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 20% 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 (80% to 100%), and the Multi-Crypto Strategy (0% to 20%).

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 20%

Stocks Strategy80% 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 +43.77%

Max Drawdown-20.39%

Asset Allocation

QQQ100%
This strategy trades monthly

Last refresh:
9/20/19

Last trading day:
9/3/19

Next trading day:
9/30/19

Stop Orders
QQQ$170.04

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$80,65843.77%30.46%190.70%-7.38%-20.39%1.31
Benchmark$10,000$18,22811.01%11.44%21.64%-4.55%-13.51%0.89

Holdings

SymbolAmountPriceTotal Price
QQQ422$190.80$80,518
Cash$141
YearPortfolio ReturnPortfolio BalanceBenchmark Return
2014 +10.46%$11,046 +14.51%
2015-7.38%$10,231 +1.23%
2016 +139.57%$24,510 +11.97%
2017 +190.70%$71,251 +21.64%
2018-5.71%$67,185-4.55%
2019 +20.05%$80,658 +20.96%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.20%$9,980-2.59%
February +5.12%$10,491 +4.54%
March-3.11%$10,165 +0.82%
April-1.86%$9,976 +0.70%
May +2.32%$10,207 +2.31%
June-1.41%$10,063 +2.06%
July +0.89%$10,153-1.34%
August +4.95%$10,656 +3.93%
September-0.75%$10,576-1.37%
October +2.62%$10,853 +2.34%
November +4.51%$11,342 +2.74%
December-2.61%$11,046-0.25%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.09%$10,926-2.95%
February +4.97%$11,469 +5.61%
March +1.33%$11,621-1.58%
April-1.86%$11,405 +0.99%
May +2.25%$11,662 +1.28%
June-2.56%$11,363-2.02%
July +5.46%$11,983 +2.25%
August-11.03%$10,661-6.08%
September +1.96%$10,870-2.55%
October-0.40%$10,826 +8.49%
November-4.42%$10,348 +0.36%
December-1.13%$10,231-1.72%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +18.66%$12,140-4.97%
February +38.23%$16,781-0.08%
March +31.67%$22,096 +6.70%
April +0.47%$22,200 +0.40%
May +7.62%$23,891 +1.70%
June +0.14%$23,925 +0.34%
July +3.47%$24,755 +3.64%
August-4.52%$23,636 +0.12%
September +2.12%$24,1360.00%
October-4.49%$23,053-1.72%
November +0.43%$23,152 +3.67%
December +5.87%$24,510 +2.03%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.33%$24,185 +1.79%
February +4.32%$25,230 +3.91%
March +21.24%$30,589 +0.13%
April +10.82%$33,899 +0.99%
May +24.05%$42,051 +1.40%
June +6.51%$44,787 +0.63%
July +0.01%$44,791 +2.05%
August +15.19%$51,596 +0.29%
September-3.90%$49,583 +2.01%
October +2.89%$51,014 +2.35%
November +11.97%$57,118 +3.05%
December +24.74%$71,251 +1.21%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +9.10%$77,737 +5.63%
February-10.98%$69,201-3.63%
March-8.22%$63,513-2.73%
April-2.56%$61,885 +0.51%
May +1.59%$62,871 +2.42%
June +0.41%$63,130 +0.58%
July +1.71%$64,211 +3.70%
August +5.78%$67,925 +3.18%
September-0.28%$67,734 +0.59%
October-7.94%$62,357-6.90%
November +1.78%$63,470 +1.85%
December +5.85%$67,185-8.78%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.02%$67,169 +7.99%
February +3.90%$69,788 +3.23%
March +3.92%$72,523 +1.80%
April +5.41%$76,449 +4.08%
May +5.88%$80,943-6.37%
June +2.03%$82,585 +6.94%
July-3.89%$79,370 +1.51%
August-2.32%$77,532-1.67%
September +4.03%$80,658 +2.46%
PeriodPortfolio ReturnBenchmark Return
1 year +19.08% +4.63%
2 years +62.67% +23.25%
3 years +234.18% +45.99%
5 years +662.65% +66.95%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/31/143/31/142100% QQQ
QQQ : +1.86%
+1.86% +5.42%
3/31/144/30/141100% MDY
MDY : -1.88%
-1.88% +0.70%
4/30/146/2/141100% SPY
SPY : +2.03%
+2.03% +2.44%
6/2/146/30/14180% SPY
20% BTC-USD
SPY : +1.54%
BTC-USD : -13.62%
-1.49% +1.95%
6/30/147/31/14180% QQQ
20% CASH
QQQ : +0.78%
CASH : 0.00%
+0.62%-1.34%
7/31/1412/31/145100% QQQ
QQQ : +8.89%
+8.89% +7.53%
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%
6/30/158/31/15280% QQQ
10% LTC-USD
10% BTC-USD
QQQ : -2.97%
LTC-USD : -31.49%
BTC-USD : -6.96%
-6.22%-3.97%
8/31/1511/2/152100% TLT
TLT : +0.67%
+0.67% +6.99%
11/2/1511/30/15110% BTC-USD
10% LTC-USD
80% QQQ
BTC-USD : -15.53%
LTC-USD : -16.46%
QQQ : -0.91%
-3.93%-0.81%
11/30/1512/31/15180% QQQ
6% ETH-USD
14% CASH
QQQ : -1.99%
ETH-USD : +7.39%
CASH : 0.00%
-1.15%-1.73%
12/31/153/31/16310% ETH-USD
10% BTC-USD
80% TLT
ETH-USD : +1,097.77%
BTC-USD : -3.71%
TLT : +8.29%
+116.04% +1.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
3/31/166/30/1636% ETH-USD
6% BTC-USD
80% MDY
6% LTC-USD
2% CASH
ETH-USD : +8.24%
BTC-USD : +60.55%
MDY : +3.53%
LTC-USD : +15.89%
CASH : 0.00%
+7.90% +2.46%
6/30/168/1/1616% ETH-USD
6% BTC-USD
80% MDY
8% CASH
ETH-USD : -11.32%
BTC-USD : -9.77%
MDY : +3.55%
CASH : 0.00%
+1.57% +3.56%
8/1/168/31/16120% BTC-USD
80% QQQ
BTC-USD : -15.75%
QQQ : +0.11%
-3.06% +0.20%
8/31/169/30/161100% QQQ
QQQ : +1.81%
+1.81%0.00%
9/30/1610/31/16180% QQQ
20% ETH-USD
QQQ : -1.85%
ETH-USD : -16.65%
-4.81%-1.73%
10/31/1611/30/16180% QQQ
10% LTC-USD
10% BTC-USD
QQQ : +0.04%
LTC-USD : -2.66%
BTC-USD : +5.85%
+0.35% +3.68%
11/30/161/3/17110% LTC-USD
10% BTC-USD
80% MDY
LTC-USD : -9.92%
BTC-USD : +38.61%
MDY : +2.32%
+4.73% +2.81%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/3/171/31/17110% BTC-USD
80% MDY
10% CASH
BTC-USD : -14.58%
MDY : +0.70%
CASH : 0.00%
-0.90% +1.02%
1/31/172/28/17180% MDY
6% LTC-USD
6% ETH-USD
8% CASH
MDY : +2.18%
LTC-USD : -6.59%
ETH-USD : +49.45%
CASH : 0.00%
+4.32% +3.93%
2/28/173/31/17110% ETH-USD
10% BTC-USD
80% QQQ
ETH-USD : +209.34%
BTC-USD : -12.27%
QQQ : +1.62%
+21.00% +0.13%
3/31/175/1/1716% ETH-USD
80% QQQ
6% LTC-USD
8% CASH
ETH-USD : +54.72%
QQQ : +3.23%
LTC-USD : +120.81%
CASH : 0.00%
+13.12% +1.25%
5/1/177/31/1736% ETH-USD
80% QQQ
6% LTC-USD
6% BTC-USD
2% CASH
ETH-USD : +158.64%
QQQ : +4.26%
LTC-USD : +168.18%
BTC-USD : +102.61%
CASH : 0.00%
+29.17% +3.89%
7/31/178/31/17180% QQQ
10% LTC-USD
10% BTC-USD
QQQ : +1.67%
LTC-USD : +71.63%
BTC-USD : +63.93%
+14.89% +0.29%
8/31/1710/2/17180% QQQ
6% LTC-USD
6% BTC-USD
6% ETH-USD
2% CASH
QQQ : -0.61%
LTC-USD : -38.35%
BTC-USD : -18.68%
ETH-USD : -18.45%
CASH : 0.00%
-5.02% +2.46%
10/2/1710/31/17180% QQQ
20% CASH
QQQ : +4.10%
CASH : 0.00%
+3.28% +1.91%
10/31/1711/30/17180% QQQ
20% BTC-USD
QQQ : +1.56%
BTC-USD : +53.65%
+11.98% +3.06%
11/30/171/2/1816% BTC-USD
80% MDY
6% LTC-USD
6% EOS-USD
2% CASH
BTC-USD : +47.65%
MDY : +0.79%
LTC-USD : +191.84%
EOS-USD : +191.09%
CASH : 0.00%
+26.47% +1.94%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/2/182/28/1826% LTC-USD
6% EOS-USD
80% QQQ
6% ETH-USD
2% CASH
LTC-USD : -20.05%
EOS-USD : -1.72%
QQQ : -3.57%
ETH-USD : -1.61%
CASH : 0.00%
-4.26% +1.07%
2/28/184/2/18110% EOS-USD
10% ETH-USD
80% CASH
EOS-USD : -29.22%
ETH-USD : -55.00%
CASH : 0.00%
-8.42%-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 : -0.84%
-0.84%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%
4/30/195/31/19180% QQQ
6% BTC-USD
6% EOS-USD
6% LTC-USD
2% CASH
QQQ : -6.16%
BTC-USD : +59.18%
EOS-USD : +68.97%
LTC-USD : +51.68%
CASH : 0.00%
+5.86%-6.38%
5/31/197/1/1916% BTC-USD
6% EOS-USD
6% LTC-USD
80% TLT
2% CASH
BTC-USD : +23.37%
EOS-USD : -22.18%
LTC-USD : +6.80%
TLT : +0.31%
CASH : 0.00%
+0.73% +7.93%
7/1/197/31/1916% BTC-USD
6% LTC-USD
80% SPY
6% ETH-USD
2% CASH
BTC-USD : -5.10%
LTC-USD : -26.56%
SPY : +0.20%
ETH-USD : -22.76%
CASH : 0.00%
-3.11% +0.60%
7/31/199/3/19120% BTC-USD
80% SPY
BTC-USD : +4.93%
SPY : -2.64%
-1.13%-2.25%
9/3/199/20/191100% QQQ
QQQ : +2.36%
+2.36% +3.07%
DateSymbolAmountTypePriceFeesTotal Price
1/31/14QQQ122Buy$81.42$20$9,953
3/31/14MDY43Buy$233.30$20$10,052
QQQ122Sell$83.27$20$10,139
4/30/14MDY43Sell$229.83$20$9,863
SPY59Buy$168.94$20$9,987
6/2/14mBTC-USD3105Buy$0.65549$4$2,039
SPY12Sell$173.06$4$2,073
6/25/14mBTC-USD3105Sell  (stop order)$0.56845$4$1,762
6/30/14SPY47Sell$176.43$17$8,276
QQQ89Buy$89.44$16$7,976
7/31/14QQQ22Buy$90.50$4$1,995
12/31/14QQQ111Sell$98.94$22$10,960
MDY44Buy$248.06$22$10,936
DateSymbolAmountTypePriceFeesTotal Price
4/30/15MDY44Sell$257.25$23$11,296
QQQ110Buy$103.37$23$11,393
6/30/15mBTC-USD4288Buy$0.26412$2$1,135
LTC-USD276Buy$4.10$2$1,134
QQQ23Sell$103.07$5$2,366
8/18/15mBTC-USD4288Sell  (stop order)$0.24672$2$1,056
8/31/15QQQ87Sell$100.41$17$8,718
LTC-USD276Sell$2.82$2$777
TLT97Buy$109.58$21$10,651
11/2/15TLT97Sell$110.76$21$10,722
mBTC-USD2987Buy$0.35928$2$1,075
LTC-USD270Buy$3.97$2$1,074
QQQ77Buy$110.60$17$8,533
11/9/15LTC-USD270Sell  (stop order)$3.33$2$897
11/11/15mBTC-USD2987Sell  (stop order)$0.30471$2$908
11/30/15ETH-USD703Buy$0.88000$1$620
QQQ3Sell$110.03$1$329
12/31/15QQQ74Sell$108.27$16$7,996
mBTC-USD2378Buy$0.42995$2$1,024
ETH-USD374Buy$0.94880$1$356
TLT74Buy$109.98$16$8,155
DateSymbolAmountTypePriceFeesTotal Price
3/31/16TLT74Sell$119.58$18$8,831
MDY70Buy$250.88$35$17,597
LTC-USD408Buy$3.24$3$1,325
ETH-USD961Sell$11.41$22$10,943
mBTC-USD810Buy$0.41566$1$337
6/22/16LTC-USD408Sell  (stop order)$3.77$3$1,535
6/30/16ETH-USD1Sell$12.40$0$12
MDY3Buy$260.78$2$784
mBTC-USD1054Sell$0.67002$1$705
8/1/16MDY73Sell$271.12$40$19,752
mBTC-USD5869Buy$0.60700$7$3,570
ETH-USD115Sell$11.04$3$1,267
QQQ172Buy$112.76$39$19,434
8/2/16mBTC-USD8003Sell  (stop order)$0.51343$8$4,101
8/31/16QQQ35Buy$113.34$8$3,975
9/30/16QQQ41Sell$115.85$9$4,740
ETH-USD363Buy$13.24$10$4,816
10/28/16ETH-USD363Sell  (stop order)$11.08$8$4,014
10/31/16QQQ5Sell$114.16$1$570
LTC-USD580Buy$3.96$5$2,301
mBTC-USD3289Buy$0.69867$5$2,303
11/30/16mBTC-USD174Sell$0.74249$0$129
MDY64Buy$285.10$36$18,283
LTC-USD17Buy$3.87$0$66
QQQ161Sell$114.66$37$18,423
12/5/16LTC-USD597Sell  (stop order)$3.50$4$2,085
DateSymbolAmountTypePriceFeesTotal Price
1/3/17mBTC-USD770Sell$1.03$2$794
MDY2Buy$292.89$1$587
1/6/17mBTC-USD2345Sell  (stop order)$0.88616$4$2,074
1/31/17ETH-USD135Buy$10.71$3$1,449
LTC-USD359Buy$4.02$3$1,446
MDY1Sell$296.11$1$296
2/28/17ETH-USD21Buy$16.07$1$338
QQQ158Buy$127.25$40$20,146
MDY65Sell$303.79$39$19,707
mBTC-USD2120Buy$1.19$5$2,526
LTC-USD359Sell$3.77$3$1,351
3/20/17mBTC-USD2120Sell  (stop order)$1.05$4$2,216
3/31/17QQQ29Buy$129.83$8$3,773
LTC-USD257Buy$7.10$4$1,828
ETH-USD120Sell$49.91$12$5,977
5/1/17LTC-USD126Sell$15.74$4$1,979
mBTC-USD1464Buy$1.42$4$2,077
QQQ18Buy$134.56$5$2,427
ETH-USD10Sell$77.53$2$774
7/31/17LTC-USD26Sell$42.38$2$1,100
QQQ48Buy$140.86$14$6,775
mBTC-USD85Buy$2.88$0$245
ETH-USD26Sell$201.33$10$5,224
8/31/17LTC-USD63Sell$73.03$9$4,592
QQQ33Buy$143.78$9$4,754
ETH-USD7Buy$388.33$5$2,724
mBTC-USD899Sell$4.74$9$4,253
9/5/17ETH-USD7Sell  (stop order)$317.94$4$2,221
9/13/17mBTC-USD650Sell  (stop order)$3.87$5$2,510
9/14/17LTC-USD42Sell  (stop order)$45.20$4$1,895
10/2/17QQQ13Sell$143.48$4$1,862
10/31/17QQQ2Sell$149.96$1$299
mBTC-USD1576Buy$6.45$20$10,186
11/30/17mBTC-USD1232Sell$9.95$25$12,234
LTC-USD39Buy$85.94$7$3,358
EOS-USD1206Buy$2.84$7$3,432
QQQ271Sell$152.91$83$41,356
MDY135Buy$336.92$91$45,575
DateSymbolAmountTypePriceFeesTotal Price
1/2/18EOS-USD685Sell$8.30$11$5,674
QQQ368Buy$156.53$115$57,718
mBTC-USD344Sell$14.75$10$5,064
ETH-USD5Buy$861.97$9$4,318
MDY135Sell$340.94$92$45,935
LTC-USD22Sell$251.81$11$5,529
2/8/18QQQ368Sell  (stop order)$151.55$112$55,659
2/28/18ETH-USD3Buy$851.50$5$2,560
EOS-USD322Buy$8.19$5$2,642
LTC-USD17Sell$202.14$7$3,430
4/2/18TLT538Buy$117.45$126$63,314
ETH-USD8Sell$384.68$6$3,071
EOS-USD843Sell$5.82$10$4,896
5/31/18TLT538Sell$117.07$126$62,858
MDY180Buy$347.50$125$62,675
7/2/18QQQ367Buy$171.31$126$62,997
MDY180Sell$348.98$126$62,691
10/10/18QQQ367Sell  (stop order)$170.55$125$62,467
10/31/18TLT562Buy$110.94$125$62,473
DateSymbolAmountTypePriceFeesTotal Price
1/31/19MDY203Buy$330.40$134$67,205
TLT562Sell$119.98$135$67,294
2/28/19QQQ404Buy$172.49$139$69,825
MDY203Sell$344.68$140$69,830
4/30/19LTC-USD60Buy$75.12$9$4,516
EOS-USD907Buy$5.04$9$4,580
mBTC-USD854Buy$5.35$9$4,578
QQQ82Sell$189.12$31$15,477
5/13/19QQQ322Sell  (stop order)$178.19$115$57,262
5/31/19mBTC-USD287Sell$8.55$5$2,449
TLT494Buy$130.81$129$64,749
EOS-USD340Sell$8.55$6$2,901
LTC-USD18Sell$114.40$4$2,055
6/3/19EOS-USD567Sell  (stop order)$6.68$8$3,780
7/1/19mBTC-USD106Sell$10.59$2$1,120
SPY221Buy$294.30$130$65,170
LTC-USD3Sell$122.67$1$367
TLT494Sell$131.74$130$64,949
ETH-USD16Buy$294.17$9$4,716
7/15/19LTC-USD39Sell  (stop order)$90.45$7$3,520
ETH-USD16Sell  (stop order)$228.14$7$3,643
7/31/19SPY8Sell$296.06$5$2,364
mBTC-USD1106Buy$10.09$22$11,182
9/3/19SPY213Sell$289.40$123$61,519
mBTC-USD1567Sell$10.63$33$16,624
QQQ422Buy$185.65$157$78,501