Strategy performance • Soča Investing

Strategy performance in Indices

Ali je strategija, ki uporablja ADV/DECL indikator sploh profitabilna? Ta strategija je zelo profitabilna in močno presega “buy n’ hold” strategijo.

Prednost te strategije je, da vlagatelj izstopi iz delnic/skladov na začetku korekcije ali medvedjega trenda, vstopi pa takoj, ko se pokažejo znaki okrevanja. Seveda tudi pri tej strategiji ni 100 % izplen ni zagotovljen. Takšna strategija sploh ne obstaja, če kdo pravi drugače gotovo laže. Šele ko se vlagatelj zaveda, da so izgube del igre vlaganja in spoštuje exit in entry pogoje, bo lahko uspešen. In prav to omogočajo moji modeli.

“Trading is not about being always right; first, it is about surviving, then it is about making money.”

Poglejmo si nekaj primerov trgovanja s skladi in kako se je obnesla strategija od leta 2006 do 2021. Najprej si poglejmo S&P 500.

SPX strategy performance 420% return vs. 246 % buy n’ hold return since June 2006- September 2021.

Entry/sell signals from 2009-2021
32 % gain from last buy signal October 8th 2020 (not included in calculated profit)
SPX – Strategy performance vs. buy n’ hold (last trade is not closed yet, thus total gain is cca. 420 %
Strategy performance, 25 trades, 72 % winning trades

Dobro, dobro, res zanimivo. Kaj pa ostali indeksi, ali deluje pri ostalih indeksih, kot je QQQ, XLK, XLF, idr.? JA deluje. Deluje pa zato, ker ko so delniški trgi v medvedjem ali bikovem trendu, se večina oz. praktično vsi sektorji gibljejo v skladu z trenutno situacijo na trgu. Razlika je v tem, da so nekateri skladi oz. sektorji bolj donosni od drugih. Poglejmo si nekaj primerov.

QQQ strategy performance 1760 % return vs. 834 % buy n’ hold return since June 2006- September 2021.

Buy/sell signals in QQQ from 2009-2021
35 % gain from last buy signal (not included in total performance yet)
76 % win rate, 25 closed trades
1304 % strategy return vs. 834 buy n’ hold return. (last trade not closed yet, total return thus cca. 1760 %)

XLK strategy performance 1240 % return vs. 650 buy n’ hold return since June 2006- September 2021.

Buy/sell signals in XLK from 2006-2021
35 % gain from last buy signal (not included in total performance yet)
72 % win rate, 25 closed trades
919 % strategy return vs. 834 buy n’ hold return. (last trade not closed yet, total return thus cca. 1240 %)

Financial ETF XLF, lost 85 % during 2008 bear market. Nevertheless XLF strategy performance 288% return vs. 45% buy n’ hold return since June 2006- September 2021.

Buy/sell signals in XLF from 2011-2021
Financial crisis 2007-2008
54% gain from last buy signal (not included in total performance yet)
187 % strategy return vs. 43 buy n’ hold return. (last trade not closed yet, total return thus cca. 288%)
52 % win rate, 25 closed trades

Ok, prepričal si me, da strategija deluje na nivoju ETF skladov. Kaj pa delnice?

Strategija je zelo učinkovita tudi pri delnicah, pri tem pa je odvisno katero delnico vlagatelj izbere. Če izbere delnico, ki je v medvedjem trendu pod 200 daily moving average, potem ne more pričakovati, da bo strategija delovala. Izbrati je potrebno delnice, ki ustvarjajo višje donose kot priljubljeni skladi SPY, QQQ ipd. Delnice morajo biti v trendu rasti, to pomeni, da so nad 50 oz 200 simple moving average. Odstotek uspešnih “trejdov” je pri delnicah ponavadi nižji od 35-50 %. Vendar to ne pomeni, da strategija ne ustvarja velikih donosov. Poglejmo si nekaj primerov na delnicah NVDA, AMD in GOOGL.

Strategy performance in stocks

NVIDIA – NVDA – strategy performance 15712 % return vs. 5285 % buy n’ hold return since June 2006- September 2021.

These are not mistakes. NVDA had excellent performance even with buy n’ hold strategy, although my strategy beat it by almost 3 times. Also win rate with this stock is very high 65 %, this means that the stock was pretty much in sync with the market.

Buy/sell signals in NVDA from 2011-2021
Buy/sell signals in NVDA from 2006-2014
78 % return since last buy signal (not included in strategy performance)
8827 % strategy return vs. 5285 % buy n’ hold return. (last trade not closed yet, total return thus cca. 15712 %)
68 % win rate, 28 closed trades

Google – GOOGL – strategy performance 4100 % return vs. 1369 % buy n’ hold return since June 2006- September 2021.

GOOGL had excellent performance also with buy n’ hold strategy, although my strategy beat it by almost 3 times. Also win rate with this stock is very high 68 %, this means that the stock was pretty much in sync with the market.

Buy/sell signals in GOOGL from 2011-2021
Buy/sell signals in GOOGLrom 2006-2014
97% return since last buy signal (not included in strategy performance)
2082 % strategy return vs. 1369 % buy n’ hold return. (last trade not closed yet, total return thus cca. 41000 %)
Huge 68 % win rate, 25 closed trades

Advanced micro devices – AMD – strategy performance 3970 % return vs. 235 % buy n’ hold return since June 2006- September 2021.

AMD je primer delnice, ko je vlagatelj ustvarjal veliko manjše donose z buy n’ hold strategijo, vendar to ne velja za vse delnice. Win rate je bil le 37 % kar pomeni, da v določenem obdobju ta delnica ni bila dobro korelirana s splošnim trgom.

Buy/sell signals in AMD from 2011-2021
Buy/sell signals in AMD from 2006-2014
50 % return since last buy signal (not included in strategy performance)
2648 % strategy return vs. 235 % buy n’ hold return. (last trade not closed yet, total return thus cca. 3970 %)
Only 36 % win rate, 41 closed trades

Dobro, to izgleda predobro, da bi bilo res. V čem je trik?

Seveda ta strategija ni čudežna. Če vlagatelj izbere slabo delnico, ne more pričakovati, da bo ustvarjal nadpovprečne donose. Iskati mora market leaderje znotraj sektorja, ki v danem trenutku ustvarja boljše donose od preosalih sektorjev. In to je bolj ali manj vse.

“In trading one must know when to sit on ones hands and when to take action. Patience is a virtue that most traders lack.”

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