Thanks for sharing. How do you size your positions in your strategies? Is this fixed percentage, vol target or anything else? Do you have an upper % limit for single position and ticker?
It’s a mix of equal weight and vol based. I don’t have an upper limit. If 3 systems say buy xyz ticker I buy it with essentially 3x size. If 3 systems say long that means the signal is strong so I accept the concentration risk. I’m holding 140 other positions anyway. Most of what I do is single stocks. I have some lev ETFs but thats a relatively newer addition.
Very interesting thanks for sharing. For reducing correlation to market, how about simply maintaining a negative position in spy as percent of portfolio. It looks like you have significant alpha so that will still give you strong returns uncorrelated to market. Realistically it will look like less spy exposure in your non trading accounts.
I’m considering something like that. I may try to be a little more nuanced about it and have some timing so I’m not always short. But could be a decent start towards being more market neutral
makese sense.. btw are you in the US? How do taxes work for trading on TSX and ASX, did you have a lot of headaches last year because of that? Or was it relatively straightforward with no surprises.
Thanks for sharing. How do you size your positions in your strategies? Is this fixed percentage, vol target or anything else? Do you have an upper % limit for single position and ticker?
do you trade mostly (leveraged) ETFs or stocks?
It’s a mix of equal weight and vol based. I don’t have an upper limit. If 3 systems say buy xyz ticker I buy it with essentially 3x size. If 3 systems say long that means the signal is strong so I accept the concentration risk. I’m holding 140 other positions anyway. Most of what I do is single stocks. I have some lev ETFs but thats a relatively newer addition.
Very interesting thanks for sharing. For reducing correlation to market, how about simply maintaining a negative position in spy as percent of portfolio. It looks like you have significant alpha so that will still give you strong returns uncorrelated to market. Realistically it will look like less spy exposure in your non trading accounts.
I’m considering something like that. I may try to be a little more nuanced about it and have some timing so I’m not always short. But could be a decent start towards being more market neutral
makese sense.. btw are you in the US? How do taxes work for trading on TSX and ASX, did you have a lot of headaches last year because of that? Or was it relatively straightforward with no surprises.
It was pretty straightforward. The tax forms were auto created by interactive brokers and I just fed those Turbo Tax