The Algorithmic Trading Portfolio combines Trend Following and Position Sizing models to take positions in ETFs and Cryptos.
The Portfolio seeks to provide exposure across US stock market and Cryptocurrencies, with attractive returns.
The Portfolio combines a US stock market strategy and a Cryptocurrencies strategy.
The Cryptocurrencies have a maximum allocation of 40% of the Portfolio.
The model determines a Global Market Breadth Indicator, by analyzing a diversified universe of multi-market ETFs and Cryptos, and detect trends that emerge. The Global Market Breadth Indicator is used to determine the percentage of the Portfolio to allocate to the Stocks Strategy (60% to 100%), and the Crypto Strategy (0% to 40%).

The portfolio is rebalanced monthly. Each month, sell Stop-Orders are placed to secure profits or minimize losses in the event of a market drop. The portfolio holds only long positions.

Start Here Each Month

Global Market Breadth Indicator

Strategy allocation

Crypto Strategy0% to 40%

Stocks Strategy60% to 100%

Crypto Strategy

The strategy aims to provide exposure to the Cryptocurrencies market only during rising trends. If the Cryptocurrencies market is observed to be in a positive trend, the Portfolio is allocated to one of two best-performing Cryptos : Bitcoin (BTC) or Litecoin (LTC). Crypto that is bought has the best momentum (performance). If in a falling Cryptocurrencies market trend, the strategy stays out of market.

Cryptos trend detection

Assets rising trend

Buy/Hold 1 to 2 best-performing cryptos from: BTC LTC

No Assets rising trend

Out of market

Stocks Strategy

The strategy aims to provide exposure to the US stock market only during rising trends.
If the S&P 500 is observed to be in a positive trend, we assume a Risk-On market regime and the Portfolio is allocated to one of three US stock ETFs : S&P 500 (SPY), Nasdaq (QQQ) or MidCap (MDY). The ETF that is bought has the best momentum (performance). If in a falling trend, we assume a Risk-Off market environment and the Portfolio is allocated to a 20+ Year US Treasury Bond ETF (TLT)

S&P 500 Index trend detection

Risk-On Market Regime

Buy/Hold the best-performing ETF from: QQQ SPY MDY

Risk-Off Market Regime

Buy/Hold ETFTLT

Natevia does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions, regardless of the cause or for the results obtained from the use of such information.

Rebalancing of the portfolio composition is done by Natevia based on publicly available data and may be delayed. Past performance is not an indication of future results. This is not an investment advice.

All prices are indicative and for information purposes only. Back-tested results.

Cryptocurrencies

Risk  9

Return  +38.51%

Max Drawdown-22.21%

Asset Allocation

QQQ100%
This strategy trades monthly

Last refresh:
16/01/2020

Last trading day:
31/10/2019

Next trading day:
31/01/2020

Stop Orders
QQQ$203.22

Start Year:
2014

Benchmark:
SPY

List of ETFs traded:

QQQ
Nasdaq 100

SPY
S&P 500

MDY
Midcap 400

TLT
Long-Term US Treasuries

List of Cryptos traded:

BTC
Bitcoin

LTC
Litecoin

Summary

Initial BalanceFinal BalanceCAGR Stdev Best YearWorst YearMax. DrawdownSharpe Ratio
Portfolio$10,000$72,56438.51%35.54%282.84%-11.79%-22.21%1.06
Benchmark$10,000$44-59.02%62.97%0.00%-99.56%-99.56%-0.26

Holdings

SymbolAmountPriceTotal Price
QQQ326$222.28$72,463
Cash$101
YearPortfolio ReturnPortfolio BalanceBenchmark Return
2014 +14.26%$11,426-99.56%
2015-11.36%$10,1280.00%
2016 +16.35%$11,7840.00%
2017 +282.84%$45,1140.00%
2018-11.79%$39,7970.00%
2019 +74.41%$69,4110.00%
2020 +4.54%$72,5640.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.20%$9,9800.00%
February +5.11%$10,490-99.12%
March-3.10%$10,1650.00%
April-1.85%$9,977 +95.45%
May +2.31%$10,207-66.28%
June +1.66%$10,3760.00%
July +1.17%$10,497-24.14%
August +4.99%$11,0210.00%
September-0.75%$10,9380.00%
October +2.63%$11,2260.00%
November +4.53%$11,7340.00%
December-2.62%$11,4260.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.09%$11,3020.00%
February +5.00%$11,8670.00%
March +1.32%$12,0240.00%
April-1.85%$11,8010.00%
May +2.24%$12,0650.00%
June-2.63%$11,7480.00%
July +7.02%$12,5730.00%
August-13.72%$10,8480.00%
September +1.95%$11,0600.00%
October-0.40%$11,0160.00%
November-6.89%$10,2570.00%
December-1.26%$10,1280.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.44%$9,9820.00%
February +0.22%$10,0040.00%
March-2.23%$9,7810.00%
April +2.54%$10,0290.00%
May +9.91%$11,0230.00%
June +2.33%$11,2800.00%
July +1.96%$11,5010.00%
August-5.55%$10,8630.00%
September +2.21%$11,1030.00%
October-1.61%$10,9240.00%
November +0.75%$11,0060.00%
December +7.07%$11,7840.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-3.27%$11,3990.00%
February +1.22%$11,5380.00%
March-3.17%$11,1720.00%
April +24.54%$13,9140.00%
May +30.85%$18,2060.00%
June +15.96%$21,1110.00%
July +7.80%$22,7580.00%
August +39.37%$31,7170.00%
September-14.07%$27,2550.00%
October-7.18%$25,2980.00%
November +23.95%$31,3560.00%
December +43.88%$45,1140.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-7.51%$41,7250.00%
February +8.61%$45,3160.00%
March-4.05%$43,4800.00%
April-5.46%$41,1050.00%
May +1.60%$41,7620.00%
June +0.41%$41,9340.00%
July +1.55%$42,5850.00%
August-1.91%$41,7700.00%
September-0.16%$41,7020.00%
October-11.43%$36,9360.00%
November +1.79%$37,5960.00%
December +5.85%$39,7970.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.02%$39,7890.00%
February +3.88%$41,3320.00%
March +10.14%$45,5210.00%
April +14.07%$51,9280.00%
May +23.10%$63,9220.00%
June +10.49%$70,6270.00%
July-9.38%$63,9990.00%
August-2.93%$62,1240.00%
September +4.93%$65,1890.00%
October-1.50%$64,2080.00%
November +4.07%$66,8190.00%
December +3.88%$69,4110.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +4.54%$72,5640.00%
PeriodPortfolio ReturnBenchmark Return
1 year +82.37%0.00%
2 years +73.91%0.00%
3 years +536.58%0.00%
5 years +542.05%0.00%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
31/01/201431/03/20142100% QQQ
QQQ : +1.87%
+1.87% +5.42%
31/03/201430/04/20141100% MDY
MDY : -1.88%
-1.88% +0.69%
30/04/201430/06/20142100% SPY
SPY : +4.02%
+4.02% +4.44%
30/06/201431/12/20146100% QQQ
QQQ : +10.17%
+10.17% +6.09%
31/12/201430/04/20154100% MDY
MDY : +3.29%
+3.29% +1.87%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
30/04/201530/06/20152100% QQQ
QQQ : -0.69%
-0.69%-0.77%
30/06/201531/08/2015260% QQQ
20% LTC-USD
20% BTC-USD
QQQ : -2.97%
LTC-USD : -27.19%
BTC-USD : -2.33%
-7.69%-3.97%
31/08/201502/11/20152100% TLT
TLT : +0.68%
+0.68% +6.99%
02/11/201530/11/2015120% BTC-USD
20% LTC-USD
60% QQQ
BTC-USD : -14.22%
LTC-USD : -15.00%
QQQ : -0.91%
-6.39%-0.81%
30/11/201531/12/2015160% QQQ
40% CASH
QQQ : -1.99%
CASH : 0.00%
-1.19%-1.73%
31/12/201501/02/2016140% BTC-USD
60% TLT
BTC-USD : -15.72%
TLT : +4.83%
-3.39%-5.01%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
01/02/201629/02/2016160% TLT
40% CASH
TLT : +2.99%
CASH : 0.00%
+1.79%-0.05%
29/02/201631/03/2016160% TLT
40% BTC-USD
TLT : -0.49%
BTC-USD : -5.17%
-2.36% +6.73%
31/03/201602/05/2016120% BTC-USD
60% MDY
20% CASH
BTC-USD : +6.28%
MDY : +1.72%
CASH : 0.00%
+2.29% +1.19%
02/05/201630/06/2016220% BTC-USD
60% MDY
20% LTC-USD
BTC-USD : +50.82%
MDY : +1.38%
LTC-USD : +5.83%
+12.16% +1.25%
30/06/201601/08/2016120% BTC-USD
60% MDY
20% CASH
BTC-USD : -10.32%
MDY : +3.55%
CASH : 0.00%
+0.07% +3.56%
01/08/201631/08/2016140% BTC-USD
60% QQQ
BTC-USD : -10.06%
QQQ : +0.12%
-3.95% +0.20%
31/08/201631/10/20162100% QQQ
QQQ : +0.32%
+0.32%-1.73%
31/10/201630/11/2016160% QQQ
20% LTC-USD
20% BTC-USD
QQQ : +0.03%
LTC-USD : -2.90%
BTC-USD : +5.95%
+0.63% +3.69%
30/11/201603/01/2017120% BTC-USD
60% MDY
20% CASH
BTC-USD : +39.42%
MDY : +2.32%
CASH : 0.00%
+9.28% +2.81%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
03/01/201731/01/2017120% BTC-USD
60% MDY
20% LTC-USD
BTC-USD : -13.91%
MDY : +0.70%
LTC-USD : -16.96%
-5.75% +1.02%
31/01/201728/02/2017160% MDY
40% CASH
MDY : +2.18%
CASH : 0.00%
+1.31% +3.93%
28/02/201731/03/2017160% QQQ
40% BTC-USD
QQQ : +1.62%
BTC-USD : -11.01%
-3.43% +0.13%
31/03/201701/05/2017160% QQQ
20% LTC-USD
20% CASH
QQQ : +3.23%
LTC-USD : +137.73%
CASH : 0.00%
+29.48% +1.25%
01/05/201702/10/2017560% QQQ
20% LTC-USD
20% BTC-USD
QQQ : +6.20%
LTC-USD : +160.14%
BTC-USD : +171.84%
+70.12% +6.76%
02/10/201731/10/2017160% QQQ
40% CASH
QQQ : +4.10%
CASH : 0.00%
+2.46% +1.91%
31/10/201730/11/2017160% QQQ
40% BTC-USD
QQQ : +1.56%
BTC-USD : +57.48%
+23.93% +3.06%
30/11/201702/01/2018120% BTC-USD
20% LTC-USD
60% MDY
BTC-USD : +45.85%
LTC-USD : +188.30%
MDY : +0.79%
+47.30% +1.94%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
02/01/201831/01/2018120% BTC-USD
20% LTC-USD
60% QQQ
BTC-USD : -32.78%
LTC-USD : -36.37%
QQQ : +6.46%
-9.95% +4.88%
31/01/201828/02/2018140% LTC-USD
60% QQQ
LTC-USD : +23.72%
QQQ : -1.69%
+8.47%-3.64%
28/02/201802/04/20181100% QQQ
QQQ : -7.22%
-7.22%-4.84%
02/04/201831/05/20182100% TLT
TLT : -0.72%
-0.72% +5.23%
31/05/201802/07/20181100% MDY
MDY : +0.02%
+0.02% +0.79%
02/07/201831/07/20181100% QQQ
QQQ : +1.71%
+1.71% +3.48%
31/07/201831/08/2018160% QQQ
40% BTC-USD
QQQ : +5.35%
BTC-USD : -13.59%
-2.23% +3.19%
31/08/201801/10/2018160% QQQ
40% CASH
QQQ : -0.47%
CASH : 0.00%
-0.28% +0.95%
01/10/201831/10/20181100% QQQ
QQQ : -11.54%
-11.54%-7.23%
31/10/201831/01/20193100% TLT
TLT : +7.73%
+7.73% +0.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
31/01/201928/02/20191100% MDY
MDY : +3.91%
+3.91% +3.24%
28/02/201931/05/2019320% BTC-USD
60% QQQ
20% LTC-USD
BTC-USD : +121.71%
QQQ : +1.42%
LTC-USD : +146.72%
+54.54%-0.79%
31/05/201901/07/2019120% BTC-USD
20% LTC-USD
60% TLT
BTC-USD : +22.96%
LTC-USD : +6.59%
TLT : +0.31%
+6.10% +7.93%
01/07/201931/07/2019120% BTC-USD
20% LTC-USD
60% SPY
BTC-USD : -5.01%
LTC-USD : -26.12%
SPY : +0.20%
-6.11% +0.60%
31/07/201903/09/2019140% BTC-USD
60% SPY
BTC-USD : +4.83%
SPY : -2.64%
+0.35%-2.25%
03/09/201930/09/20191100% QQQ
QQQ : +1.50%
+1.50% +2.55%
30/09/201931/10/20191100% TLT
TLT : -1.51%
-1.51% +2.21%
31/10/201916/01/20203100% QQQ
QQQ : +12.58%
+12.58% +9.63%
DateSymbolAmountTypePriceFeesTotal Price
31/01/2014QQQ122Buy$81.08$20$9,912
31/03/2014MDY43Buy$232.40$20$10,013
QQQ122Sell$82.93$20$10,097
30/04/2014SPY59Buy$168.11$20$9,938
MDY43Sell$228.94$20$9,825
30/06/2014QQQ116Buy$89.07$21$10,353
SPY59Sell$175.57$21$10,338
31/12/2014MDY46Buy$247.10$23$11,389
QQQ116Sell$98.52$23$11,405
DateSymbolAmountTypePriceFeesTotal Price
30/04/2015MDY46Sell$256.26$24$11,764
QQQ114Buy$102.94$23$11,759
30/06/2015LTC-USD573Buy$4.09$5$2,348
QQQ46Sell$102.64$9$4,712
mBTC-USD8909Buy$0.26307$5$2,348
17/08/2015mBTC-USD8909Sell  (stop order)$0.25798$5$2,294
24/08/2015LTC-USD573Sell  (stop order)$2.99$3$1,710
31/08/2015QQQ68Sell$99.99$14$6,786
TLT99Buy$108.83$22$10,796
02/11/2015TLT99Sell$110.01$22$10,869
mBTC-USD6047Buy$0.36119$4$2,188
QQQ59Buy$110.14$13$6,511
LTC-USD525Buy$4.16$4$2,188
06/11/2015LTC-USD525Sell  (stop order)$3.55$4$1,860
11/11/2015mBTC-USD6047Sell  (stop order)$0.31108$4$1,877
30/11/2015QQQ4Sell$109.57$1$437
31/12/2015QQQ55Sell$107.82$12$5,918
mBTC-USD9401Buy$0.43057$8$4,056
TLT55Buy$109.24$12$6,020
DateSymbolAmountTypePriceFeesTotal Price
15/01/2016mBTC-USD9401Sell  (stop order)$0.36433$7$3,418
01/02/2016TLT4Sell$114.97$1$459
29/02/2016mBTC-USD9113Buy$0.43770$8$3,997
TLT1Sell$118.88$0$119
31/03/2016mBTC-USD4425Sell$0.41673$4$1,840
MDY23Buy$249.91$11$5,759
TLT50Sell$118.77$12$5,927
02/05/2016mBTC-USD193Sell$0.44467$0$86
LTC-USD543Buy$3.68$4$2,002
22/06/2016LTC-USD543Sell  (stop order)$3.91$4$2,119
30/06/2016MDY2Buy$259.77$1$521
mBTC-USD1156Sell$0.67334$2$777
01/08/2016MDY25Sell$270.07$14$6,738
mBTC-USD4095Buy$0.60627$5$2,488
QQQ60Buy$112.29$13$6,751
02/08/2016mBTC-USD7434Sell  (stop order)$0.54747$8$4,062
31/08/2016QQQ36Buy$112.87$8$4,071
31/10/2016mBTC-USD3109Buy$0.70097$4$2,184
QQQ39Sell$113.69$9$4,425
LTC-USD546Buy$3.99$4$2,183
30/11/2016mBTC-USD161Sell$0.74569$0$120
LTC-USD546Sell$3.89$4$2,120
MDY23Buy$284.00$13$6,545
QQQ57Sell$114.18$13$6,495
DateSymbolAmountTypePriceFeesTotal Price
03/01/2017mBTC-USD646Sell$1.04$1$673
LTC-USD519Buy$4.63$5$2,408
MDY1Buy$291.75$1$292
06/01/2017LTC-USD519Sell  (stop order)$3.86$4$1,999
mBTC-USD2302Sell  (stop order)$0.90220$4$2,073
31/01/2017MDY1Sell$294.97$1$294
28/02/2017MDY23Sell$302.62$14$6,946
QQQ54Buy$126.72$14$6,857
mBTC-USD3908Buy$1.18$9$4,621
20/03/2017mBTC-USD3908Sell  (stop order)$1.05$8$4,112
31/03/2017QQQ3Sell$129.29$1$387
LTC-USD334Buy$6.67$4$2,232
01/05/2017LTC-USD153Sell$15.92$5$2,431
mBTC-USD2032Buy$1.42$6$2,894
QQQ13Buy$134.00$3$1,745
13/09/2017mBTC-USD2032Sell  (stop order)$3.88$16$7,868
14/09/2017LTC-USD181Sell  (stop order)$41.58$15$7,511
02/10/2017QQQ39Buy$142.88$11$5,583
31/10/2017mBTC-USD1559Buy$6.47$20$10,107
QQQ2Sell$149.33$1$298
30/11/2017QQQ101Sell$152.27$31$15,349
LTC-USD70Buy$88.33$12$6,195
mBTC-USD947Sell$10.23$19$9,668
MDY56Buy$335.62$38$18,832
DateSymbolAmountTypePriceFeesTotal Price
02/01/2018QQQ177Buy$155.88$55$27,646
mBTC-USD2Buy$14.98$0$30
MDY56Sell$339.62$38$18,981
LTC-USD35Sell$255.68$18$8,931
30/01/2018mBTC-USD614Sell  (stop order)$10.11$12$6,195
31/01/2018LTC-USD66Buy$163.35$22$10,803
QQQ28Sell$166.61$9$4,656
28/02/2018QQQ125Buy$164.45$41$20,597
LTC-USD101Sell$202.90$41$20,452
02/04/2018TLT360Buy$116.65$84$42,078
QQQ274Sell$153.19$84$41,890
31/05/2018TLT360Sell$116.28$84$41,777
MDY120Buy$346.16$83$41,622
02/07/2018MDY120Sell$347.63$83$41,632
QQQ244Buy$170.59$83$41,707
31/07/2018QQQ98Sell$174.20$34$17,037
mBTC-USD2184Buy$7.78$34$17,026
07/08/2018mBTC-USD2184Sell  (stop order)$6.75$29$14,713
31/08/2018QQQ11Sell$184.26$4$2,023
01/10/2018QQQ90Buy$184.12$33$16,604
24/10/2018QQQ225Sell  (stop order)$163.52$74$36,718
31/10/2018TLT335Buy$110.18$74$36,984
DateSymbolAmountTypePriceFeesTotal Price
31/01/2019TLT335Sell$119.17$80$39,842
MDY120Buy$329.12$79$39,573
28/02/2019mBTC-USD2147Buy$3.85$17$8,282
QQQ144Buy$171.77$49$24,784
LTC-USD178Buy$46.24$16$8,247
MDY120Sell$343.35$82$41,120
29/05/2019QQQ144Sell  (stop order)$174.91$50$25,137
31/05/2019TLT294Buy$129.92$76$38,273
mBTC-USD658Sell$8.57$11$5,628
LTC-USD67Sell$114.54$15$7,659
01/07/2019mBTC-USD208Sell$10.58$4$2,196
TLT294Sell$130.85$77$38,393
SPY138Buy$292.86$81$40,496
LTC-USD1Sell$122.58$0$122
15/07/2019LTC-USD110Sell  (stop order)$90.92$20$9,981
31/07/2019mBTC-USD1247Buy$10.09$25$12,607
SPY9Sell$294.61$5$2,646
03/09/2019mBTC-USD2528Sell$10.62$54$26,794
QQQ347Buy$184.88$128$64,282
SPY129Sell$287.99$74$37,076
30/09/2019QQQ347Sell$188.40$131$65,244
TLT458Buy$142.11$130$65,217
31/10/2019QQQ326Buy$196.65$128$64,236
TLT458Sell$140.53$129$64,234