Hedge Fund Level Investment for the Retail Investor

Global Markets Stocks and Indexes
1

So I have been doing some serious quantitative research for the past two years and I finally have a working system. I will use this thread to track and discuss the evolution of my strategy that anyone can follow on ayondo with just $ 100.

I call the strategy Global Rotation One and it involves investing in equities; US, UK, Europe and Emerging Markets, treasuries and gold.

The backtests look very promising. Had you been following the strategy since 2010, this is what the equity curve would look like today.

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This is what the stats look like:

Levering up the strategy 5 times makes it look even better if you can stomach a drawdown of about 38%.


2

I launched the strategy live on ayondo two weeks ago and this is what the numbers look like:

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So far so good.

Due to the hedged nature of the strategy, losses will be controlled and growth will be slow and steady.

3

It will be nice to see how this year evolves as America heals, Europe embarks on QE and China comes of age. How do you think these developments will affect equity and bond markets?

4

This was an interesting week in the markets which ended badly for my strategy. We began with Syriza winning the Greek elections held on Sunday. As expected the market reacted badly and stocks traded lower on Monday. By Friday the Greek market was down 14%.
The FOMC report hinted at a possible rate rise by June. This is interesting because we haven’t seen them hike the base rate in over 7 years. Seeing them do this for the first time, should definitely rough markets.
Apple beat estimates and closed trading at its highest level ever.

For my strategy, I closed both my gold and bond positions in profit. However I took a massive loss on my S&P 500 position and Emerging market equity exposure. Overall, I ended the month with a return of 0.67%.

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5

Another difficult week for the Global Rotation One strategy but it is still green for the year.

Made losses on the bond and gold trade but the stock positions ended in the green leading to an increase in the yearly returns.

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6

The markets are changing with each passing week. You really cant make sensible calls over a week. Most central banks are intervening in their economies like it is no ones business. ECB, The Danish Central bank and the ever present Japanese Central bank. It looks really ugly if you ask me.

In Europe, Greece is still the major issue moving markets. If they are allowed to renegotiate the terms of their debt, every one is going to ask for the same treatment. Because of this, I don’t believe Greece will be allowed to have their way. Their best option is to stick with the program and see it through.

7

Are the trades in PRACTICE account or REAL account? What approach are you using? Conservative? Moderate? etc etc.

8

The trades are currently from a demo account. I am working on connecting my live account to the system but there seems to be a problem from my banks end so it may take awhile. The Global Rotation One is a conservative strategy where I am trying to keep drawdown and volatility to the minimum. This should in theory allow followers to dial up the leverage and not end up with blown accounts.

9

Another month of trading is over and the Global Rotation One strategy closed in the green.

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That makes it two months of positive returns with very little drawdown.
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The only downside is that I have been under-performing my benchmark by a large amount. I want to blame entering the trades manually into the Ayondo platform for this but hopefully they will have an API out soon to help automate the input process.

The good news is that I am taking some Forex strategies through robust testing and they look ready for deployment. Global Rotation One should therefore having a lot more underlying strategies by the beginning of the second quarter.