What I Trade

There are two systems I’ve been trading since the beginning of 2016. That’s fifteen months of true out-of-sample, real live experience. I’m pleased to report the results have been very good, and consistent with their original backtests.

Due to many requests from readers, I’m offering these systems as a subscription “trade signal” service, as well as the underlying details of the systems for a flat fee.

“Mean-Dev SPY”

I’m trading a trio of systems on SPY or its leveraged ETF cousins. The core system is called “Mean-Dev SPY”, and does most of the ‘heavy lifting’ in this trio. Because the drawdowns are less than buy-and-hold by a substantial amount, I use a 3x leveraged ETF called UPRO instead.

With a a leveraged 3x ETF, I got a slightly higher MaxDD during the period of 1/1/2016-4/1/2017. Profit however is almost double! Well worth the extra 2% in risk. Example below shows growth of $100,000, no commissions deducted.

buy-and-hold SPY mean-dev SPY (UPRO)
Periods 313 313
NetProfit $20,542.83 $28,655.27
CAR 16.23% 22.49%
MaxDD 9.03% 11.13%
CARMDD 1.8 2.02
Sharpe 0.9 1.22
Exits 1 23
AvgDays 312 4
Wins 1 15
Losses 0 8
PctWins 100.00% 65.22%
AvgWin $20,542.83 $2,301.67
AvgLoss $0.00 $1,055.79
Expectancy $20,542.83 $1,245.88
ProfitFactor 0 2.18
WinLen 312 4
LossLen 0 4
TradeLen 312 4
Skipped 99.68% 47.73%

“DUST in Wind”

The other system I trade is a 24-hour trade using the long/short leveraged gold miner ETFS, NUGT and DUST. Even though it trades both ETFs, I call it “DUST in Wind” because of the old rock song by Kansas. (Check the video: I love the guitar player in the ruffled blue tuxedo…) This system has a very low correlation to SPY, which makes it a good fit for diversification and reducing overall account drawdown. Because these ETFs are so volatile, I adjust my position size accordingly.

SPY has been hugely profitable over the last fifteen months, and that’s hard to compete with. If I reduce my position by half, I get about the same profit and drawdown (slightly worse) as SPY buy-and-hold over the same period.

But wait…I can make the same profit as SPY and only be in the market 12% of the time with this system? That means I can use that same account to trade other systems too. My money gets a double workout and returns are that much higher.

If the backtest out-of-sample data is any indication, this system will continue to do well even when SPY does not look like it’s just been shot out of a cannon.

Example below shows growth of $100,000, no commissions deducted.

buy-and-hold SPY DUST in Wind
Periods 319 319
NetProfit $19,994.89 $37,083.64
CAR 15.49% 28.30%
MaxDD 9.03% 22.47%
CARMDD 1.72 1.26
Sharpe 0.89 0.8
Exits 1 40
AvgDays 318 1
Wins 1 26
Losses 0 14
PctWins 100.00% 65.00%

That’s a peek at two of the systems I trade. If you’re interested in getting the same signals, you can find out more about these systems here.

4/20/17 edit: A reader asked if I’d share trade dates. I’ve put together a spreadsheet with all of 2016’s trade dates for each system (link).

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