Daily Watchlist · Monthly Update · On Our Radar

2016/10/30 – Portfolio Update

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only        
-0.11% -1.25% -1.25% 45.06%
    Short Only        
      -0.71% 1.01% 1.01% 35.33%
    Long/Short        
      -0.45% -0.43% -0.43% 41.26%
  Medium-Term Long Only        
      0.39% -2.33% -2.33% 18.41%
ETF Short-Term Long Only        
      -0.03% 0.20% 0.20% 31.17%
    Short Only        
      0.72% 0.68% 0.68% 7.48%
    Long/Short        
      0.10% 0.90% 0.90% 31.04%
  Medium-Term Long Only        
      0.26% -0.50% -0.50% 25.04%
Futures Short-Term Long/Short        
      0.46% 2.62% 2.62% 9.18%
FX Short-Term Long/Short        
      0.05% 1.62% 1.62% 16.73%
SPX Benchmark Index          
      0.22% -1.11% -1.11% 4.91%
             

Daily Trade Signals

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Portfolio Commentary

A subscriber commented that our signals seem to only take highly risky trades. That is in general true as our signals tend to attempt detecting oversold/overbought stocks with high probability of a reversal. But at the same time, these contrarian trades could backfire if the stocks do not immediately reverse, causing a large drawdown. Our success does hinge on making these bold high-risk-high-reward trades, and we did capitalize on the oil panic sell-off earlier this year with the same signals. Through diversification and making consistently high probability trades, our portfolios were able to outperform broader market in the past years

Nonetheless we acknowledge these concerns and it is our objective to cater to the trading style of each of our subscribers. Over the coming weeks we will be making enhancements to our systems and interfaces to accomplish that. Specifically, for each of our signal we will assign a “risk-level” based on various metrics such as volatility and stop loss targets, as well as build a tool to give subscribers the ability to filter signals based on their own risk tolerance as well as trading style (momentum, contrarian, or both).

And looking back this past month’s trades, we acknowledge that we did take quite a lot of drawdowns. We understand systematic signals have limitations and are only as good as the logic and rules behind them, and we do see flaws that can be corrected to improve accuracy and risk management. So stay tuned as we will make every effort to try to stay ahead of the markets going forward, and keep you posted on the progress.

 

 

 

 

 

Chart in Focus

STZ  –  Short-Term Long

Target: 170

Entry Point(s): 166.02

Comments:  Look for bounce off LT trendline which has served as launchpad to higher highs in the past

20161030-stz

 

PNC   – Short-Term Short

Target: 92

Entry Point(s):95.18

Comments: Strong breakout to overbought conditions as price hits Dec 2015 swing high and upper boll band in weekly chart. Likely pullback in the ST to breakout area.

20161030-PNC.png

 

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