Changing my mind about posting strategy signals

I’ve thought over more my previous decision to not post strategy signals in 2013 as they occur. I’ve decided that I WILL continue to post allocation changes for the TSP strategy and will also post allocation changes for my proprietary volatility system (I’ll call it Alpha 2 for now). I plan to eventually create a page for Alpha 2 with all trades taken (it’s an end of day system like the original alpha model, though much more active). Most details on how this model works will be kept proprietary. I plan to post trades as soon as I can when they happen.

First trade for Alpha 2 took place at today’s close with a long position in VXX entered. Got in at $31.80.

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Posted on December 31, 2012, in Alpha Strategy, Other, Transactions, TSP. Bookmark the permalink. 11 Comments.

  1. First, let me be the first to thank you for your decision to continue posting signals, and, especially, to post signals for your Alpha 2 model. As always, your generosity is only exceeded by your intelligence.

    Now that I’m all excited about Alpha 2, I’d love to hear more about it. Could you fill us in on non-proprietary stuff, like all the juicy stats you provided for Alpha 2?

    Again, many thanks.

  2. That’s great news. Much appreciated. Happy New Years.

  3. Clearly, I meant all the stats you provided for the original Alpha system.

  4. Will you post a running total of how the system does ?
    Along with the historical back tesy results.
    Thanks. Bert

  5. Here are some stats from the backtest. Doesn’t mean the strategy will perform similarly going forward. Only live trading results matter.

    CAGR: 117%
    Average Drawdown: -2.3%
    Max Drawdown: -18%
    # of Trades: 306
    % Winners: 67%
    Ave Trade: 2.3%
    Ave Winner: 4.6%
    Ave Loser: -2.7%
    Best Trade: 27%
    Worst Trade: -10%

    • Thanks, Mike. And thanks for the reminder that backtested results don’t matter nearly as much as live trading results. To whit, could you tell us how long you’ve been trading the system live and what the live results are?

      Again, thank you for sharing this system.

  6. Thank you, Mike.

  7. Just saw your tweet. I just want to repeat my appreciation for making your new volatility system public. It’s too bad that its first public trade is for a loss, but all systems make bad trades, so it’s no big deal. What matters is your continued generosity.

  8. I just found your website and I’m curious what funds I should have my TSP in right now. The last post I found on the matter stated that you might encourage a more conservative allocation soon (that was in April 2012), but I don’t see anything after that. Should I be 100% in C fund?

    • Hi Micah, welcome to the site.

      My TSP allocation is currently 40% C / 60% G fund. You can track my allocation on the top right portion of the website. To see when allocation changes happened since me starting this site, you can filter posts by the tsp or transactions category.

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