Month: January 2021

V45.2 Trading Report Portfolio slicer

by

Attached is a customized version of the Portfolio Slicer Power BI report containing v45.2 of the trading model. Attempts to refresh will fail since the data connections point to the Excel spreadsheet and PSData folders where data from external data sources are loaded (e.g. quotes and dividends).

The first several pages are additions to v2.4 of the PBI report from the Portfolio Slicer site. Some of the original pages have been modified and others are in development… the latter should be obvious.

I am still learning the data model and the meaning of many measures and am not an expert. I know enough about Power BI and Power Query to be somewhat productive and a little DAX. If anyone has DAX or MDX experience, please let me know so I can reach out to you for assistance if/when needed.

I will attempt to answer any question and welcome requests to improve the reporting which is evolving. read more

Version 46 with kiplinger 20 ETFs

by

Version 46 with Kiplinger 20 ETF data

Attached are the results from running the V46 algorithm with Kiplinger 20 ETF data. RAR, Win/Loss% are similar to that with Bucket ETFs. MaxDD is higher because this universe of ETFs likely has a bit larger beta. Exposure is a bit lower due to the predominance of equity ETFs. read more

Trading day analysis

by

The attached is an analysis varying the standard trading day in the month away from month end to see if it impacts results.

Results do vary, but Win % and MaxDD are relatively consistent. The bias seems to be toward end of month trading, and we are already there by signaling at end of month. read more

V45.2 Profitability

by

This is the profitability by ETF from the latest iteration (v45.2) of the model trades from a page in a customized Power BI (PBI) version of Portfolio Slicer (PS). Trades from the model are loaded into the PS Excel workbook using some semi-automation we have developed.

Shown is overall profitability based upon trading the ETF (Sales Capital Gain), Dividends and Unrealized Capital Gains for those ETF’s currently being held. Dividends are from Yahoo using the external date scripts available as part of PS.

A comparison to previous iterations will be posted shortly. read more

version 45 results

by

Version 45 results.
In this version I cut the investment amount per trade to 10% of its prior value, which allowed all trades that could happen to happen. In this way one can see which ETFs would trade regardless of order, since overall exposure is now not quite 30% since there is plenty of cash even with repeated scaleIn and scaleOut operations. RAR is 7.48%, which is indicative of the non-reliance at this point on RSI. read more

version 45 economic notes

by

Version 45 trades version 2

I revised the economic indicators for accuracy. The RAR increased to 9.82% with 82% exposure. MDD is -16.23%, relatively unchanged. Two open Bond positions with BNDX and MUB.

Economic Interpretation is 6-3 in favor of indicating that we are in an expansion period, as follows:

Version45
Phase 1: Expansion leaving Trough
Phase 2: Expansion approaching Peak
Phase 3: Contraction leaving Peak
Phase 4: Contraction approaching Trough

DGS3MO 90-day Treasury Indicator
DGS3MOprice=0.1
Phase Prediction=1

DBC COMMODITY INDICATOR
DBC price=15.3
Phase Prediction=2

SPY BROAD MARKET INDICATOR
SPY price=375.7
Phase Prediction=2

UNRATE BROAD MARKET INDICATOR
SPY price=6.7
Phase Prediction=2

HOUST HOUSING STARTS CONFIRMATION
HOUST price=1547
Phase Prediction=3

VIXCLS CBOE Volatility Indicator
Phase Prediction=3

CP CORPORATE PROFITS CONFIRMATION
CP price=2118.86
Phase Prediction=3

TWEXM US DOLLAR INDICATOR
TWEXM price=91.5077
Phase Prediction=2

XLU UTILITIES INDICATED PHASE
XLU price=62.99
Phase Prediction=1

Phase Predictor Indicator
Phase 1 Total = 2
Phase 2 Total = 4
Phase 3 Total = 3
Phase 4 Total = 0

Expansion Ind = 1 Contraction Ind = 0 read more

economic summary 1/17/2021

by

Economic Summary 1/17/2021

In the lower part of the chart below you can see that the difference between Phase 1&2 (expansion) and Phase 3&4 (Contraction) remains high at 4. You can also get to that math by adding the Phase 1 and 2 totals from the count below and subtracting Phase 3 & 4. Historically that bias of 4 is high. It presumes that the risk of investing in assets that are correlated to the economy is low at this point.

The model is invested in two Bond funds (MUB, BNDX) but also in commodities (PDBC), and as long as the correlation between bonds and the overall market remains positive I suspect that the algorithm will not change its opinion.

Phase Predictor Indicator
Phase 1 Total = 2
Phase 2 Total = 4
Phase 3 Total = 3
Phase 4 Total = 0 read more

Collaboration

by

This site is designed to allow collaboration among people who are managing or intending to manage their retirement investments themselves.

The important elements of retirement investing are covered including stock/ETF selection, asset allocation, rebalancing, BUY/SELL timing. What is out of scope is retirement budgeting, expense management, and other financial planning topics such as estate planning.

One of the elements of the site is a monthly strategy that is designed to provide low risk return with a predictable income stream. This strategy is grounded in technical investing theory as well as economic theory. It is designed to be reviewed and managed on a monthly basis.

Review the various postings on the site at your leisure. And “follow” topics of interest to get emails as updates are created. read more

portfolio slicer

by

I use this software to give me an aggregate look at the overall investment status on a daily basis by bucket.  It is free, and uses Excel and Power BI as its toolset so it will be around a while, and my data stays local on my machine.

Not sure I mentioned it before.

I updated the Power BI view to also give me a stock chart, so I can run this daily to update the quotes (free) and look at both allocations and individual stock prices.

Probably been using it for 3 years give or take.  Replaced Quicken with it.  Also just to humor myself I loaded every stock trade I made over the past 15 years so I can see some aggregate data.

http://www.portfolioslicer.com/ read more