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 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 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

Crypto Strategy0% to 20%

Stocks Strategy80% 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 +26.25%

Max Drawdown-15.03%

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:

BTC
Bitcoin

LTC
Litecoin

Summary

Initial BalanceFinal BalanceCAGR Stdev Best YearWorst YearMax. DrawdownSharpe Ratio
Portfolio$10,000$38,21026.25%21.37%126.89%-7.82%-15.03%1.16
Benchmark$10,000$18,22811.01%11.44%21.64%-4.55%-13.51%0.89

Holdings

SymbolAmountPriceTotal Price
QQQ200$190.80$38,160
Cash$51
YearPortfolio ReturnPortfolio BalanceBenchmark Return
2014 +10.46%$11,046 +14.51%
2015-7.82%$10,182 +1.23%
2016 +22.70%$12,493 +11.97%
2017 +126.89%$28,345 +21.64%
2018-1.82%$27,828-4.55%
2019 +37.31%$38,210 +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-4.41%$10,349 +0.36%
December-1.61%$10,182-1.72%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +2.15%$10,401-4.97%
February +5.10%$10,931-0.08%
March-1.30%$10,789 +6.70%
April +1.88%$10,992 +0.40%
May +5.85%$11,635 +1.70%
June +1.26%$11,782 +0.34%
July +3.16%$12,154 +3.64%
August-3.95%$11,674 +0.12%
September +2.19%$11,9300.00%
October-1.53%$11,748-1.72%
November +0.43%$11,798 +3.67%
December +5.89%$12,493 +2.03%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.33%$12,327 +1.79%
February +1.05%$12,457 +3.91%
March-0.83%$12,354 +0.13%
April +12.17%$13,857 +0.99%
May +17.78%$16,321 +1.40%
June +6.85%$17,439 +0.63%
July +6.42%$18,559 +2.05%
August +26.03%$23,390 +0.29%
September-10.29%$20,984 +2.01%
October-1.32%$20,706 +2.35%
November +11.97%$23,184 +3.05%
December +22.26%$28,345 +1.21%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January +0.35%$28,443 +5.63%
February-2.98%$27,594-3.63%
March0.00%$27,594-2.73%
April-2.47%$26,912 +0.51%
May +1.59%$27,341 +2.42%
June +0.41%$27,454 +0.58%
July +1.62%$27,899 +3.70%
August +0.84%$28,132 +3.18%
September-0.22%$28,069 +0.59%
October-7.96%$25,835-6.90%
November +1.78%$26,294 +1.85%
December +5.83%$27,828-8.78%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.03%$27,821 +7.99%
February +3.90%$28,905 +3.23%
March +7.30%$31,016 +1.80%
April +9.94%$34,100 +4.08%
May +9.59%$37,370-6.37%
June +5.64%$39,476 +6.94%
July-4.75%$37,601 +1.51%
August-2.32%$36,730-1.67%
September +4.03%$38,210 +2.46%
PeriodPortfolio ReturnBenchmark Return
1 year +36.13% +4.63%
2 years +82.09% +23.25%
3 years +220.28% +45.99%
5 years +261.29% +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% BTC-USD
10% LTC-USD
QQQ : -2.97%
BTC-USD : -6.96%
LTC-USD : -31.49%
-6.22%-3.97%
8/31/1511/2/152100% TLT
TLT : +0.67%
+0.67% +6.99%
11/2/1511/30/15180% QQQ
10% LTC-USD
10% BTC-USD
QQQ : -0.91%
LTC-USD : -16.46%
BTC-USD : -15.53%
-3.93%-0.81%
11/30/1512/31/15180% QQQ
20% CASH
QQQ : -1.99%
CASH : 0.00%
-1.59%-1.73%
12/31/153/31/16380% TLT
20% BTC-USD
TLT : +8.29%
BTC-USD : -3.71%
+5.89% +1.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
3/31/165/2/16110% BTC-USD
80% MDY
10% CASH
BTC-USD : +6.43%
MDY : +1.72%
CASH : 0.00%
+2.02% +1.19%
5/2/166/30/16210% BTC-USD
80% MDY
10% LTC-USD
BTC-USD : +50.24%
MDY : +1.38%
LTC-USD : +2.31%
+6.36% +1.25%
6/30/168/1/16110% BTC-USD
80% MDY
10% CASH
BTC-USD : -9.77%
MDY : +3.55%
CASH : 0.00%
+1.86% +3.56%
8/1/168/31/16120% BTC-USD
80% QQQ
BTC-USD : -15.75%
QQQ : +0.11%
-3.06% +0.20%
8/31/1610/31/162100% QQQ
QQQ : +0.32%
+0.32%-1.73%
10/31/1611/30/16180% QQQ
10% BTC-USD
10% LTC-USD
QQQ : +0.04%
BTC-USD : +5.85%
LTC-USD : -2.66%
+0.35% +3.68%
11/30/161/3/17110% BTC-USD
10% LTC-USD
80% MDY
BTC-USD : +38.61%
LTC-USD : -9.92%
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
10% LTC-USD
10% CASH
MDY : +2.18%
LTC-USD : -6.59%
CASH : 0.00%
+1.09% +3.93%
2/28/173/31/17120% BTC-USD
80% QQQ
BTC-USD : -12.27%
QQQ : +1.62%
-1.16% +0.13%
3/31/175/1/17180% QQQ
10% LTC-USD
10% CASH
QQQ : +3.23%
LTC-USD : +120.81%
CASH : 0.00%
+14.67% +1.25%
5/1/1710/2/17580% QQQ
10% LTC-USD
10% BTC-USD
QQQ : +6.20%
LTC-USD : +186.02%
BTC-USD : +172.25%
+40.79% +6.76%
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%
11/30/171/2/18110% BTC-USD
10% LTC-USD
80% MDY
BTC-USD : +47.65%
LTC-USD : +191.84%
MDY : +0.79%
+24.58% +1.94%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/2/181/31/18110% BTC-USD
10% LTC-USD
80% QQQ
BTC-USD : -30.92%
LTC-USD : -35.55%
QQQ : +6.46%
-1.48% +4.89%
1/31/182/28/18120% LTC-USD
80% QQQ
LTC-USD : +23.57%
QQQ : -9.78%
-3.11%-3.64%
2/28/184/2/181100% CASH
CASH : 0.00%
0.00%-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%
7/2/187/31/181100% QQQ
QQQ : +1.70%
+1.70% +3.49%
7/31/188/31/18180% QQQ
20% BTC-USD
QQQ : +5.36%
BTC-USD : -19.06%
+0.48% +3.19%
8/31/1810/1/18180% QQQ
20% CASH
QQQ : -0.48%
CASH : 0.00%
-0.38% +0.95%
10/1/1810/31/181100% QQQ
QQQ : -8.12%
-8.12%-7.23%
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%
2/28/195/31/19380% QQQ
10% BTC-USD
10% LTC-USD
QQQ : +2.89%
BTC-USD : +122.93%
LTC-USD : +148.13%
+29.42%-0.79%
5/31/197/1/19110% BTC-USD
10% LTC-USD
80% TLT
BTC-USD : +23.37%
LTC-USD : +6.80%
TLT : +0.31%
+3.27% +7.93%
7/1/197/31/19110% BTC-USD
10% LTC-USD
80% SPY
BTC-USD : -5.10%
LTC-USD : -26.56%
SPY : +0.20%
-3.01% +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
6/2/14SPY12Sell$173.06$4$2,073
mBTC-USD3105Buy$0.65549$4$2,039
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
4/30/15QQQ110Buy$103.37$23$11,393
MDY44Sell$257.25$23$11,296
6/30/15QQQ23Sell$103.07$5$2,366
LTC-USD276Buy$4.10$2$1,134
mBTC-USD4288Buy$0.26412$2$1,135
8/18/15mBTC-USD4288Sell  (stop order)$0.24672$2$1,056
8/31/15QQQ87Sell$100.41$17$8,718
TLT97Buy$109.58$21$10,651
LTC-USD276Sell$2.82$2$777
11/2/15TLT97Sell$110.76$21$10,722
LTC-USD270Buy$3.97$2$1,074
QQQ77Buy$110.60$17$8,533
mBTC-USD2987Buy$0.35928$2$1,075
11/9/15LTC-USD270Sell  (stop order)$3.33$2$897
11/11/15mBTC-USD2987Sell  (stop order)$0.30471$2$908
11/30/15QQQ3Sell$110.03$1$329
12/31/15QQQ74Sell$108.27$16$7,996
mBTC-USD4734Buy$0.42995$4$2,039
TLT74Buy$109.98$16$8,155
DateSymbolAmountTypePriceFeesTotal Price
3/31/16TLT74Sell$119.58$18$8,831
MDY34Buy$250.88$17$8,547
mBTC-USD2140Sell$0.41566$2$888
5/2/16LTC-USD299Buy$3.67$2$1,100
mBTC-USD118Sell$0.44418$0$52
6/22/16LTC-USD299Sell  (stop order)$3.77$2$1,125
6/30/16MDY2Buy$260.78$1$523
mBTC-USD724Sell$0.67002$1$484
8/1/16MDY36Sell$271.12$20$9,741
mBTC-USD2200Buy$0.60700$3$1,338
QQQ85Buy$112.76$19$9,604
8/2/16mBTC-USD3952Sell  (stop order)$0.51343$4$2,025
8/31/16QQQ17Buy$113.34$4$1,931
10/31/16LTC-USD295Buy$3.96$2$1,171
mBTC-USD1676Buy$0.69867$2$1,173
QQQ20Sell$114.16$5$2,279
11/30/16QQQ82Sell$114.66$19$9,383
MDY33Buy$285.10$19$9,427
LTC-USD9Buy$3.87$0$35
mBTC-USD89Sell$0.74249$0$66
12/5/16LTC-USD304Sell  (stop order)$3.50$2$1,062
DateSymbolAmountTypePriceFeesTotal Price
1/3/17mBTC-USD392Sell$1.03$1$404
1/6/17mBTC-USD1195Sell  (stop order)$0.88616$2$1,057
1/31/17LTC-USD305Buy$4.02$2$1,229
2/28/17LTC-USD305Sell$3.77$2$1,148
QQQ78Buy$127.25$20$9,945
mBTC-USD2094Buy$1.19$5$2,495
MDY33Sell$303.79$20$10,005
3/20/17mBTC-USD2094Sell  (stop order)$1.05$4$2,189
3/31/17LTC-USD173Buy$7.10$2$1,231
QQQ3Sell$129.83$1$389
5/1/17mBTC-USD999Buy$1.42$3$1,417
LTC-USD84Sell$15.74$3$1,320
QQQ9Buy$134.56$2$1,213
9/13/17mBTC-USD999Sell  (stop order)$3.87$8$3,858
9/14/17LTC-USD89Sell  (stop order)$45.20$8$4,015
10/2/17QQQ27Buy$143.48$8$3,882
10/31/17mBTC-USD639Buy$6.45$8$4,130
QQQ1Sell$149.96$0$150
11/30/17QQQ110Sell$152.91$34$16,786
mBTC-USD407Sell$9.95$8$4,042
MDY55Buy$336.92$37$18,568
LTC-USD26Buy$85.94$4$2,239
DateSymbolAmountTypePriceFeesTotal Price
1/2/18LTC-USD15Sell$251.81$8$3,770
mBTC-USD38Sell$14.75$1$559
QQQ146Buy$156.53$46$22,899
MDY55Sell$340.94$38$18,714
1/31/18QQQ11Sell$167.31$4$1,837
mBTC-USD194Sell$10.23$4$1,981
LTC-USD23Buy$162.93$7$3,755
2/8/18QQQ135Sell  (stop order)$151.55$41$20,418
2/28/18LTC-USD34Sell$202.14$14$6,859
4/2/18TLT234Buy$117.45$55$27,538
5/31/18MDY78Buy$347.50$54$27,159
TLT234Sell$117.07$55$27,340
7/2/18QQQ159Buy$171.31$54$27,293
MDY78Sell$348.98$54$27,166
7/31/18QQQ32Sell$174.92$11$5,586
mBTC-USD718Buy$7.74$11$5,568
8/8/18mBTC-USD718Sell  (stop order)$6.29$9$4,507
8/31/18QQQ6Sell$185.04$2$1,108
10/1/18QQQ30Buy$184.89$11$5,558
10/10/18QQQ151Sell  (stop order)$170.55$52$25,702
10/31/18TLT232Buy$110.94$51$25,790
DateSymbolAmountTypePriceFeesTotal Price
1/31/19MDY84Buy$330.40$56$27,809
TLT232Sell$119.98$56$27,780
2/28/19QQQ134Buy$172.49$46$23,160
mBTC-USD756Buy$3.82$6$2,894
LTC-USD62Buy$45.92$6$2,853
MDY84Sell$344.68$58$28,895
5/13/19QQQ134Sell  (stop order)$178.19$48$23,830
5/31/19TLT228Buy$130.81$60$29,884
LTC-USD30Sell$114.40$7$3,425
mBTC-USD320Sell$8.55$5$2,731
7/1/19mBTC-USD72Sell$10.59$2$761
SPY104Buy$294.30$61$30,668
LTC-USD1Sell$122.67$0$122
TLT228Sell$131.74$60$29,977
7/15/19LTC-USD31Sell  (stop order)$90.45$6$2,798
7/31/19mBTC-USD378Buy$10.09$8$3,822
SPY3Sell$296.06$2$886
9/3/19SPY101Sell$289.40$58$29,171
mBTC-USD742Sell$10.63$16$7,872
QQQ200Buy$185.65$74$37,204