Algorithm and Portfolio Stats: 03/04/2024 - 03/08/2024
Unfortunately, we’ve had to delay the release of our new algorithm. We’ve encountered some problems with the addition of moving stop losses, and want to be certain these are ironed out before a public release. This week, we’ve been running our old system. We’re still planning to discontinue it for the new one, even if it did have a pretty solid week.
If you’d taken every trade recommended by our system this week, you’d be up about 0.21%. That doesn’t sound like much, but that number assumes a 1/75th capital allocation into each position - which is the maximum you can allocate and guarantee never needing to use margin, but an unlikely strategy for a trader to use. If you’d put 100% of your money into every trade (via extreme margin), you’d be up about 14.7% - but again, this is highly unrealistic. In all likelihood, if you followed our system this week, you’re up a percent or two.
We’re planning to release our new system this week, under the assumption that a few checks and inspections of the whole thing go well.
In the meantime, let’s look at some of our biggest winners and losers of the week.
Our best-performing trade this week was a short on ALB. We went short at $133.29, and exited near open the next day for a return of 7.87%! That’s a fantastic return, but our technical analysis did little here - we mostly got lucky on an overnight gap-down.
Our best trade that didn’t depend on an overnight gap was - coincidentally - also a short on ALB. We only made 3.42% on this one, but that’s still a major win. Looking at conditions at time of entry, they’re good, but not ideal. I probably would have taken this trade, but a few candles later when the signal was clearer. The lagging line is below price action at the time of entry - which we want to see for a short position - but just barely. A few candles later, however, it’s below price action by a larger margin. Additionally, the TK-cross is pretty weak at first, but it gets stronger soon after. This one was a big winner, but it would have required some strategy on the user’s part to get the most out of.
Our best long trade of the week was on RMD, and returned 3.42%, but was also the result of a lucky gap-up. So instead, lets examine our best long that didn’t. That long trade was on NEM on Monday, and returned 2.43%. This trade is questionable, but not bad. The TK-lines are stuck together before our entry, but they’re sloping upwards after the “cross”, which helps mitigate that. There’s some solid bullish momentum, and the lagging line is safely above price action. The only other concern I have here is the erratic price movement prior to entry, but overall this was a solid trade!
Our worst trade of the week was a short on PAYC, losing us 1.44%. Overall, this is a fairly tame loss, and setup for the entry isn’t great. The cross is weak (lines spend a long time stuck together before entry), and the Kijun-Sen line remains flat afterwards - meaning there isn’t a strong mitigating factor for that warning sign. There’s a good reason there not to take this trade, but even if you did, your losses wouldn’t have been anything severe.
Overall, our system had a strong showing this week. This doesn’t change our decision to retire it for an improved one, but it’ll be nice to have it go out on a win.
Now then, let’s examine our long term portfolio.
This was a losing week for our portfolio, but only slightly. We finished the week down roughly 0.48%, versus SPY being down roughly 0.07%. Even though this is an under-performing week for us, it’s a very minor degree of it.
Our portfolio was carried pretty heavily by NVDA this week. We held other tickers that out-performed it (SMCI was up almost 10%, compared to NVDA’s 4%), but since we’re using market cap weighting here, NVDA was able to influence our portfolio much more heavily. This week, we had about 9% of our portfolio in NVDA, making it our 2nd largest allocation. The only ticker with more behind it was MSFT - with 14%. I don’t like seeing our portfolio sustained by just 1 stock, but given the market cap weighting, it’s not as much of a problem as this chart implies.
We’re re-weighting our portfolio, effective Monday (a list of tickers will be included below). Relative to previous allocations, this one leans a little more defensive. Tech is still our biggest allocation, but not by as large a margin. A more diverse range of less speculative sectors are going to have more presence in the near future.
We can also see this in our upcoming betas. We’re still over-exposing ourselves to tech, but by less than previously. We’re also increasing our exposure to most other sectors in the market. Lastly, I’d like to include a list of some of our larger holdings, looking forward. For brevity, all tickers with an allocation below 0.5% are excluded.
That’s all I have for you tonight. Thank you for reading - and happy trading!
