Portfolios

This page lists the portfolios currently active and managed by my trading systems. All portfolios are fully automated and algorithms are based only on technical analysis of stocks price and volume (No fundamentals). All portfolios algorithms are subject to change in the near future and are not guaranteed to be bug free or to produce any positive returns (Read the Disclaimer if you have not done so yet).

Current Portfolios

Name Description
US Trend Portfolio Trades US stocks that are trending up
US Enhanced Indexing ETF Portfolio Trades Index ETFs on the US market
CAD Trend Portfolio Trades Canadian stocks that are trending up
CAD Enhanced Indexing ETF Portfolio Trades Index ETFs on the Canadian market

All portfolios, except for “Index ETF” portfolios, went live on August 23rd 2013 (and were reset on March 3rd 2014), all prior results were generated from a back-test, if the algorithms are tweaked after that date, past results will be preserved. The “Index ETF” portfolios went live on January 23rd 2014 and they currently will not keep historical results if tweaked (It’s on my nice to have list, until then I will post a notification and keep the old results for reference).

Position Sizing

Position sizing for the Index ETF portfolios is simply to follow the Curent Allocation column numbers.

Position sizing for Trend portfolios is calculated by roughly allocating the same percentage to each positions. The exact formula (commission is 5$ in the simulations):
(cash / ( max_stocks – open_positions_size ) – commission * 2) / stock_price

For example, with 10000$ cash remaining, the US Trend portfolio has 10 positions max and currently has 7 positions open. A new buy order comes for stock ABC at 9$, the amount invested in ABC will be
(10000 / ( 10 – 7) – 5 * 2) / 9 = 369

So 369 stock of ABC at 9$ will be bought.

When to buy?
Follow the Current Positions page which gets updated every trading day, when you see a BUY Pending Order you can research the stock and decide if you want to participate in the trade, if you do, try to get the best price you can during the next trading day. The trading system will take the closing price for the next trading day as its buy price.

When to sell?
All portfolios have exit strategies built in, based on stock price and global market conditions, if however you feel more comfortable with having stop orders on your positions, I got good results with using 5 times the ATR value as a trailing stop. For example, a stock priced at 10$ with an atr value of 0.05$ would have a stop at “10$ – (5 * 0.05$) = 9.75$”. You can quickly find the ATR value of a stock on finviz or most online charting site.

US Trend Portfolio

This portfolio has a maximum of 15 open positions at all time and aims to pick stocks that are strongly trending up and keep them for a long time. It will only pick stocks from NYSE and NASDAQ markets with a price higher than 3$ and a volume average of more than 1,000,000 per day.

List of transactions, see end of file for more statistics.

 

US Enhanced Indexing ETF Portfolio

This portfolio is based on a refinement of the Alternative Strategies For Re-Balancing Index Based Portfolios post I did a while ago. The goal of this portfolio is to provide good returns with low draw-down invested in un-correlated ETFs as much as possible. The goal is not to beat passive index based portfolio but to reduce drawdowns during severe market corrections.
Note that strategies like this is not for everyone, I encourage you to read this article expressing counter arguments (the comments are also worth a read).
The commission cost should also be considered when re-balancing monthly, expect around 50 transactions per year.

List of transactions, see end of file for more statistics.

Click Here for a 10 years chart to show the performance of this strategy versus traditional index investing and versus the SPY, note that I had to merge IBND and FLOT into LQD because they were not available back then, base allocation used in this test:

  • VANGUARD TOTAL STOCK MA(VTI): 45%
  • ISHARES MSCI EAFE ETF(EFA): 8%
  • ISHARES MSCI EMERGING M(EEM): 7%
  • ISHARES 20 YR TREASURY(TLT): 5%
  • ISHARES 710 YEAR TRSUR(IEF): 5%
  • ISHARES 13 YEAR TREASR(SHY): 5%
  • ISHARES IBOXX INVT GRAD(LQD): 15%
  • SPDR DOW JONES REIT ETF(RWR): 5%
  • SPDR GOLD SHARES ETF(GLD): 5%

Performance stats for the enhanced index investing ETF portfolio:

Total Returns: 246.86% Yearly Returns: 2003: 24.38%, 2004: 10.82%, 2005: 9.41%, 2006: 13.34%, 2007: 7.82%, 2008: 9.13%, 2009: 14.45%, 2010: 9.07%, 2011: 5.07%, 2012: 6.38%, 2013: 18.94% CAGR: 11.96% Drawdown: 10.87% Months To Recover From biggest Drawdown: 5.33 Standard Deviation: 15.69% Sharpe Ratio: 1.14%

Performance stats for the traditional index investing ETF portfolio:

Total Returns: 163.52% Yearly Returns: 2003: 22.37%, 2004: 11.84%, 2005: 8.84%, 2006: 13.21%, 2007: 7.99%, 2008: -23.36%, 2009: 20.98%, 2010: 14.02%, 2011: 2.76%, 2012: 12.41%, 2013: 10.88% CAGR: 9.20% Drawdown: 40.35% Months To Recover From biggest Drawdown: 35.70 Standard Deviation: 6.98% Sharpe Ratio: 1.43%

 

CAD Trend Portfolio

This portfolio has a maximum of 10 open positions at all time and aims to pick stocks that are strongly trending up and keep them for a long time. It will only pick stocks from TSX and TSXV markets with a price higher than 2$ and a volume average of more than 250,000 per day.

List of transactions, see end of file for more statistics.

 

CAD Enhanced Indexing ETF Portfolio

This portfolio is based on a refinement of the Alternative Strategies For Re-Balancing Index Based Portfolios post I did a while ago. The goal of this portfolio is to provide good returns with low drawdown invested in un-correlated ETFs as much as possible. The goal is not to beat passive index based portfolio but to reduce drawdowns during severe market corrections.

Note that ETFs used in this portfolio are pretty new but they were chosen based on the correlation they have with the US Enhanced ETF portfolio so they should give similar long term returns.

List of transactions, see end of file for more statistics.

 

I will try to keep this page as up to date as possible please let me know if you notice any issue.

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