Posted by judgetrade at Jan 17, 2022 11:08:36 AM
Re: Risk
Looking at the cap curve I would not trade that model. --> See performance from 2015!

What I think is realistic: If the market is up (lets say IWM), the book needs to be up more then the market, if the market is down, your book needs to be roughly as down as the market (but not more!).

So at the end of the day its higher beta, that does not get destroyed in a risk event.

I want to see models that track the performance of the indexes and yes which correlate.

I know that a lot of system traders try to do otherwise, e.g. built models that do not correlate.

At least in the stock market I think that is a bad idea.

Stuff like that (OOS since Summer 2019):

Multifactor Ranking System
1 Buy Rule (picks stocks with low volumne that are still tradeable for a sub 2 Mil account)
1 Sell Rule (Rank)
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Attachment OOS.png (279636 bytes) (Download count: 86)

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Best Regards
Andreas