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:
1/16/20

Last trading day:
10/31/19

Next trading day:
1/31/20

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
1/31/143/31/142100% QQQ
QQQ : +1.87%
+1.87% +5.42%
3/31/144/30/141100% MDY
MDY : -1.88%
-1.88% +0.69%
4/30/146/30/142100% SPY
SPY : +4.02%
+4.02% +4.44%
6/30/1412/31/146100% QQQ
QQQ : +10.17%
+10.17% +6.09%
12/31/144/30/154100% MDY
MDY : +3.29%
+3.29% +1.87%
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 : +0.68%
+0.68% +6.99%
11/2/1511/30/15120% BTC-USD
20% LTC-USD
60% QQQ
BTC-USD : -14.22%
LTC-USD : -15.00%
QQQ : -0.91%
-6.39%-0.81%
11/30/1512/31/15160% QQQ
40% CASH
QQQ : -1.99%
CASH : 0.00%
-1.19%-1.73%
12/31/152/1/16140% BTC-USD
60% TLT
BTC-USD : -15.72%
TLT : +4.83%
-3.39%-5.01%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
2/1/162/29/16160% TLT
40% CASH
TLT : +2.99%
CASH : 0.00%
+1.79%-0.05%
2/29/163/31/16160% TLT
40% BTC-USD
TLT : -0.49%
BTC-USD : -5.17%
-2.36% +6.73%
3/31/165/2/16120% BTC-USD
60% MDY
20% CASH
BTC-USD : +6.28%
MDY : +1.72%
CASH : 0.00%
+2.29% +1.19%
5/2/166/30/16220% BTC-USD
60% MDY
20% LTC-USD
BTC-USD : +50.82%
MDY : +1.38%
LTC-USD : +5.83%
+12.16% +1.25%
6/30/168/1/16120% BTC-USD
60% MDY
20% CASH
BTC-USD : -10.32%
MDY : +3.55%
CASH : 0.00%
+0.07% +3.56%
8/1/168/31/16140% BTC-USD
60% QQQ
BTC-USD : -10.06%
QQQ : +0.12%
-3.95% +0.20%
8/31/1610/31/162100% QQQ
QQQ : +0.32%
+0.32%-1.73%
10/31/1611/30/16160% QQQ
20% LTC-USD
20% BTC-USD
QQQ : +0.03%
LTC-USD : -2.90%
BTC-USD : +5.95%
+0.63% +3.69%
11/30/161/3/17120% BTC-USD
60% MDY
20% CASH
BTC-USD : +39.42%
MDY : +2.32%
CASH : 0.00%
+9.28% +2.81%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/3/171/31/17120% BTC-USD
60% MDY
20% LTC-USD
BTC-USD : -13.91%
MDY : +0.70%
LTC-USD : -16.96%
-5.75% +1.02%
1/31/172/28/17160% MDY
40% CASH
MDY : +2.18%
CASH : 0.00%
+1.31% +3.93%
2/28/173/31/17160% QQQ
40% BTC-USD
QQQ : +1.62%
BTC-USD : -11.01%
-3.43% +0.13%
3/31/175/1/17160% QQQ
20% LTC-USD
20% CASH
QQQ : +3.23%
LTC-USD : +137.73%
CASH : 0.00%
+29.48% +1.25%
5/1/1710/2/17560% QQQ
20% LTC-USD
20% BTC-USD
QQQ : +6.20%
LTC-USD : +160.14%
BTC-USD : +171.84%
+70.12% +6.76%
10/2/1710/31/17160% QQQ
40% CASH
QQQ : +4.10%
CASH : 0.00%
+2.46% +1.91%
10/31/1711/30/17160% QQQ
40% BTC-USD
QQQ : +1.56%
BTC-USD : +57.48%
+23.93% +3.06%
11/30/171/2/18120% 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
1/2/181/31/18120% BTC-USD
20% LTC-USD
60% QQQ
BTC-USD : -32.78%
LTC-USD : -36.37%
QQQ : +6.46%
-9.95% +4.88%
1/31/182/28/18140% LTC-USD
60% QQQ
LTC-USD : +23.72%
QQQ : -1.69%
+8.47%-3.64%
2/28/184/2/181100% QQQ
QQQ : -7.22%
-7.22%-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 : +1.71%
+1.71% +3.48%
7/31/188/31/18160% QQQ
40% BTC-USD
QQQ : +5.35%
BTC-USD : -13.59%
-2.23% +3.19%
8/31/1810/1/18160% QQQ
40% CASH
QQQ : -0.47%
CASH : 0.00%
-0.28% +0.95%
10/1/1810/31/181100% QQQ
QQQ : -11.54%
-11.54%-7.23%
10/31/181/31/193100% TLT
TLT : +7.73%
+7.73% +0.32%
StartEndMonthsAssetsAsset PerformancePortfolio PerformanceBenchmark Performance
1/31/192/28/191100% MDY
MDY : +3.91%
+3.91% +3.24%
2/28/195/31/19320% BTC-USD
60% QQQ
20% LTC-USD
BTC-USD : +121.71%
QQQ : +1.42%
LTC-USD : +146.72%
+54.54%-0.79%
5/31/197/1/19120% BTC-USD
20% LTC-USD
60% TLT
BTC-USD : +22.96%
LTC-USD : +6.59%
TLT : +0.31%
+6.10% +7.93%
7/1/197/31/19120% BTC-USD
20% LTC-USD
60% SPY
BTC-USD : -5.01%
LTC-USD : -26.12%
SPY : +0.20%
-6.11% +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%
10/31/191/16/203100% QQQ
QQQ : +12.58%
+12.58% +9.63%
DateSymbolAmountTypePriceFeesTotal Price
1/31/14QQQ122Buy$81.08$20$9,912
3/31/14MDY43Buy$232.40$20$10,013
QQQ122Sell$82.93$20$10,097
4/30/14SPY59Buy$168.11$20$9,938
MDY43Sell$228.94$20$9,825
6/30/14QQQ116Buy$89.07$21$10,353
SPY59Sell$175.57$21$10,338
12/31/14MDY46Buy$247.10$23$11,389
QQQ116Sell$98.52$23$11,405
DateSymbolAmountTypePriceFeesTotal Price
4/30/15MDY46Sell$256.26$24$11,764
QQQ114Buy$102.94$23$11,759
6/30/15LTC-USD573Buy$4.09$5$2,348
QQQ46Sell$102.64$9$4,712
mBTC-USD8909Buy$0.26307$5$2,348
8/17/15mBTC-USD8909Sell  (stop order)$0.25798$5$2,294
8/24/15LTC-USD573Sell  (stop order)$2.99$3$1,710
8/31/15QQQ68Sell$99.99$14$6,786
TLT99Buy$108.83$22$10,796
11/2/15TLT99Sell$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
11/6/15LTC-USD525Sell  (stop order)$3.55$4$1,860
11/11/15mBTC-USD6047Sell  (stop order)$0.31108$4$1,877
11/30/15QQQ4Sell$109.57$1$437
12/31/15QQQ55Sell$107.82$12$5,918
mBTC-USD9401Buy$0.43057$8$4,056
TLT55Buy$109.24$12$6,020
DateSymbolAmountTypePriceFeesTotal Price
1/15/16mBTC-USD9401Sell  (stop order)$0.36433$7$3,418
2/1/16TLT4Sell$114.97$1$459
2/29/16mBTC-USD9113Buy$0.43770$8$3,997
TLT1Sell$118.88$0$119
3/31/16mBTC-USD4425Sell$0.41673$4$1,840
MDY23Buy$249.91$11$5,759
TLT50Sell$118.77$12$5,927
5/2/16mBTC-USD193Sell$0.44467$0$86
LTC-USD543Buy$3.68$4$2,002
6/22/16LTC-USD543Sell  (stop order)$3.91$4$2,119
6/30/16MDY2Buy$259.77$1$521
mBTC-USD1156Sell$0.67334$2$777
8/1/16MDY25Sell$270.07$14$6,738
mBTC-USD4095Buy$0.60627$5$2,488
QQQ60Buy$112.29$13$6,751
8/2/16mBTC-USD7434Sell  (stop order)$0.54747$8$4,062
8/31/16QQQ36Buy$112.87$8$4,071
10/31/16mBTC-USD3109Buy$0.70097$4$2,184
QQQ39Sell$113.69$9$4,425
LTC-USD546Buy$3.99$4$2,183
11/30/16mBTC-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
1/3/17mBTC-USD646Sell$1.04$1$673
LTC-USD519Buy$4.63$5$2,408
MDY1Buy$291.75$1$292
1/6/17LTC-USD519Sell  (stop order)$3.86$4$1,999
mBTC-USD2302Sell  (stop order)$0.90220$4$2,073
1/31/17MDY1Sell$294.97$1$294
2/28/17MDY23Sell$302.62$14$6,946
QQQ54Buy$126.72$14$6,857
mBTC-USD3908Buy$1.18$9$4,621
3/20/17mBTC-USD3908Sell  (stop order)$1.05$8$4,112
3/31/17QQQ3Sell$129.29$1$387
LTC-USD334Buy$6.67$4$2,232
5/1/17LTC-USD153Sell$15.92$5$2,431
mBTC-USD2032Buy$1.42$6$2,894
QQQ13Buy$134.00$3$1,745
9/13/17mBTC-USD2032Sell  (stop order)$3.88$16$7,868
9/14/17LTC-USD181Sell  (stop order)$41.58$15$7,511
10/2/17QQQ39Buy$142.88$11$5,583
10/31/17mBTC-USD1559Buy$6.47$20$10,107
QQQ2Sell$149.33$1$298
11/30/17QQQ101Sell$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
1/2/18QQQ177Buy$155.88$55$27,646
mBTC-USD2Buy$14.98$0$30
MDY56Sell$339.62$38$18,981
LTC-USD35Sell$255.68$18$8,931
1/30/18mBTC-USD614Sell  (stop order)$10.11$12$6,195
1/31/18LTC-USD66Buy$163.35$22$10,803
QQQ28Sell$166.61$9$4,656
2/28/18QQQ125Buy$164.45$41$20,597
LTC-USD101Sell$202.90$41$20,452
4/2/18TLT360Buy$116.65$84$42,078
QQQ274Sell$153.19$84$41,890
5/31/18TLT360Sell$116.28$84$41,777
MDY120Buy$346.16$83$41,622
7/2/18MDY120Sell$347.63$83$41,632
QQQ244Buy$170.59$83$41,707
7/31/18QQQ98Sell$174.20$34$17,037
mBTC-USD2184Buy$7.78$34$17,026
8/7/18mBTC-USD2184Sell  (stop order)$6.75$29$14,713
8/31/18QQQ11Sell$184.26$4$2,023
10/1/18QQQ90Buy$184.12$33$16,604
10/24/18QQQ225Sell  (stop order)$163.52$74$36,718
10/31/18TLT335Buy$110.18$74$36,984
DateSymbolAmountTypePriceFeesTotal Price
1/31/19TLT335Sell$119.17$80$39,842
MDY120Buy$329.12$79$39,573
2/28/19mBTC-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
5/29/19QQQ144Sell  (stop order)$174.91$50$25,137
5/31/19TLT294Buy$129.92$76$38,273
mBTC-USD658Sell$8.57$11$5,628
LTC-USD67Sell$114.54$15$7,659
7/1/19mBTC-USD208Sell$10.58$4$2,196
TLT294Sell$130.85$77$38,393
SPY138Buy$292.86$81$40,496
LTC-USD1Sell$122.58$0$122
7/15/19LTC-USD110Sell  (stop order)$90.92$20$9,981
7/31/19mBTC-USD1247Buy$10.09$25$12,607
SPY9Sell$294.61$5$2,646
9/3/19mBTC-USD2528Sell$10.62$54$26,794
QQQ347Buy$184.88$128$64,282
SPY129Sell$287.99$74$37,076
9/30/19QQQ347Sell$188.40$131$65,244
TLT458Buy$142.11$130$65,217
10/31/19QQQ326Buy$196.65$128$64,236
TLT458Sell$140.53$129$64,234