I have been e-mailing the trades for my Combined ETF 2X Model to my Collective2 subscribers over the past month as a beta test to determine whether I have the time to put the work into the model and communicate the trades. For the month of June, this new model lost 0.8% versus a loss of 6.0% for the S&P500. I am very pleased with this result but fully recognize that one month is far from enough to base a performance judgement upon.
The table below provides the current positions held by the model:
As far as backtesting the model is concerned, the following chart illustrates the equity curve versus the S&P500.
As I usually state with my backtest results, take them with a grain of skepticism since the parameters have been optimized based on what worked in the past. The same parameters may or may not produce similar results in the future.
FJP
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Hi Fred, looks like a good start. One other piece of information that would be useful to understand, since you have multiple holdings in your model, is the % of the total account per holding (as an extra column in your table above). This would be interesting as we can then understand the ratio of long, short and commodity holdings.
I have updated the table to include the percentages allocated to each holding.