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!
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
But still, how are you managing your system at that kind of churn rate?
Do you use FolioFN or any other comparable “flatrate” broker?
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.
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.
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
1¢
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.
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, 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
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!!!
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.
Tom, lol, Yes I did not get robbed. From what I heard and read downtown area is pretty secure and due to the
Jet lag I am in bed at 8 pm
Yes Winter is not the best time, but in the Summer time I go on vacation with my Kids and wife (Kids are
too small for a citiy vacation) and I just did not see Chicago (I have seen Boston, Minneapolis, Phoenix, San Francisco,
some smaller Cities in Utah, Denver, Boulder, Miami).
New York I did not see as well, but my wife said she wants to see this with me together, so now you know who is the Boss at home!!!
And I wanted to see some Paintings of Edward Hopper, will see them today… Looking Forward.
Are you going to visit P123 while in Chicago? They office there. You might be able to pick up some tidbits about future updates from Marco and pass them on to members.
Stay North of McCormick Place, East of Lasalle st, be in your hotel by midnight, do not walk around drunk, keep your wallet in your front pocket, and avoid conversations with “street people” and you should be fine.
Do you use a live port to track your experiment or (due to slippage or rather loosely tracking the port) do you have your own excel spreadsheet with a graph?
It would be more fun to follow your experiment if you could provide a (brief) history of your transactions or a performance graph.
I hope you continue to have good luck with your port and have fun in Chicago!
