Automated Full Portfolio Back-Test V3

This is the third iteration of my fully automated total portfolio strategy, which I’ve actually deployed and has been performing quite well since launch. It’s very similar to my old strategy, however, this iteration has been geared toward reducing drawdown even further. Specifically, I’ve incorporated the 2% stop-loss for my short volatility positions and then a further buyback action in case the market over-extends on bidding volatility. Essentially, the algorithm is (note the weights do not sum to 100% just because in live trading, I’m allowing for some slight under-allocation of cash so that my orders will be filled at market):

• 50% weight in SPY. Long SPY when SMA(25) > SMA(220) and move to SHY otherwise.
• 26% weight in TLT. Long TLT when SMA(35) > SMA(70) and move to SHY otherwise.
• 23% Weight in XIV. Long XIV when Normalized Contango Ratio < 0.95 and move to SHY otherwise.
  • If XIV has dropped 2% from the opening price of the day, close out.
  • Calculate the 21 day rolling Augen dollar volatility for SPY and if the stop-loss was triggered, buy back XIV if SPY hasn’t dropped 1.5 deviations and XIV dropped another 2.5% from its stop loss price.

The following back test results are from 01/01/2003 to 03/27/2017.

Playing the Short Side on SPX
September 4, 2018

July 2018 Macro Indicator Check for Economy Health
July 18, 2018

Options Strategy Thoughts – Taking Advice from Taleb
June 14, 2018

June 2018 Macro Indicator Check for Economy Health
June 14, 2018

May 2018 Macro Indicator Check for Economy Health
May 3, 2018

Earnings Plays for the Week of April 30, 2018 and May 7, 2018
April 29, 2018