Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile | The Paired RTM-ETF Custom Strategy concept relies on taking many small trades with RTM-ETF combinations that have been consistent in the past. My hope is that increasing the number of Groups, ETFs, RTMs, and Custom Strategy pairings will mitigate some risk through greater diversification. I also hope that it might allow trading with lower trade Allocation percentages while still obtaining a reasonable return - which could help with slippage for MOO orders with lower volume ETFs. With that in mind, I’ve posted a “Flexible By Design” Portfolio in Elite Trader that was constructed utilizing; 42 Groups Containing 347 ETFs Paired with 23 RTMs To create 778 Custom Strategies; ......526 Long Strategies ......252 Short Strategies All of my selection algorithms used were developed during or prior to 2015, but this is my first Portfolio containing a much larger set of Custom Strategies to see if the additional RTM-ETF pairs actually help. Doing this takes advantage of some of the ETFs that’ve come on the market since the last recession, but I was concerned that adding ETFs that only began trading the last 5-8 years would add a bias to the recent performance. Fortunately, that doesn’t appear to be a significant factor. My primary goal was to add more RTM-ETF trades from different groups, thereby utilizing the equity sitting idle in my original portfolios. As always, there are times when a group (Large Cap Stocks, etc.) will enter a number of trades at the same time. This can be unfortunate when wrong, but statistically proves to be a benefit in the long run. Over the period from 1/1/2007 – Present, I’m happy with the improvement in the depth and breadth of trading; My original Margin Portfolios took 1401 trades with an Avg % Inv of ~57% This new Margin Portfolio takes 2232 trades with an Avg % Inv of ~93% The examples below used 20% allocation / Strategy with Buying Power set at 190%. 1) The Past Year (BTW: the first time I’ve ever seen a Calmar over 40) 2) Past 2 Years 3) Past 5 Years 4) 1/1/2007 – Present You can also use this Portfolio in an IRA by simply adjusting the Portfolio Trade Multiplier, Buying Power, and setting the Maximum Short Allocation to 0% as shown; Below are the results from applying those settings to trade the Portfolio’s 526 Long Strategies in an IRA vs the 143 in my current Low Risk RTM-ETF Longs portfolio; 5) The Past Year 6) 1/1/2007 – Present My Account Settings are similar to those I posted for my other portfolios. I’ve adjusted the Minimum Trade Size down to 1% and have the Maximum Exposure unchecked, but still taking 2 trades / symbol if available (not a particularly common occurrence). As I said, there have been a lot of ETFs created since 2009, and this is an attempt to take advantage of the diversification they can add. Barring some obvious oversight or error I might find, I plan to let them trade until the next Bash to see how they perform over time. These new Custom Strategies utilize some younger and probably lower volume ETFs, so I reiterate that it’s an experiment. I hope that some of you will come along and contribute to a collection of data on slippage, etc. – and I hope we all make a bit of money along the way. For those of you currently subscribed to both my Long & Short Portfolios, changing your subscription to this Portfolio should be an easy choice - you’ll get the added benefit of 508 additional Custom Strategies for the same price (currently). I reserve the possibility of a change upward if this experiment is successful… but if that’s the case, we’ll all be happy. ;-) Those of you trading my Low Risk RTM-ETF Longs Portfolio in an IRA can continue to do so, or drop that and subscribe to this new one instead in order to use the 526 Long Strategies available in this Portfolio (an additional 383 Long RTM-ETF Strategies vs the 143 in my Low Risk RTM-ETF Longs Portfolio). Whatever you choose to do, I certainly wish you luck in your trading… Mark BTW: My next post will explain how to make use of an Excel spreadsheet I designed to easily calculate the settings needed to obtain any combination of Margin Levels (Trading Equity) and Trade Allocation sizes you may want for testing different levels of risk… either with this Portfolio or any that you might be using. [Edited by Mark Holstius on 8/2/2016 3:58 PM]  Attached file : 01_Compare_1_Year.png (135KB - 834 downloads) Attached file : 02_Compare_2_Years.png (148KB - 815 downloads) Attached file : 03_Compare_5_Years.png (149KB - 820 downloads) Attached file : 04_Compare_2007-Present.png (154KB - 829 downloads) Attached file : 04a_IRA_Settings.png (86KB - 847 downloads) Attached file : 05_Compare_IRA_1_Year.png (130KB - 819 downloads) Attached file : 06_Compare_IRA_2007-Present.png (151KB - 818 downloads) Attached file : 10_Account_Settings.png (244KB - 799 downloads) |
