After a long month of exams, I’m returning from my long hiatus away from Tarik.ca. My work on the Tarik.ca Technical Trading System is virtually complete. The system now trades all 16 Beta-Pro leveraged ETFs, including eight ETFs which return 200% the daily performance of it’s benchmark and 8 other ETFs which return 200% of the inverse daily performance of it’s benchmark. The system will switch between long and short positions on the ETF depending if the underlying benchmark is going up or going down based on trend following techniques. The system also incorporates a 3% trailing stop loss in order to lock in gains. While only 51% of trades were profitable, the system still managed to return 38% in the last year this is due tho the fact that the system was designed to cut losses and let profits run. A buy and hold strategy for all 16 ETFs would result in a small slow negative performance equal to ETF fees plus leverage loss due to the series of returns. Hence the system’s performance is inherently market neutral to the direction of the underlying basket of ETFs. However, market volatility is positively correlated with performance. Periods of high volatility are positively correlated with high returns and periods of low volatility are correlated with small returns. The system is relatively safe, as I’ve increased the number of ETFs trading, draw downs have decreased dramatically, while profits are virtually the same reducing non-systematic risk. Backtested the system experienced a maximum draw downs of 9% in a market environment where many benchmarks at one point experienced up to a 20% decline.
Disclaimer: The Tarik.ca Technical Trading System is only a back tested model and stated profits are virtual. Past performance is not indicative of future returns. Tarik.ca is for educational purposes only and should not be taken as advise or solicitation, to buy or sell any financial product or security.
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Tarik,
Are you going to post the Tech Trading System plays? Any way to track the progress going forward?
Thanks,
Alex
Hello,
Due to the fact that the system is currently being run out of Wealth-Labs Pro you cannot track it online. However, I will post progress reports every month online.
After testing various hypothesis and methods the system uses 2 very simple plays based on Trend Following. The system will put a buy order when the 2 Day SMA is above the 8 Day SMA, and will put a sell order when the 2 Day SMA is below the 8 Day SMA. The System’s second play is a 4% Trailing Stop Loss in order to cut losses short while letting profits run. The Key advantage of the system is the fact that is trades a diversified portfolio of 16 leveraged ETFs which lowers overall system volatility and draw downs.
There is still one aspect of the system which I’m trying to develop further. I’m trying to get the system to self-adjust SMAs and Trailling Stops figures to the current market Beta and VIX levels in order to minimize whipsawed trades.
Thanks,
Tarik
Tarik,
How do you find Wealth-Lab Pro? How did you decide on it?
Also, I’m wondering how you size the positions with the system. The model runs are done with 1MM starting capital. Does that mean if the first signal is a buy, you buy 1MM worth of the ETF?
Just to be clear, the only way you are flat is if you hit the stop loss. Otherwise you’re in a long or short trade. Are the stops executed intra-day or at the close? I’ve found this makes a significant difference (sometimes) when developing these kind of systems.
Regards,
Vesc
Hello,
The positions are sized at a maximum of 8% of the fund. At any given time the system is either short or long every single one of the 16 Beta-Pro ETF which it tracks. All positions have a 5% stop loss.
Intraday data would increase the efficiency of the system. However, I haven’t found a way to aggregate the data.
Regards,
Tarik