• Long only portfolio on both Nasdaq and SP500 US stocks based on the historical seasonality of each stock using also verification triggers on price action and market regime
• The portfolio is configured to have a maximum of 10 shares active at the same time. During the entire year, depending on the seasonality shown by the shares, there may be from 1 to 10 shares on the market
• The duration of market positions can vary from 2 weeks to 2-3 months
• The same amount must be applied to each stock in this portfolio
• Stop loss set at 20% of the invested capital on each open position
Main Features
• Optimization of the invested capital along the year
• Multiple entry checks optimize returns and reduce risk
• Easy to manage portfoflio
Portofolio Performances
Assumptions:
Traded amount for each position: 15k$
Max numbers of contemporary traded instruments:10
Commissions: 4 $ for trade roundtrip
Roundtrip are commission included
How the long position is opened
In order to open a long position the following steps are daily performed by our systems:
1. Apply market regime information to identify statistically sound bullish regimes (for instance black swan Covid period is automaticlly cutted off)
2. For each of 97 US stocks we have collected their historical stagionality along the entire year identifying windows in which is statistically sound that the stock will rise
3. Daily control the performance of each stock ranking the best performers, this allow us to apply the strategy only to 10 positions
4. If the information of the stagionality triggers a long entry before opening the position we control the price action and his volatility identifying the correct timing for entry
5. Having done the ranking we are able to limit the number of concurrent open positions to 10
How the long position is closed
The long position is closed if our system give us the info that the bullish stagionality is over
A Stop Loss setted at 20% is always on in order to avoid any disaster, this value of 20% has been strongly backtested and optimized to guarantee a safe protection and the required space for stock to move and recover their movements.
An example of stagionality: Apple
Portfolio’ Rules
• All the actions to be done will be communicated through the telegram channel and the mail address
• In order to reflect the same results of backtest all positions have to be opened with the same amount of money (eg. if you open a position with 1 k€ all the future positions have to be opened with 1 k€. Considering the max number of open positions is 10, there could be periods during the year in which you will have 10 k€ invested
• Every time a new open position has to be opened you will receive a table like the one below, showing in green the new open position to be opened. Don’t consider positions in grey, they are older positions that were opened in the past. The position opening has to be performed immediately, if you are late please open the position at maximum within 24 hours you have received the signal
• Every time current open position has to be closed (or because the stagionalty period is over or because it got a Stop Loss) the instrument ’ignal in the table will become red. The closure of the position has to be performed immediatelly as soon as you have received the closing signal. Please note that a late closing of the position can generate significant losses
PLEASE NOTE: Resonance QuantLab is not responsable for performances due to late opening or late closing of the positions
Technical details
• This portfolio could be traded on any Broker that allow to buy US Stocks (eg. Etoro, Trading212, Degiro, Interactive Brokers, are ok)
• Entering and exiting the positions is manual
• The portfolio has been weighted with commissions of 4 $ round turn, these should be enough for any platform you will use
• Entry and Exits signals will be provided between 4pm and 7 pm Italian Time, from Monday to Friday.
• If you have just started to follow this portfolio enter only the positions in green which represent the last entry signals.
• Opening a long position in the instruments in grey may cause losses because the entry signal is old
• Grey positions are ongoing previously opened long positions currently in portfolio waiting for a closing signal
• Table with signals will be provided only when they accour, it could happen that for some days no new signal message will be provided meaning that no update is necesssary to the porfolio respect to his current situation
What do you need to follow this portfolio
• An active Broker that allows you to buy US Stocks (eg. Etoro, Trading212, Degiro, Interactive Brokers, are ok). In the beginning you can also test the portfolio for some period on your trading platform in Demo Mode
• An active subscription to Stagionality Portfolio by Resonance QuantLab
• Daily monitor any updates on Telegram Channel to check if any action has to be performed
Capital optimization over the year
• Over the different periods of the year, depending to the available stagionalities of stocks analized, this portfolio trades different amounts of stocks that could range from 1 to 10. Considering that the positions have to be opened always with the same amount, this allows in certain periods of the year, to be able to perform capital optimization freeing up capital that for sure will not work for the portfolio.
In the table below are highlited in green periods of capital optimization
Additional details
Performance in particular moments
Cumulative Returns & Drawdown
Monthly Returns & Drawdown
Daily drawdown
On a daily basis the portfolio has lost at maximum -9.0%. Note the very good behavior during Covid
Weekly drawdown
On a monthly timeframe the portfolio has at maximum 7,0%. Note the very good behavior during Covid
Monthly drawdown
On a monthly timeframe the portfolio has at maximum 5,10%. Note the very good behavior during Covid
Exposure
Exposure changes in different moments of the year
Seasonality trend during the year
The seasonality of the stocks is always the same in different years, but for a correct entry it is necessary to evaluate many other surrounding conditions that make the entry ideal.
The seasonality of the stocks combined with the different entry and exit criteria determine different investment quantities throughout the year. There are periods in which you are invested in only 1/2 shares, others in which you are on the market with 10 open positions
Stocks in the portfolio
Test or Buy this Portfolio here:
Disclaimer
Resonance QuantLab provides these information as educational financial services only that do not represent in any sort a financial advice. Any and all liability for risks resulting from investment transactions or other asset dispositions carried out by the customer based on information received or a market analysis is expressly excluded by Resonance QuantLab. All the information made available here is generally provided to serve as an example only, without obligation and without specific recommendations for action. It does not constitute and cannot replace investment advice. We therefore recommend that you contact your personal financial advisor before carrying out specific transactions and investments.In view of the high risks, you should only carry out such transactions if you understand the nature of the contracts (and contractual relationships) you are entering into and if you are able to fully assess the extent of your risk potential. Trading with futures, options, forex, CFDs, stocks, cryptocurrencies and similar financial instruments is not suitable for many people. You should carefully consider whether trading is appropriate for you based on your experience, your objectives, your financial situation and other relevant circumstances.
Past performance gives no indication of future results.
We wish to point out to you some specific risks below that may result from trading with financial instruments.
All opinions, news, investigations, analyses, prices or other information or statements offered by Resonance QuantLab are provided in the form of general remarks and comments. They do not constitute investment advice. Resonance QuantLab assumes no liability for loss or damage, including, but not limited to, lost profits that may result directly or indirectly from the use or reliance on the abovementioned opinions, news, investigations, analyses, prices or other information offered by the company. In this regard we also refer to our General Business Terms and Conditions.
All the investment forms described here involve large financial risk. The past performance of a security, an industry, a sector, a market, a financial product, a trading strategy or the individual trade does not guarantee any future results or returns. As an investor, you yourself bear the full responsibility for your individual investment decisions. Such decisions should be based on an assessment of your financial situation, your investment objectives, your risk tolerance and your liquidity needs and should be discussed in advance with your personal financial advisor in case of doubt.
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