Full Risk until Questions answered experiment :-)

Just for fun and to feed my gambling beast and to understand liquidity impact and trade next open impact I will trade with 3000 bucks and reinvest fully (already have, I am up to 3900 now) I the following 1 Stock System.

It is based on the r2g https://www.portfolio123.com/app/r2g/summary/1221165 (but heavily punished by the way r2g calculates the buying price).

I want to understand the following:

Does the model hold up? From what I can see with the sensitivity analysis it almost looks too good to be true, but that is worth to me a small amount of my port size.

If I am able to trade up with it, when does the liquidity of the system does push the real-time performance to break even and below?
Will I be able to stand volatility of a one stock model? Do trade algos help (VVAP etc.) to scale in and out?

Regards

Andreas


The link provided is “Access Denied”

Thank you, should work now!

Hi:

Money management will also be key to this working safely over time. Even the most risk tolerate should have a maximum of 10% in any signal stock (my view). So as long as a person has at least an additional 9 times more of investment funds in other stocks (or in cash), a 1 stock system will not be a dangerous risk to one’s financal future.

All the best on your experiment concerning liquidity.

Brian

Brian, thank you!!!

I start with 1% (99% of the other fund I diversify in 100 Stocks in a three month p123 System, got other captial in self used house with a mortage which is 50% above whater (housing Prices gone up crazy in some parts of Germany) ) of my Overall stock Portfolio, I will reinvest every penny I make on this 1 Stock Position. Therefore I do not bet the whole farm.

So if it trades up fast, I will try not to care about risk (which is by Definition to me not volatility but
Long term loss of capital and underperformance). I look at it as pure venture capital.

And I want to see it crack, how much can be traded in a stock that trades with 750k volume a day? Which alogos work the best?
Does slippage really matter or will my huge (if the model works as in the past and works out of samle, which I hope) Position even push the Price higher without giving all back when I exit the Position. If I got this answers, I will cut back the Position to a size that is optimal and hopefully milk
the model further on…

I will Keep you posted.

Regards

Andreas

(a Market Wizard interviewd said once “hopfulle I do not get a good fill, because that would mean the stock is not set to explode”…)

I agree with Tom.
As long as you haven’t put all your eggs in one basket, you should be fine risk-wise.
I don’t know your net worth and your initial investment, but an average bottom liquidity of 750k doesn’t look too concerning.
There are some R2Gs with lower liquidity and more subs that what you are intending to trade by yourself.
But it will be interesting to hear from your experience on liquidity and ability to trust in that model nonetheless.

Do you use FolioFN or any other comparable “flatrate” broker?
Otherwise, the 2.000+ turnover rate might make the model difficult to follow.

I have a very low-turnover port with only five stocks online.
Despite the model consisting of only five stocks, it’s built on a very robust value model.
In contrast to many other five stocks ports, this one neither has a low liquidity nor does it have a high turnover.
So it’s also somewhat jumping in at the deep end as well.
As we see, the performance might be choppy along the way, but I think if you are sure about your investment approach (and a concentrated value/momentum ranking works) it is possible to decrease diversification (as Buffett advocates).

So, as you know the ingredients to your model and as long as you can trust it, you might be happy with parts of your net worth being tied up in a one stock port.
Good luck!

Best,
fips

Thank you Fips! Loking Forward

To all: Sold PSEM with a 20% Profit, Long MAG since yesterday mid day, 10%, a 1 Stock Port gives you vola, I tell you that :wink:

I almost thought about joining you in your quest for alpha with this new three-stock port.
Highly liquid, very few and very comprehensible factors and …

… a 100% winner rate at reasonable turnover.

I should call it: Winner Winner Chicken Dinner :wink:

But still, how are you managing your system at that kind of churn rate?
Do you use FolioFN or any other comparable “flatrate” broker?

Best,
fips

Hi Fips,

you should make this 100% winner port available as R2G, even if it might only be 80% winners at 5 holdings. The low turnover compared with performance of this port is excellent!

As we are discussing in this tread the performance we are able to model in the past are deceptive.

That said, you are right that a high winner rate is indeed tempting.

I did a little more tweaking and almost reached the 100% winner rate while keeping the Sharpe ratio of just over 1 and a low turnover.
On a side note: This port is R2G eligible.

Best,
fips

Hi Fips,

please let me know when this port will be available as R2G.

Hi Andreas,

looking forward to see how this experiment plays out. I’m working on a high-turnover model as well, but the robustness (EvenID ratio) and liquidity (USD 100k) are far inferior compared to your models.

Regards,
Florian


Well guys, first trade is in the red, but vola is normal with a 1 Stock System…

Andreas,

sorry, I don’t want you to disclose private matters - but I am not sure if you don’t feel like answering or if you have simply overlooked my question:

How do you manage to trade this system at such a high turnover?
Do you use FolioFN or any other “flatrate” broker?

Aren’t trading costs killing you? How much do you pay per trade?
Do you trade from abroad or do you have a depot in the USA?

Thanks for any reply - and sorry for bothering if you feel that it’s private.

Best,
fips

Sorry Fips, I did overlook your question, no Problem, happy to answer…

I use (since 2001) tradestation e.g. I use the following fee structure:

Stocks & ETF Pricing

Per–Share Commission1

per share up to 500 shares

0.6¢

per share thereafter

I use that Price in the simulations I run.
No trading costs are not killing, they are fine (also in the 3 Month 100 Stock Model I use, execution is also good with tradestation).

I have a Dollar account with Tradestation USA, fortunatly the Dollar got stronger the last year…

I tried Interactive Brokers but I just love the user Interface of tradestation, easy to trade.

Regards

Andreas

OK, here we go, the model reacts:

I am Out of MAG with -18% (e.g. the modell has now a dd of -18%, since it only has one stock (actually I try to get a better sell price and I got a better buy price, but lets stick to what the model calculates) and try to get into GCAP with a limit order as of this trading morning.

Regards

Andreas

filled buy order GCAP @ 8.28
Sell order Mag still open, still try to get a better price, hope it does not break down…

Judgetrade - I appreciate the fact you are publishing your evaluation. I have one comment: I thought the idea was to determine what you get in real life using various trade entry methods for low liquidity stocks. It seems as if you are using discretion in this study (“I try to get a better sell price”). Did you define a plan for evaluating the different trade mechanisms, and are you carefully following it?

Steve

Steve, I can not trade the open (though it simulates the best Performance), I have do (limit!) trade between the open and the close, in between the open and the Close I try to get a good fill.

Though it did not work yesterday, Price for MAG closed almost at the low of the day, sold MAG for 35.19

Drawdown with MAG around 20%…

Regards

Andreas

Just got to Chicago! What a beautifull city (at least downtown, the rest I did not see so far!).

Took the train from the airport to the city (helping hands everywhere!) and then 2 guys walked 2 Miles me from the train station
to my hotel (they had to go to a different direction). Super friendly! I am the biggest german
USA fan there is, it feels great to be here again, Wunderbar!!! I love it!!!

Regards

Andreas

Andreas,

Did the two guys keep your luggage? I like Chicago, but only in the Summertime. California has spoiled me.

But, be careful in American cities. I lived in them most of my life. There are a lot of nice people, but there are also a lot of predators especially at night, and in certain areas. I’ve seen a lot of armed robberies and shoot-outs. And I love America, but it’s not the safest place in the world.

Anyway, have fun. I’m off to Boston in a few days and then NYC for 2 weeks off. I need it.

Best,
Tom

Have fun in Chicago!

Don’t let your single stock portfolio or any other economic turmoil spoil your vacations.

I am sure Andreas was able to keep his luggage, or at least I hope.

Best,
fips