Rebalance of Portfolio Strategies and Strategy Books 08/04/2025
Last time hello from Dubai ;-), we head home on Tuesday!
We met an interesting trading group here, everybody has skin in the game (e.g. trades his/her own book) but all tightly working together and sharing knowledge. Nice! In general it is a very interesting place, you have to visit to understand, it compares to no other city I have every visited.
Everybody has a work ethic not comparable to anything I have ever seen (India comes close!), everybody has huge ambitions, people are super friendly, the place is save, people support and help out each other (strong networks here!). Hypercompetetive market, so you better have an international business model in place before you move here.
I worked 2-4 hours a day on AI Factor Models —> Small cap stuff looks better and better, learned a ton via ChatGPT! Still some work to do there, then EU small to mid-caps and then US mid to large caps second and third round of research.
Main Learnings:
ZSCORE and DATE works also on small caps (I rejected that design choice in the beginning!), much more volatile than rank and date, but with a ton of stocks per strategy it works well, then combine in a strategy book and hedge with a 15% TWM Position:
Above is an OOS Test, predictors (of 11 AI Models) have been trained from 2003 - 2019. The Strategy Book has > 120 Stocks!
An example:
Above: OOS Live since 03/28/25, so it did pretty well. Again the learning is those strategies need 30-50 Stocks to be not too volatile.
Another Learning: those strategies spit out very nice small cap breakout candidates (but would only trade them after a 15-20% DD on the strategy). If they set up, the charts are very clean (unlike rank and date, they are all over the place and work on a portfolio level). Looking forward to trade those names. Also when those ZScore and Date strategies had a 50-80% run (like now), usually the market gets in to more difficult waters.
RFIL is a good example —>
The first rally from the bottom had around 30%, then pull back and institutional volume spikes, then lift off after consolidation. I saw that pattern over and over in the past, but never had a way to systemize the watchlist. Now I got it! Nice! But again, those names only make sense when the market had a nice reset or in a go go market like 2020 (which is not the case now, so I am waiting!).
One key is to filter the watchlist (for example in TC2000) for tight spreads (0.01 or 0.02) when this happens on those small caps, institutions start to controll the order book.
I will work with https://x.com/Matthewwmickey1 together on the execution, nice project, so let us see!
Rebalance of Portfolio Strategies and Strategy Books 08/04/2025
Links to Simulated Strategy Books
A strategy book is a portfolio of different strategies and (potentially) ETFs.
https://www.portfolio123.com/app/opener/BOOKSIM/?cat=G317
Links to corresponding Live Strategy Books
https://www.portfolio123.com/app/opener/BOOK/?cat=G317
Rebalance 07/28/2025
Wait until the rebalance of the strategy books are through (1.5 to 1 hour before market open on Monday)!
Here are the cap curves of the Strategy Books (cap curve updated today) —>
Beat the S&P 500 Young Investors: Out of sample live trading about October 2024
The following Strategy Books is not hedged, therefore for “younger” investors that still cost average into a strategy book.
https://www.portfolio123.com/port_summary.jsp?portid=1854360
Corresponding Live Book
https://www.portfolio123.com/port_summary.jsp?portid=1854362
Let us see how it holds up!
Beat the S&P 500 (hedged) OOS about October 2024
https://www.portfolio123.com/port_summary.jsp?portid=1814216
Last two years —>
Corresponding Live Book
https://www.portfolio123.com/port_summary.jsp?portid=1854426
Hedge is working!
One Portfolio of Free P123 Strategies
https://www.portfolio123.com/port_summary.jsp?portid=1853788
Corresponding Live Book
https://www.portfolio123.com/port_summary.jsp?portid=1854427
One Portfolio of Free P123 Strategies - Hedged
https://www.portfolio123.com/port_summary.jsp?portid=1854582
Corresponding Live Book
https://www.portfolio123.com/port_summary.jsp?portid=1854584
Video on how to auto trade the shared Live Books via Portfolio123.com / Interactive Brokers Pro or Tradier! 🚀
Strategy Books are now shareable in Research Groups of Portfolio123.com
We are just starting out, but I will share a ton of Strategy Books in the coming weeks: Perfect for private Investors that want to use time proven out of sample Strategies in one holistic Strategy Book!
All right, have a great week!
Best Regards
Andreas