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InmanRoshi
Re: How was 2021?

Florian,

Are you buying and holding in Crypto or do you have an active strategy? And if the latter is the case then where do you test it (i.e. software or site)?

All,

I'd like to put things in perspective as the average investor isn't 100% in the SP500 but has a portfolio resembling the ETFs aor, aom, and aoa which returned 10.7, 6.8 and 14.7 % respectively (and if they had an advisor their fees would be reduced by that amount). A 60/40 US stocks/bonds would have returned 15.8 % but that is a less realistic portfolio for most investors as they have an international component.

Scott



Yes, and as far as comparisons to fund managers go: they have to play by a different set of rules than I do as an individual investor. Part of their job is maximizing returns, part of their jobs is managing clients (career risk, tracking error, etc.) and part of it is sales/marketing to attract and keep aum. Essentially they have to invest in highly liquid assets that never deviate too far from their benchmark in a method that makes a really cool sales pitch that people want to be a part of. I never get angry phone calls if I under perform the SPY for a quarter or two (as I did in 2018) . I never have to liquidate positions because my clients have piled out in a panic, like in March 2020. I never have to justify or explain my approach or positions to anyone but myself. If I had to play their game, by their rules, I'm sure I wouldn't perform nearly as well.

Jan 13, 2022 12:45:22 PM       
Edit 2 times, last edit by InmanRoshi at Jan 13, 2022 12:47:07 PM
ustonapc
Re: How was 2021?

Scott,

I'd like to put things in perspective as the average investor isn't 100% in the SP500 but has a portfolio resembling the ETFs aor, aom, and aoa which returned 10.7, 6.8 and 14.7 % respectively (and if they had an advisor their fees would be reduced by that amount). A 60/40 US stocks/bonds would have returned 15.8 % but that is a less realistic portfolio for most investors as they have an international component.


This is exactly why I pointed out that it is so unbelievable that someone here beat the best performing mutual fund 2021 (67%) and Medallion (69% before fees) in 2021.:-)

By the way, I think that Florian already mentioned before that he doesn't backtest his crypto strategies, his strategy is "buy & hold". This is quote from his post.

You should think about blockchains in terms of network effects. The more people are using a blockchain, the more valuable the network becomes. When the internet took off, nobody could directly benefit from TCP-IP; in crypto you have a direct monetary relation because the network is both the blockchain and the associated tokens running on the chain; the more the blockchain is used, the more valuable are the associated tokens.


I also send you an interesting link which shows a real-time prediction about the positions taken by known successful traders and whales. Pls take a look when you have time.

https://btctools.io/stats/leaderboard

Regards
James

Jan 13, 2022 12:56:20 PM       
Edit 1 times, last edit by ustonapc at Jan 13, 2022 12:58:23 PM
yuvaltaylor
Re: How was 2021?



This is exactly why I pointed out that it is so unbelievable that someone here beat the best performing mutual fund 2021 (67%) and Medallion (69% before fees) in 2021.:-)


It really shouldn't be unbelievable. Individual retail investors have so many advantages over mutual funds and hedge funds. They can invest in relatively illiquid stocks, can trade relatively frequently, don't have to deal with inflows and outflows at precisely the wrong times, and can stomach volatility. I know investors who made over 200% in 2020, and I'm sure there are quite a few who made over 100% in 2021 as well.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Jan 13, 2022 2:14:43 PM       
ustonapc
Re: How was 2021?

It really shouldn't be unbelievable. Individual retail investors have so many advantages over mutual funds and hedge funds. They can invest in relatively illiquid stocks, can trade relatively frequently, don't have to deal with inflows and outflows at precisely the wrong times, and can stomach volatility. I know investors who made over 200% in 2020, and I'm sure there are quite a few who made over 100% in 2021 as well.


I don't buy it unless the performance is checked and audited (like mutual funds and hedge funds). Perhaps there is some kind of proof that can show us (like account statements).

Just ask any pro, nobody will believe that individual retail investors can beat the performance of Medallion in the long term.

Regards
James

Jan 13, 2022 3:03:21 PM       
Edit 2 times, last edit by ustonapc at Jan 13, 2022 9:36:29 PM
InspectorSector
Re: How was 2021?

James - there will be some good performances. But like you, I am a bit of a skeptic and would question anything that isn't independently tracked. You only have to look at the P123 2021 stock-picking contest to see that most people had a so-so year. There were several negative performances, and many of the ports were removed by the authors. It looks like the top stock-picker gained about 26%.

Jan 13, 2022 5:49:55 PM       
ustonapc
Re: How was 2021?

Steve,

Agreed.

Unless we see something that is independently tracked, it is likely all BS.

Regards
James

Jan 13, 2022 6:06:23 PM       
Edit 2 times, last edit by ustonapc at Jan 13, 2022 6:18:50 PM
fwouters
Re: How was 2021?

Hi All,
I was very active with P123 since the beginning and designed the ranking Filip’s Super Value back in the day. I quit using P123 in 2014 as I wanted to focus on other things. I did find the out of sample results mixed. When the pandemic started I bought a massive put end of Feb ‘20 and renewed my P123 subscription to see what to do with my windfall. I remembered doing tests around Vix levels and closed my put and went all in Qqq when Vix spiked above 70. I would not have known that perfect timing without P123 backtesting. I did reran the 100s of ranking and simulations that I had build up till 2014 and to my ‘surprise’ most failed miserably. I looked at them in April/ May ‘20 and the massive drawdowns made them uninvestible. I switched to 100% selling puts from Aug ‘20 - Aug ‘21. This was unbelievable and I made 1MM in 12 months. I used the fundamental charting of P123 for each stock I sold puts against. I have since started to develop new models as Vix has come down and a lot of stocks with high premiums are now no longer a high probability win. I now trade two models (each 10 stocks) that I developed in 2014 that have shown strong results since then. They were the only one’s that did not break down post creation. They both are small cap. I am still catching up and love to learn the api and optimizer tools to automate the process.
I have also started trading a short model which has worked out so far but I find it hard to design a successful short model.
I look forward to reconnecting with all of you and to catch up on all the latest thinking.

Filip

Jan 13, 2022 6:33:31 PM       
Jrinne
Re: How was 2021?

All,

There is obviously some selection bias here. Big losers have not been inclined to post in this thread for some reason.

But also, for a relatively large group of retail investors there will be some members who perform better than the best performing hedge funds. And some that perform worse than worst performing hedge funds over a year's period.

I would like to leave any individuals out of this. That works out well because Daniel Kahneman talks about this with schools (from Thinking Fast and Slow):

"The Gates Foundation found that "most successful schools, on average, are small. These data encouraged the Gates Foundation to make a substantial investment in the creation of small schools..."

Also according to Kahneman:

"If the statisticians who reported to the Gates Foundation had asked about the characteristics of the worst schools, they would have found that bad schools also tend to be smaller than average. The truth is that small schools are not better on average; they are simply more variable. If anything, say Wainer and Zwerling, large schools tend to produce better results, especially in higher grades where a variety of curricular options is valuable."

In case I have to actually say this: some small, volatile retail portfolios will outperform (underperform) the best (worst) hedge funds over a year's period because they are "more variable." That is just very basic math.

That some of the portfolios at P123 are more volatile than the Medallion Fund is not in question is it?

If you are a new member you should look at the median performance of the designer models to predict how well you are likely to do until you get some experience. Kahneman has a name for that too: The Base Case.

Best,

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Jan 13, 2022 6:37:46 PM       
Edit 7 times, last edit by Jrinne at Jan 13, 2022 6:59:18 PM
azouz110
Re: How was 2021?

My performance for my personal account was 44.58% for 2021. I was invested around 85% and had on average 15% cash during 2021.
I am using seven P123 strategies. I invested around 5% in QQQ and traded few options (less than 20k).

Attachment Azouz_Performance_IB.png (141475 bytes) (Download count: 37)


Jan 13, 2022 6:56:22 PM       
Edit 5 times, last edit by azouz110 at Jan 13, 2022 7:53:58 PM
ustonapc
Re: How was 2021?

Azouz,

Thanks for posting this.

It is very clear.

Regards
James

Jan 14, 2022 6:19:49 AM       
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