage, so 50% of the capital will be available. I will allocate free capital to 3 strategies in proportion to their historical Sharpe.
Algorithms.
Below are the backtests of strategies that I will use in my trading. All backtests considered costs. Results are presented without reinvestment, fixed amount. I will not describe in detail the algorithms and share transactions, as in moments of market inefficiencies all traders compete for fill. I hope for your understanding. There will be only backtests and results of real trading.
Strategy #1. Stocks NASDAQ and AMEX.
We earn on correction of the stock after strong growth. Short only. Mean reversion.
Attachment 238800
Attachment 238802
Sharpe ~3.
Strategy #2. Gold spot.
We earn the breakout of multi-day levels. Long and Short. Momentum.
Attachment 238804
Attachment 238806
Attachment 238808
Sharpe ~2.
Strategy #3. VXX.
We earn on VXX drift down. Short only. Trend following.
Attachment 238810
Attachment 238812
Attachment 238814
Sharpe ~2.
Strategies #2 and #3 have a small number of trades per year. It takes many months to realize their statistical advantage.
Attachment 238782
Attachment 238784
Attachment 238786
Attachment 238788
Attachment 238790
ETF + Algo = Success
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