Changes for 2013
2012 is drawing to a close. All in all, it’s been a good year for me and I have many things to be thankful for.
There will be some changes to this site in the new year. The biggest change is that I no longer plan to post strategy signals as they occur (sorry!). There are a couple reasons for this. First, I will not be trading two of the currently tracked systems, the stock bond timing model and the alpha model, in my own account. I don’t feel like continuously tracking these for the heck of it. Second, I think anyone who wants to trade another’s strategy should be able to recreate and track it to get a better feel for the nuances of it.
For my most aggressive funds, I have transitioned out of the Alpha model and into a totally different system for trading the volatlility products. I have great faith that the new model can deliver high returns with a fraction of the average drawdown of the Alpha model. There are several aspects of the new system that make me want to keep it proprietary. There won’t be much else said about it.
While not tracking any strategies in real time, I do plan to occasionally post a check-up on them. The pages for the stock bond model and alpha models will still be here for reference.
Wishing everyone a great end to 2012 and best of luck in the new year. Thanks for following and providing your feedback along the way.
Mike
Posted on December 17, 2012, in Alpha Strategy, Other, Stock Bond Timing Strategy. Bookmark the permalink. 12 Comments.
I totally understand, Mike. I will still visit regularly to read your market and system insights. Good luck with your new volatility system.
Alex
Thanks Alex
Well, that sucks. I just started following this site and looked forward to checking the trading strategies and getting some new ideas. Oh well, you gotta do what you gotta do. Good luck and thanks for a great month.
Hi Joel, sorry to dissapoint. I plan to keep posting ideas but it will be up to the reader to keep tabs on these on a daily basis. Take care.
Thanks for all of your time and efforts in working with the volatility area. I learned a great deal from your research.
If you ever decide to begin to charge a fee for the volatility portfolio, I would be interested in paying for your services.
Thanks.
Gerard J. Deprez, CFP, MBA Financial Planner Crispigna Deprez Petersen Birder 2131 S. Webster Ave Suite 200 Green Bay, WI 54301 (920) 435-4800
Securities and advisory services offered through Harbour Investments, Inc. 575 D’Onofrio Dr, Suite 300, Madison, WI 53719 (608) 662-6100 Securities licensed in Wisconsin.
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Thanks Gerard, I’m glad you found the research useful. I imagine there will be more posts on volatiltiy trading in the future.
I will let you know if I decide to offer the system signals as a service. I want to live trade it for a longer period before I consider that.
Perhaps you won’t want to answer this, but I’m curious: are you staying with the VIX ETPs or are you moving to the VIX futures/options?
Still the ETPs.
Michael, thank you for all your work you shared with your alpha model. It is the best one I have ran across so far.
I am actually surprised you found a way to reduce draw downs without hedging. In my personal research, I found that hedging could reduce DD and increase the sharpe ratio somewhat, but would significantly reduce overall potential compounded returns. Without hedging there are days that move more 10%, so I feel a timing model is limited in that fashion. I guess you could do more with position sizing/vol targeting, but you are trading more often as a result. I will take a second look, since now I know it is possible
Best of luck in the new year.
Thanks James.
I’ll still be subject to the random big negative day – just less often than before. Keep at it and you may find a gem. Take care.
Happy Holiday, Mike.
Thanks Alex, same to you!