Over the past year we have been live testing the Monthly Macro ETF Strategy and as we wind up for the year, I want to share the results to date.
As you know we are systematic traders using quantitative edges to make money trading the markets. Our trading is all about finding predictable, repeatable trades that can be scaled up.
Our main job is to categorize the market regime first, once we have that part figured out we use that info to identify the unique characteristics of these market regimes.
Regimes happen all the time, intraday, overnight, during the market open, between the open and lunch, market close, as well as on daily, weekly, monthly and yearly basis.
The higher you move up in time the more powerful, and informative the regime classifications are. For example using the last 100 trading days informs what environment we currently in and how we can apply that to daily swing trades and even/especially intraday daytrading.
But what really gets me...
In yesterday's email I introduced you to the Pollinate Macro ETF Strategy, showing the results of our 25 year backtest and 1 year forward test. The summary is here if you want to have a look.
Today I'm going to talk about one of the biggest edges that the Macro ETF Strategy was built on.
Recency bias is a cognitive bias that favors recent events over historic ones. A memory bias, recency bias gives "greater importance to the most recent event", such as the final lawyer's closing argument a jury hears before being dismissed to deliberate.
Or a better way for our purposes, a market that has just been going sideways for years failing to breakout time and time again.
How many times have you been sucked in to a breakout setup only to watch it turn around just as you jump in, and stop you out?
After a couple of attempts and stop outs, you just walk away. Only to come back and look at it again a few weeks later,...
This is the inaugural Blog post for the Monthly Macro Portfolio.
Each month, before the first trading day of the month you will receive an email with the current portfolio, any exits and any new entries.
This portfolio is the model portfolio here at Pollinate Trading and not a recommendation to buy or sell, it is up to you to make the decision to buy or sell any of the assets we will cover here.
All entries will be made via buy stops above the signal level.
All exits will be made at the open of the first trading day of the month, there will be no exits during the month, which can cause drawdowns, but the system is designed to wait for the entire trading month to end before exiting positions.
The strategy was designed in 2019 and began live trading the beginning of 2020 (forward testing).
This strategy was also utilized exclusively (outside of Pollinate) by a family office who will continue to run this strategy alongside us all.
Each week I promise to send you actual trading research, strategies and insights that are exclusive to email subscribers.
This email will always be free and you will get more value than you would from other newsletters that you pay for.