I’m revisiting my core strategies for my portfolio again, i.e., momentum tactical allocation and short volatility, but this time I’ve decided to experiment with a one day stop loss rule of 2% on the short volatility holdings. The results actually turned out much better than I expected in that it severely minimized draw-down as well increase overall returns. I’m going to paper trade these algorithms for a while before I deploy them into my live account.
Full Portfolio – Momentum Driven TAA
The following back test results are from 01/01/2007 to 02/13/2017.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.18 | | Annual Volatility | 0.1 | | Sharp Ratio | 1.67 | | Sortino Ratio | 2.61 | | Max Drawdown | -0.082 | | Alpha | 0.15 | | Beta | 0.13 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.0823 | 03-26-2012 | 05-18-2012 | 06/18/2012 | 61 | | 2 | -0.069 | 12-19-2008 | 07-10-2009 | 08/24/2009 | 177 | | 3 | -0.0669 | 07-20-2015 | 01-07-2016 | 03/29/2016 | 182 | | 4 | -0.0667 | 05-31-2011 | 08-08-2011 | 09/22/2011 | 83 | | 5 | -0.0629 | 08-09-2016 | 10-17-2016 | 12/05/2016 | 85 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Short VXX
The following back test results are from 02/01/2009 to 02/13/2017.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.78 | | Annual Volatility | 0.32 | | Sharp Ratio | 1.98 | | Sortino Ratio | 3.17 | | Max Drawdown | -0.24 | | Alpha | 0.51 | | Beta | 0.7 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.2378 | 07-03-2014 | 12-01-2014 | 04/10/2015 | 202 | | 2 | -0.2337 | 10-25-2010 | 11-30-2010 | 01/11/2011 | 57 | | 3 | -0.2047 | 04-02-2012 | 06-01-2012 | 06/18/2012 | 56 | | 4 | -0.1618 | 04-16-2009 | 07-02-2009 | 09/08/2009 | 104 | | 5 | -0.1535 | 04-18-2016 | 05-19-2016 | 08/01/2016 | 76 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Long XIV
The following back test results are from 12/01/2010 to 02/13/2017.
Backtest Summary| Performance Measure | Value |
|---|
| Annual Return | 0.82 | | Annual Volatility | 0.34 | | Sharp Ratio | 1.93 | | Sortino Ratio | 3.11 | | Max Drawdown | -0.25 | | Alpha | 0.54 | | Beta | 0.85 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
Worst Drawdown Periods| Rank | Drawdown in % | Peak Date | Valley Date | Recovery Date | Duration |
|---|
| 1 | -0.2505 | 03-26-2012 | 06-01-2012 | 06/20/2012 | 63 | | 2 | -0.2485 | 07-03-2014 | 01-27-2015 | 04/16/2015 | 206 | | 3 | -0.1646 | 08-09-2016 | 10-13-2016 | 12/05/2016 | 85 | | 4 | -0.1518 | 04-18-2016 | 05-19-2016 | 08/01/2016 | 76 | | 5 | -0.1391 | 03-11-2013 | 04-03-2013 | 04/23/2013 | 32 | /* Here you can add custom CSS for the current table */ /* Lean more about CSS: https://en.wikipedia.org/wiki/Cascading_Style_Sheets */ /* To prevent the use of styles to other tables use "#supsystic-table-1" as a base selector for example: #supsystic-table-1 { ... } #supsystic-table-1 tbody { ... } #supsystic-table-1 tbody tr { ... } */ |
