Introducing our Candidates
We have been hard at work refining our systematic trading strategies to make them easy to implement, robust, and provide excellent risk adjusted returns. Up until this point our strategies were tested on a combination of proxy data that we synthesized from 1985-2014 and ETF data from 2014-2024. This month we will begin to live test our strategies and publish our trades. We are still working out the details of how best to communicate with everyone. Our current plan is to publish weekly wrap-ups each Friday and then publish trades the day before they are made. Please send us any feedback or thoughts at origin@originholdings.net.
To be clear we can't predict forward performance however we have built these strategies to have target different average volatility targets. Below is a table with each of our strategies and their historical characteristics. Currently, the strategies are named straightforwardly, albeit uncreatively, based on their relative volatility characteristics.
| Metric | Low | Med | High | Nasdaq (QQQ) |
|---|---|---|---|---|
| CAGR | 22.64% | 37.03% | 52.70% | 18.86% |
| Volatility | 11% | 17% | 25% | 22% |
| Sharpe Ratio | 1.86 | 1.95 | 1.8 | 0.9 |
| Sortino Ratio | 2.97 | 3.27 | 2.91 | 1.27 |
| Max Drawdown | 9.10% | 13.30% | 25.04% | 35.12% |
| YTD Return | 10.02% | 13.96% | 18.52% | 8.09% |
| Returns from Live Date 3/1/2024 | 4.31% | 4.31% | 4.31% | 0.83% |
Our strategies feature a, "risk on" and "risk off" mode. All three strategies share the same asset selection during risk off mode. In the table above, "Returns from Live Date" show that the three strategies have the same returns as they have all been in "risk off" mode since the trading tools have been live.
The algo's risk off mode can select from the major parts of an economy and less volatile stores of value. Commodities (DBA), Stocks (XLK), Currencies (UUP), Bonds (TLT), Gold (GLD), Treasuries (BIL). Currently our algorithms have positioned the portfolio in the following.
DBA 20.7%
XLK 19.1%
UUP 14.1%
BIL 31.2%
GLD 14.9%
Over the coming months we will explore the algorithms, metrics, testings and live trading in more detail.
Happy Mother's Day