Quantitative Strategies for All Investors
Market Neutral, Dividend, Growth, Trading: choose your style.
Check below if a weekly model portfolio suits your investing style and risk tolerance. It is for informational purposes. We are not a Registered Investment Advisor and do not provide personal advice. If you have a doubt, consult a certified advisor.
- Market Neutral Portfolio: a DIY hedge fund designed to stay in the market without fearing the next crash.
- CEF Model Portfolio: high dividends and discounts in closed-end funds for superior incomes or DRIPs.
- Growth Portfolio: seeking optimal risk-adjusted performance in logical diversification.
- VIX Trading Signals:
high risks for high possible rewards.
The stock market is a minefield. If you don't have a plan, follow someone who has one.
Robust Strategy Design
We elaborate strategies starting from fundamental and technical analysis research. We do our best to detect and avoid curve-fitting. The period of simulation is as long as possible depending on data availability, most of the time since January 1999. This period covers all conditions and two market cycles.
The Luck Factor
Luck does exist. With the same probability to win (p) and the same average win/loss ratio (w/l), a game may result in very different futures depending on the sequence of gains and losses. Example with w/l=1.4 and p=50%:
We prefer strategies with a focused beam of possible paths:
Limits of statistics
Investors must be aware that the randomness in financial markets is not structured like the randomness in casino games or quantum physics. Group psychology is not hard science. Statistical and probabilistic models are useful, but they have limits.
Even a good strategy may have a large drawdown and stay negative during months. It is easy to imagine, but harder to live. It is better to invest less capital than giving up under pressure with a good strategy. Without a long term vision, the short term makes no sense.
* CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
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