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 Multi-Crypto 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 Multi-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

Multi-Crypto Strategy0% to 40%

Stocks Strategy60% to 100%

Multi-Crypto Strategy

The strategy aims to provide exposure to the Cryptocurrencies market only during rising trends. If the Bitcoin is observed to be in a positive trend, the Portfolio is allocated to one to three best-performing Cryptos from : Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), and Eos (EOS). Cryptos that are bought have the best momentum (performance). If in a falling Cryptocurrencies market trend, the strategy stays out of market.

Bitcoin trend detection

Risk-On Market Regime

Buy/Hold 1 to 3 best-performing cryptos from: ETH BTC LTC EOS

Risk-Off Market Regime

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  +64.90%

Max Drawdown-18.70%

Asset Allocation

QQQ60%
ETH-USD40%
This strategy trades monthly

Last refresh:
11/8/19

Last trading day:
10/31/19

Next trading day:
12/2/19

Stop Orders
QQQ$184.80
ETH-USD$156.79

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:

ETH
Ethereum

BTC
Bitcoin

LTC
Litecoin

EOS
Eos

Summary

Initial BalanceFinal BalanceCAGR Stdev Best YearWorst YearMax. DrawdownSharpe Ratio
Portfolio$10,000$192,84664.90%45.63%571.28%-10.52%-18.70%1.29
Benchmark$10,000$22-64.45%92.29%0.00%-99.78%-99.91%0.09

Holdings

SymbolAmountPriceTotal Price
QQQ579$201.23$116,512
ETH-USD413$184.21$76,079
Cash$255
YearPortfolio ReturnPortfolio BalanceBenchmark Return
2014 +14.30%$11,430-99.78%
2015-10.52%$10,2270.00%
2016 +116.53%$22,1450.00%
2017 +571.28%$148,6550.00%
2018-2.39%$145,1080.00%
2019 +32.90%$192,8460.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.20%$9,9800.00%
February +5.11%$10,490-99.34%
March-3.10%$10,1650.00%
April-1.86%$9,976 +101.52%
May +2.32%$10,207-93.23%
June +1.67%$10,3770.00%
July +1.18%$10,499 +144.44%
August +5.00%$11,0240.00%
September-0.76%$10,9400.00%
October +2.64%$11,2290.00%
November +4.53%$11,7380.00%
December-2.62%$11,4300.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.09%$11,3050.00%
February +5.02%$11,8730.00%
March +1.33%$12,0310.00%
April-1.87%$11,8060.00%
May +2.24%$12,0700.00%
June-2.63%$11,7530.00%
July +7.03%$12,5790.00%
August-13.71%$10,8540.00%
September +1.96%$11,0670.00%
October-0.41%$11,0220.00%
November-6.91%$10,2600.00%
December-0.32%$10,2270.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +34.21%$13,7260.00%
February +31.85%$18,0980.00%
March +14.57%$20,7340.00%
April-0.39%$20,6530.00%
May +6.32%$21,9580.00%
June +0.15%$21,9920.00%
July +2.54%$22,5510.00%
August-6.89%$20,9980.00%
September +2.05%$21,4280.00%
October-6.47%$20,0410.00%
November +0.79%$20,2000.00%
December +9.63%$22,1450.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-3.86%$21,2900.00%
February +6.39%$22,6510.00%
March +42.07%$32,1800.00%
April +21.71%$39,1660.00%
May +49.44%$58,5280.00%
June +16.33%$68,0850.00%
July-5.03%$64,6610.00%
August +26.68%$81,9130.00%
September-8.04%$75,3270.00%
October +0.28%$75,5400.00%
November +23.92%$93,6070.00%
December +58.81%$148,6550.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +7.87%$160,3580.00%
February-9.67%$144,8470.00%
March-2.44%$141,3190.00%
April-4.24%$135,3310.00%
May +1.59%$137,4870.00%
June +0.41%$138,0560.00%
July +1.72%$140,4240.00%
August +5.78%$148,5360.00%
September-0.28%$148,1180.00%
October-9.07%$134,6820.00%
November +1.79%$137,0940.00%
December +5.85%$145,1080.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.02%$145,0750.00%
February +3.90%$150,7400.00%
March +3.92%$156,6460.00%
April +5.33%$164,9950.00%
May +20.80%$199,3080.00%
June +5.03%$209,3380.00%
July-9.36%$189,7470.00%
August-2.94%$184,1770.00%
September +4.93%$193,2600.00%
October-1.51%$190,3440.00%
November +1.31%$192,8460.00%
PeriodPortfolio ReturnBenchmark Return
1 year +40.67%0.00%
2 years +106.02%0.00%
3 years +854.68%0.00%
5 years +1,542.92%0.00%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/31/143/31/142100% QQQ
QQQ : +1.87%
+1.87% +5.42%
3/31/144/30/141100% MDY
MDY : -1.88%
-1.88% +0.70%
4/30/146/30/142100% SPY
SPY : +4.02%
+4.02% +4.43%
6/30/1412/31/146100% QQQ
QQQ : +10.18%
+10.18% +6.09%
12/31/144/30/154100% MDY
MDY : +3.29%
+3.29% +1.88%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
4/30/156/30/152100% QQQ
QQQ : -0.69%
-0.69%-0.77%
6/30/158/31/15260% QQQ
20% LTC-USD
20% BTC-USD
QQQ : -2.97%
LTC-USD : -27.19%
BTC-USD : -2.33%
-7.69%-3.97%
8/31/1511/2/152100% TLT
TLT : +0.69%
+0.69% +6.99%
11/2/1511/30/15120% BTC-USD
60% QQQ
20% LTC-USD
BTC-USD : -14.22%
QQQ : -0.90%
LTC-USD : -15.00%
-6.38%-0.81%
11/30/1512/31/15160% QQQ
13% ETH-USD
27% CASH
QQQ : -1.99%
ETH-USD : +6.49%
CASH : 0.00%
-0.35%-1.73%
12/31/152/1/16120% ETH-USD
60% TLT
20% BTC-USD
ETH-USD : +135.79%
TLT : +4.83%
BTC-USD : -15.72%
+26.91%-5.01%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
2/1/162/29/16120% ETH-USD
60% TLT
20% CASH
ETH-USD : +185.73%
TLT : +2.99%
CASH : 0.00%
+38.94%-0.05%
2/29/163/31/16120% ETH-USD
60% TLT
20% BTC-USD
ETH-USD : +79.09%
TLT : -0.49%
BTC-USD : -5.17%
+14.49% +6.73%
3/31/165/2/16113% ETH-USD
13% BTC-USD
13% LTC-USD
60% MDY
ETH-USD : -35.00%
BTC-USD : +6.28%
LTC-USD : +12.43%
MDY : +1.72%
-1.09% +1.19%
5/2/165/31/16113% BTC-USD
13% LTC-USD
60% MDY
14% CASH
BTC-USD : +19.02%
LTC-USD : +25.85%
MDY : +0.91%
CASH : 0.00%
+6.38% +0.90%
5/31/166/30/16113% BTC-USD
13% LTC-USD
60% MDY
13% ETH-USD
BTC-USD : +26.21%
LTC-USD : -16.25%
MDY : +0.07%
ETH-USD : -11.86%
-0.21% +0.35%
6/30/168/1/16113% BTC-USD
60% MDY
13% ETH-USD
14% CASH
BTC-USD : -10.32%
MDY : +3.55%
ETH-USD : -12.55%
CASH : 0.00%
-0.84% +3.56%
8/1/168/31/16140% BTC-USD
60% QQQ
BTC-USD : -10.06%
QQQ : +0.11%
-3.96% +0.20%
8/31/169/30/161100% QQQ
QQQ : +1.81%
+1.81%0.00%
9/30/1610/31/16160% QQQ
40% ETH-USD
QQQ : -1.86%
ETH-USD : -14.04%
-6.73%-1.73%
10/31/1611/30/16160% QQQ
20% BTC-USD
20% LTC-USD
QQQ : +0.04%
BTC-USD : +5.95%
LTC-USD : -2.90%
+0.63% +3.68%
11/30/161/3/17120% BTC-USD
20% LTC-USD
60% MDY
BTC-USD : +39.42%
LTC-USD : -9.62%
MDY : +2.32%
+7.35% +2.81%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/3/171/31/17120% BTC-USD
60% MDY
20% CASH
BTC-USD : -13.91%
MDY : +0.70%
CASH : 0.00%
-2.36% +1.02%
1/31/172/28/17160% MDY
13% ETH-USD
13% LTC-USD
14% CASH
MDY : +2.18%
ETH-USD : +46.85%
LTC-USD : -7.97%
CASH : 0.00%
+6.36% +3.93%
2/28/173/31/17120% ETH-USD
20% BTC-USD
60% QQQ
ETH-USD : +215.05%
BTC-USD : -11.01%
QQQ : +1.62%
+41.78% +0.13%
3/31/175/1/17113% ETH-USD
60% QQQ
13% LTC-USD
14% CASH
ETH-USD : +51.87%
QQQ : +3.23%
LTC-USD : +137.73%
CASH : 0.00%
+26.59% +1.25%
5/1/177/31/17313% ETH-USD
60% QQQ
13% LTC-USD
13% BTC-USD
ETH-USD : +157.68%
QQQ : +4.26%
LTC-USD : +169.15%
BTC-USD : +101.78%
+58.28% +3.89%
7/31/178/31/17160% QQQ
20% LTC-USD
20% BTC-USD
QQQ : +1.67%
LTC-USD : +64.52%
BTC-USD : +62.54%
+26.41% +0.29%
8/31/1710/2/17160% QQQ
13% LTC-USD
13% BTC-USD
13% ETH-USD
QQQ : -0.61%
LTC-USD : -41.72%
BTC-USD : -17.78%
ETH-USD : -18.61%
-10.52% +2.46%
10/2/1710/31/17160% QQQ
40% CASH
QQQ : +4.09%
CASH : 0.00%
+2.45% +1.91%
10/31/1711/30/17160% QQQ
40% BTC-USD
QQQ : +1.56%
BTC-USD : +57.48%
+23.93% +3.06%
11/30/171/2/18113% BTC-USD
60% MDY
13% LTC-USD
13% EOS-USD
BTC-USD : +45.85%
MDY : +0.79%
LTC-USD : +188.30%
EOS-USD : +226.06%
+60.30% +1.94%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/2/182/28/18213% LTC-USD
13% EOS-USD
60% QQQ
13% ETH-USD
LTC-USD : -20.96%
EOS-USD : -10.22%
QQQ : +5.08%
ETH-USD : -21.40%
-3.79% +1.07%
2/28/184/2/18160% QQQ
40% CASH
QQQ : -7.22%
CASH : 0.00%
-4.33%-4.84%
4/2/185/31/182100% TLT
TLT : -0.72%
-0.72% +5.23%
5/31/187/2/181100% MDY
MDY : +0.02%
+0.02% +0.79%
7/2/1810/31/184100% QQQ
QQQ : -2.07%
-2.07%0.00%
10/31/181/31/193100% TLT
TLT : +7.72%
+7.72% +0.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/31/192/28/191100% MDY
MDY : +3.91%
+3.91% +3.24%
2/28/194/30/192100% QQQ
QQQ : +9.20%
+9.20% +5.97%
4/30/195/31/19160% QQQ
13% LTC-USD
13% EOS-USD
13% BTC-USD
QQQ : -6.33%
LTC-USD : +53.58%
EOS-USD : +75.49%
BTC-USD : +59.55%
+20.72%-6.38%
5/31/197/1/19113% EOS-USD
13% BTC-USD
60% TLT
13% ETH-USD
EOS-USD : -20.41%
BTC-USD : +22.96%
TLT : +0.32%
ETH-USD : +9.08%
+1.70% +7.93%
7/1/197/31/19113% BTC-USD
13% ETH-USD
60% SPY
13% LTC-USD
BTC-USD : -5.01%
ETH-USD : -22.06%
SPY : +0.20%
LTC-USD : -26.12%
-6.79% +0.60%
7/31/199/3/19140% BTC-USD
60% SPY
BTC-USD : +4.83%
SPY : -2.64%
+0.35%-2.25%
9/3/199/30/191100% QQQ
QQQ : +1.50%
+1.50% +2.55%
9/30/1910/31/191100% TLT
TLT : -1.51%
-1.51% +2.21%
10/31/1911/8/1940% ETH-USD
60% QQQ
ETH-USD : -0.27%
QQQ : +1.70%
+0.91% +1.85%
DateSymbolAmountTypePriceFeesTotal Price
1/31/14QQQ122Buy$81.26$20$9,934
3/31/14MDY43Buy$233.30$20$10,052
QQQ122Sell$83.11$20$10,119
4/30/14MDY43Sell$229.83$20$9,863
SPY59Buy$168.94$20$9,987
6/30/14SPY59Sell$176.43$21$10,389
QQQ116Buy$89.26$21$10,375
12/31/14MDY46Buy$248.06$23$11,434
QQQ116Sell$98.74$23$11,431
DateSymbolAmountTypePriceFeesTotal Price
4/30/15MDY46Sell$257.25$24$11,810
QQQ114Buy$103.16$24$11,784
6/30/15mBTC-USD8914Buy$0.26307$5$2,350
QQQ46Sell$102.86$9$4,722
LTC-USD573Buy$4.09$5$2,348
8/17/15mBTC-USD8914Sell  (stop order)$0.25798$5$2,295
8/24/15LTC-USD573Sell  (stop order)$2.99$3$1,710
8/31/15TLT99Buy$109.19$22$10,831
QQQ68Sell$100.21$14$6,801
11/2/15TLT99Sell$110.38$22$10,906
mBTC-USD6051Buy$0.36119$4$2,190
LTC-USD525Buy$4.16$4$2,188
QQQ59Buy$110.37$13$6,525
11/6/15LTC-USD525Sell  (stop order)$3.55$4$1,860
11/11/15mBTC-USD6051Sell  (stop order)$0.31108$4$1,879
11/30/15QQQ4Sell$109.81$1$438
ETH-USD1523Buy$0.87312$3$1,332
12/31/15mBTC-USD4745Buy$0.43057$4$2,047
QQQ55Sell$108.06$12$5,931
TLT55Buy$109.60$12$6,040
ETH-USD665Buy$0.93354$1$622
DateSymbolAmountTypePriceFeesTotal Price
1/15/16mBTC-USD4745Sell  (stop order)$0.36433$3$1,725
2/1/16ETH-USD1015Sell$2.21$4$2,239
TLT12Buy$115.35$3$1,387
2/29/16mBTC-USD8246Buy$0.43770$7$3,616
TLT23Buy$119.28$5$2,749
ETH-USD604Sell$6.34$8$3,822
3/31/16ETH-USD333Sell$11.40$8$3,789
MDY49Buy$250.88$25$12,318
LTC-USD825Buy$3.26$5$2,695
mBTC-USD1785Sell$0.41673$1$742
TLT90Sell$119.17$21$10,704
4/12/16ETH-USD236Sell  (stop order)$7.44$4$1,752
5/2/16mBTC-USD466Sell$0.44467$0$207
LTC-USD101Sell$3.68$1$371
MDY1Sell$256.21$1$256
5/31/16LTC-USD113Sell$4.65$1$524
ETH-USD202Buy$14.08$6$2,850
MDY2Buy$259.57$1$520
mBTC-USD643Sell$0.53139$1$341
6/22/16LTC-USD611Sell  (stop order)$3.91$5$2,384
6/30/16ETH-USD26Buy$12.46$1$325
mBTC-USD1122Sell$0.67334$2$754
8/1/16QQQ116Buy$112.53$26$13,080
mBTC-USD10147Buy$0.60627$12$6,164
ETH-USD228Sell$10.94$5$2,489
MDY50Sell$271.12$27$13,529
8/2/16mBTC-USD14377Sell  (stop order)$0.54747$16$7,855
8/31/16QQQ69Buy$113.11$16$7,820
9/30/16ETH-USD646Buy$13.22$17$8,557
QQQ75Sell$115.62$17$8,654
10/25/16ETH-USD646Sell  (stop order)$11.41$15$7,356
10/31/16QQQ5Sell$113.93$1$569
mBTC-USD5704Buy$0.70097$8$4,006
LTC-USD1002Buy$3.99$8$4,006
11/30/16mBTC-USD295Sell$0.74569$0$220
LTC-USD34Buy$3.89$0$133
QQQ105Sell$114.43$24$11,991
MDY42Buy$285.10$24$11,998
12/5/16LTC-USD1036Sell  (stop order)$3.53$7$3,650
DateSymbolAmountTypePriceFeesTotal Price
1/3/17MDY2Buy$292.89$1$587
mBTC-USD1256Sell$1.04$3$1,308
1/6/17mBTC-USD4153Sell  (stop order)$0.90220$7$3,739
1/31/17MDY1Sell$296.11$1$296
ETH-USD257Buy$10.73$6$2,763
LTC-USD676Buy$4.08$6$2,764
2/28/17ETH-USD29Buy$15.82$1$460
LTC-USD676Sell$3.77$5$2,543
MDY43Sell$303.79$26$13,037
QQQ106Buy$127.00$27$13,489
mBTC-USD3835Buy$1.18$9$4,534
3/20/17mBTC-USD3835Sell  (stop order)$1.05$8$4,035
3/31/17ETH-USD203Sell$50.04$20$10,138
LTC-USD625Buy$6.67$8$4,177
QQQ42Buy$129.57$11$5,453
5/1/17LTC-USD293Sell$15.92$9$4,655
QQQ33Buy$134.29$9$4,440
mBTC-USD3719Buy$1.42$11$5,298
ETH-USD14Sell$76.30$2$1,066
7/11/17ETH-USD69Sell  (stop order)$197.40$27$13,593
7/31/17LTC-USD33Sell$43.02$3$1,417
QQQ94Buy$140.57$26$13,240
mBTC-USD757Buy$2.88$4$2,185
8/31/17ETH-USD27Buy$383.04$21$10,363
LTC-USD150Sell$71.06$21$10,638
mBTC-USD2218Sell$4.70$21$10,404
QQQ66Buy$143.49$19$9,489
9/5/17ETH-USD27Sell  (stop order)$312.99$17$8,434
9/13/17mBTC-USD2258Sell  (stop order)$3.88$18$8,744
9/14/17LTC-USD149Sell  (stop order)$41.58$12$6,183
10/2/17QQQ34Sell$143.19$10$4,859
10/31/17mBTC-USD4655Buy$6.47$60$30,178
QQQ6Sell$149.65$2$896
11/30/17MDY166Buy$336.92$112$56,041
LTC-USD137Buy$88.33$24$12,125
mBTC-USD3467Sell$10.23$71$35,396
EOS-USD4267Buy$2.85$24$12,185
QQQ301Sell$152.60$92$45,841
DateSymbolAmountTypePriceFeesTotal Price
1/2/18MDY166Sell$340.94$113$56,483
EOS-USD2179Sell$9.33$41$20,289
mBTC-USD1188Sell$14.98$36$17,761
ETH-USD22Buy$884.44$39$19,497
LTC-USD61Sell$255.68$31$15,565
QQQ575Buy$156.22$180$90,006
2/5/18ETH-USD22Sell  (stop order)$697.95$31$15,324
2/28/18EOS-USD2088Sell$8.41$35$17,525
QQQ50Sell$164.81$16$8,224
LTC-USD76Sell$202.90$31$15,390
4/2/18QQQ525Sell$153.53$161$80,442
TLT1182Buy$117.04$277$138,618
5/31/18MDY395Buy$347.50$275$137,537
TLT1182Sell$116.66$276$137,616
7/2/18MDY395Sell$348.98$276$137,571
QQQ804Buy$170.96$275$137,727
10/11/18QQQ804Sell  (stop order)$168.10$270$134,882
10/31/18TLT1218Buy$110.55$269$134,919
DateSymbolAmountTypePriceFeesTotal Price
1/31/19MDY439Buy$330.40$290$145,336
TLT1218Sell$119.56$291$145,333
2/28/19MDY439Sell$344.68$303$151,012
QQQ875Buy$172.15$301$150,933
4/30/19EOS-USD4430Buy$4.83$43$21,440
QQQ352Sell$188.74$133$66,304
mBTC-USD3999Buy$5.35$43$21,437
LTC-USD288Buy$74.28$43$21,435
5/23/19QQQ523Sell  (stop order)$177.50$186$92,647
5/31/19mBTC-USD979Sell$8.57$17$8,373
TLT916Buy$130.35$239$119,639
LTC-USD288Sell$114.54$66$32,922
ETH-USD96Buy$268.11$51$25,790
EOS-USD1389Sell$8.51$24$11,797
6/3/19EOS-USD3041Sell  (stop order)$6.80$41$20,637
7/1/19TLT916Sell$131.29$241$120,021
mBTC-USD530Sell$10.58$11$5,596
ETH-USD7Sell$293.64$4$2,051
SPY413Buy$294.30$243$121,789
LTC-USD214Buy$122.58$52$26,285
7/15/19LTC-USD214Sell  (stop order)$90.92$39$19,418
ETH-USD89Sell  (stop order)$229.78$41$20,410
7/31/19mBTC-USD5009Buy$10.09$101$50,642
SPY30Sell$296.06$18$8,864
9/3/19QQQ1027Buy$185.28$381$190,663
mBTC-USD7499Sell$10.62$159$79,480
SPY383Sell$289.40$222$110,619
9/30/19TLT1355Buy$142.58$386$193,582
QQQ1027Sell$188.81$388$193,520
10/31/19ETH-USD413Buy$183.97$152$76,132
TLT1355Sell$140.99$382$190,659
QQQ579Buy$197.08$228$114,338