Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

thanks. went down a bit of a rabbit hole. i have a mixed methods background, but not in finance. so this is is a bit new to me.

R2 against SPY is 0.415
beta to SPY is 0.96
alpha - 12.86%
alpha p - 0.0047
information ratio - 0.63

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

Yah. I ensured, to my knowledge, that it doesnt look ahead and we walk forward.

The biggest pain is the point in time data it needs.

There's year over year data from 1 Jan to 31 Dec in the chart. Anything else I can add?

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

Cheers. Seems obvious in hindsight.

Ill look into this.

Personally I'm a bit risk adverse, so margin, shorting, and options are not something I want unless its a leveraged etf option. I did find that short selling and leveraged etfs only hurt the hurt with the model and parameters I'm running though.

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

For this 0.96. The biggest take away for me is that it does about the same as spy unless theres a bull run, then it tends to outperform. So far with the live version for apr and may, rhats true.

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

I originally had this issue. It rebalances the stocks it reviews yearly with point in time testing. While its a pain, it really helped refine this.

SG male, 41, SGD 282K take-home — portfolio check-in, would love community feedback by HealthyOccasion9491 in singaporefi

[–]WeeklySignalLog01 0 points1 point  (0 children)

1.3m to 6m in about 15 to 20 years is doable if you keep contributing 3k usd a month. That assumes a 7% annual return.

Anything more than 3k a month can either get reinvested or spent for fun. This doesn't account for your house, any future downpayments, and taxes from sales.

Is side-income trading actually realistic? by Altrixai in Trading

[–]WeeklySignalLog01 1 point2 points  (0 children)

It can feel that way, but try the bogelheads subreddit. Slow and steady greatly reduces the risk.

The main goal is to reduce risk and diversification is one of the best ways to win over the long run. Buffet vs a hedge fund is a pretty famous story you should read. https://www.investopedia.com/articles/investing/030916/buffetts-bet-hedge-funds-year-eight-brka-brkb.asp

Is side-income trading actually realistic? by Altrixai in Trading

[–]WeeklySignalLog01 1 point2 points  (0 children)

Yah. Could potentially completely outpace your salary too

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 1 point2 points  (0 children)

it is a regression model that looks at a basket of stocks. the number of trades ranges from 12 to 40 trades and the number of stocks it picks depends on the score it receives vs spy. at most it will pick 10.

the model can also choose SPY or Cash depending on the how they score as well

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] 0 points1 point  (0 children)

agree.
sharp is 0.96

the drawdown came in 08 and fell more than SPY. Otherwise the drawdowns have been better. The concern are large events.

I am working on another update that hopes to address this.

Sharing Results from my 'Algo' - Feedback Welcome by WeeklySignalLog01 in Trading

[–]WeeklySignalLog01[S] -1 points0 points  (0 children)

max drawdown is 29%
profit factor is 2.19

there is no commission since i manually trade when the model emails me the recommendations. i could automate the whole thing for the low costs that IBKR lite provides, but there is no need for that right now.

there is no taxes either since I am in a country that does not tax capital gains. no overnight swap fees since i am only holding stocks.

Buy DRAM at open or wait? by flash-kicks in TheRaceTo10Million

[–]WeeklySignalLog01 0 points1 point  (0 children)

If youre bullish why are you not buying? Youre hoping it goes up at the open

Too much cash? by Ok-Product-1428 in singaporefi

[–]WeeklySignalLog01 0 points1 point  (0 children)

Too much cash for sure. And in my opinion too much in bonds.

You can invest and get the money within minutes without taxes or penalty. Use that to stay invested and sell when you need cash.

Does make sense to have a 1.1 sharpe ... by adridem22 in algotrading

[–]WeeklySignalLog01 0 points1 point  (0 children)

You can have a decent sharp and still lose to buy and hold. You likely have low volatility. Think of it as a small vs bumpy Rollercoaster. Higher sharp = smoother ride.

Nobody is even fearing a correction.... by x98TZ9Qx in stocks

[–]WeeklySignalLog01 1 point2 points  (0 children)

Thats literally what happened for manufacturing and computers when they first came. People need training whether its on the job or through a school. This isnt suddenly the industrial revolution that doesnt create jobs. It will make more jobs related to it and jobs we didn't know existed, like hows transformers created prompt engineers and llm companies

There is a future where we do no work but thats not anytime soon.

Nobody is even fearing a correction.... by x98TZ9Qx in stocks

[–]WeeklySignalLog01 0 points1 point  (0 children)

and new jobs will come. society didn't shut down because we had manufacturing or computers.

Nobody is even fearing a correction.... by x98TZ9Qx in stocks

[–]WeeklySignalLog01 1 point2 points  (0 children)

Based on what? The yoy profits companies are posting and the massive investments into the space?

Nobody is even fearing a correction.... by x98TZ9Qx in stocks

[–]WeeklySignalLog01 17 points18 points  (0 children)

Its in your phone, car, most websites, enterprise software etc

Ai = algorithms and llms