I’ve changed up this section a bit and decided to stop posting updates for my trades and returns. I’ll keep my cumulative performance and summary statistics posted here and the rest of my blog entries will be dedicated to portfolio research. Be sure to check out my GitHub for code updates and projects!
| Inception Date | 10-21-2015 |
| Cumulative Return Since Inception | 0.3108 |
| Same Period SPY Cumulative Return | 0.4399 |
| Best 1-Day Return | 0.0592 |
| Worst 1-Day Return | -0.0875 |
| Max Drawdown | -0.1356 |
| Peak-To-Valley | 12-29-2015 to 01-07-2016 |
| Recovery Time | 139 Days |
| Sortino Ratio | 0.69 |
| Annualized Volatility | 0.123821161 |
| Annualized Return | 0.107553816 |
| Positive Periods | 412 (59.80%) |
| Negative Periods | 277 (40.20%) |
| Cumulative Portfolio Return vs SPY Return Since Inception |
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After doing a lot of reading and personal research, I’ve reaffirmed that the 1-3 day unit sales were not a good idea: as Taleb would say, I was short concavity for most of my trades. Although there’s nothing wrong with selling index puts to collect the volatility premium, as this is a well-documented and academically…
DetailsGeneral guideline for myself regarding these indicators as flags so that I can be more cautious during these build ups: Unemployment Rate Rising > 4.6 National Financial Conditions (US Leverage) > 0.0 Yield Spread > 2 Industrial Production Consumer Goods Month Over Month Decline for 3 Consecutive Months Real Retail and Services Month Over Month…
DetailsSo it’s been a while since I’ve made a blog post about any trading strategies. The pain from February’s market meltdown is still fresh in my mind and I’ve been trying to figure out new strategies to avoid that type of catastrophe again. From reading a lot of Nassim Taleb’s writings, I’m really trying to imitate…
DetailsGeneral guideline for myself regarding these indicators as flags so that I can be more cautious during these build ups: Unemployment Rate Rising > 4.6 National Financial Conditions (US Leverage) > 0.0 Yield Spread > 2 Industrial Production Consumer Goods Month Over Month Decline for 3 Consecutive Months Real Retail and Services Month Over Month…
DetailsGeneral guideline for myself regarding these indicators as flags so that I can be more cautious during these build ups: Unemployment Rate Rising > 4.6 National Financial Conditions (US Leverage) > 0.0 Yield Spread > 2 Industrial Production Consumer Goods Month Over Month Decline for 3 Consecutive Months Real Retail and Services Month Over Month…
DetailsThe following stocks have earnings for this week, April 30, 2017 and May 7, 2018:
General guideline for myself regarding these indicators as flags so that I can be more cautious during these build ups: Unemployment Rate Rising > 4.6 National Financial Conditions (US Leverage) > 0.0 Yield Spread > 2 Industrial Production Consumer Goods Month Over Month Decline for 3 Consecutive Months Real Retail and Services Month Over Month…
DetailsGeneral guideline for myself regarding these indicators as flags so that I can be more cautious during these build ups: Unemployment Rate Rising > 4.6 National Financial Conditions (US Leverage) > 0.0 Yield Spread > 2 Industrial Production Consumer Goods Month Over Month Decline for 3 Consecutive Months Real Retail and Services Month Over Month…
DetailsThe following stocks have earnings for this week, February 19, 2017:
I’ve also created the volatility distributions for the above stocks below:
The following stocks have earnings for this week, February 12, 2017:
I’ve also created the volatility distributions for the above stocks below:
