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  +37.87%

Max Drawdown-22.20%

Asset Allocation

QQQ100%
This strategy trades monthly

Last refresh:
12/6/19

Last trading day:
10/31/19

Next trading day:
12/31/19

Stop Orders
QQQ$193.32

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$68,68437.87%35.72%282.68%-11.34%-22.20%1.04
Benchmark$10,000$22-63.94%91.64%0.00%-99.78%-99.91%0.09

Holdings

SymbolAmountPriceTotal Price
QQQ335$205.00$68,675
Cash$10
YearPortfolio ReturnPortfolio BalanceBenchmark Return
2014 +14.30%$11,430-99.78%
2015-11.34%$10,1340.00%
2016 +16.37%$11,7930.00%
2017 +282.68%$45,1300.00%
2018-9.75%$40,7300.00%
2019 +68.63%$68,6840.00%
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 +1.95%$11,0660.00%
October-0.41%$11,0210.00%
November-6.89%$10,2620.00%
December-1.25%$10,1340.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-1.43%$9,9890.00%
February +0.22%$10,0110.00%
March-2.24%$9,7870.00%
April +2.53%$10,0350.00%
May +9.92%$11,0300.00%
June +2.34%$11,2880.00%
July +1.97%$11,5100.00%
August-5.54%$10,8720.00%
September +2.19%$11,1100.00%
October-1.60%$10,9320.00%
November +0.75%$11,0140.00%
December +7.07%$11,7930.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-3.26%$11,4090.00%
February +1.23%$11,5490.00%
March-3.18%$11,1820.00%
April +24.52%$13,9240.00%
May +30.84%$18,2180.00%
June +15.95%$21,1230.00%
July +7.80%$22,7700.00%
August +39.36%$31,7320.00%
September-14.06%$27,2690.00%
October-7.17%$25,3130.00%
November +23.94%$31,3730.00%
December +43.85%$45,1300.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-7.73%$41,6410.00%
February +8.62%$45,2320.00%
March-4.06%$43,3970.00%
April-5.46%$41,0260.00%
May +1.60%$41,6820.00%
June +0.41%$41,8530.00%
July +1.55%$42,5010.00%
August-1.92%$41,6870.00%
September-0.17%$41,6160.00%
October-9.16%$37,8060.00%
November +1.78%$38,4800.00%
December +5.85%$40,7300.00%
MonthPortfolio ReturnPortfolio BalanceBenchmark Return
January-0.02%$40,7210.00%
February +3.90%$42,3080.00%
March +10.12%$46,5910.00%
April +14.07%$53,1460.00%
May +23.69%$65,7370.00%
June +10.49%$72,6300.00%
July-9.38%$65,8190.00%
August-2.93%$63,8910.00%
September +4.93%$67,0430.00%
October-1.51%$66,0310.00%
November +4.07%$68,7180.00%
December-0.05%$68,6840.00%
PeriodPortfolio ReturnBenchmark Return
1 year +68.63%0.00%
2 years +52.19%0.00%
3 years +482.41%0.00%
5 years +500.91%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 : +0.68%
+0.68% +6.99%
11/2/1511/30/15120% LTC-USD
20% BTC-USD
60% QQQ
LTC-USD : -15.00%
BTC-USD : -14.22%
QQQ : -0.90%
-6.38%-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 : +0.11%
-3.96% +0.20%
8/31/1610/31/162100% QQQ
QQQ : +0.32%
+0.32%-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
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%
2/28/173/31/17140% BTC-USD
60% QQQ
BTC-USD : -11.01%
QQQ : +1.62%
-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 : +4.09%
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%
11/30/171/2/18120% BTC-USD
60% MDY
20% LTC-USD
BTC-USD : +45.85%
MDY : +0.79%
LTC-USD : +188.30%
+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 : +6.45%
-9.96% +4.89%
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 : +1.70%
+1.70% +3.49%
7/31/188/31/18160% QQQ
40% BTC-USD
QQQ : +5.36%
BTC-USD : -13.59%
-2.22% +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 : -9.26%
-9.26%-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%
2/28/195/31/19320% LTC-USD
20% BTC-USD
60% QQQ
LTC-USD : +146.72%
BTC-USD : +121.71%
QQQ : +2.70%
+55.31%-0.79%
5/31/197/1/19120% LTC-USD
20% BTC-USD
60% TLT
LTC-USD : +6.59%
BTC-USD : +22.96%
TLT : +0.31%
+6.10% +7.93%
7/1/197/31/19120% LTC-USD
20% BTC-USD
60% SPY
LTC-USD : -26.12%
BTC-USD : -5.01%
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%
10/31/1912/6/191100% QQQ
QQQ : +3.60%
+3.60% +3.80%
DateSymbolAmountTypePriceFeesTotal Price
1/31/14QQQ122Buy$81.26$20$9,934
3/31/14QQQ122Sell$83.11$20$10,119
MDY43Buy$233.30$20$10,052
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
12/31/14QQQ116Sell$98.74$23$11,431
MDY46Buy$248.06$23$11,434
DateSymbolAmountTypePriceFeesTotal Price
4/30/15MDY46Sell$257.25$24$11,810
QQQ114Buy$103.16$24$11,784
6/30/15LTC-USD573Buy$4.09$5$2,348
mBTC-USD8914Buy$0.26307$5$2,350
QQQ46Sell$102.86$9$4,722
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$109.01$22$10,814
QQQ68Sell$100.21$14$6,801
11/2/15LTC-USD525Buy$4.16$4$2,188
mBTC-USD6050Buy$0.36119$4$2,190
QQQ59Buy$110.37$13$6,525
TLT99Sell$110.19$22$10,887
11/6/15LTC-USD525Sell  (stop order)$3.55$4$1,860
11/11/15mBTC-USD6050Sell  (stop order)$0.31108$4$1,878
11/30/15QQQ4Sell$109.81$1$438
12/31/15TLT55Buy$109.41$12$6,030
mBTC-USD9406Buy$0.43057$8$4,058
QQQ55Sell$108.06$12$5,931
DateSymbolAmountTypePriceFeesTotal Price
1/15/16mBTC-USD9406Sell  (stop order)$0.36433$7$3,420
2/1/16TLT4Sell$115.15$1$460
2/29/16mBTC-USD9119Buy$0.43770$8$3,999
TLT1Sell$119.07$0$119
3/31/16mBTC-USD4428Sell$0.41673$4$1,842
TLT50Sell$118.96$12$5,936
MDY23Buy$250.88$12$5,782
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$260.78$1$523
mBTC-USD1157Sell$0.67334$2$777
8/1/16MDY25Sell$271.12$14$6,764
mBTC-USD4099Buy$0.60627$5$2,490
QQQ60Buy$112.53$14$6,765
8/2/16mBTC-USD7440Sell  (stop order)$0.54747$8$4,065
8/31/16QQQ35Buy$113.11$8$3,967
10/31/16QQQ38Sell$113.93$9$4,321
LTC-USD546Buy$3.99$4$2,183
mBTC-USD3111Buy$0.70097$4$2,185
11/30/16QQQ57Sell$114.43$13$6,509
MDY23Buy$285.10$13$6,570
LTC-USD546Sell$3.89$4$2,120
mBTC-USD161Sell$0.74569$0$120
DateSymbolAmountTypePriceFeesTotal Price
1/3/17MDY1Buy$292.89$1$293
LTC-USD519Buy$4.63$5$2,408
mBTC-USD646Sell$1.04$1$673
1/6/17mBTC-USD2304Sell  (stop order)$0.90220$4$2,075
LTC-USD519Sell  (stop order)$3.86$4$1,999
1/31/17MDY1Sell$296.11$1$296
2/28/17MDY23Sell$303.79$14$6,973
mBTC-USD3911Buy$1.18$9$4,624
QQQ54Buy$127.00$14$6,872
3/20/17mBTC-USD3911Sell  (stop order)$1.05$8$4,115
3/31/17QQQ3Sell$129.57$1$388
LTC-USD334Buy$6.67$4$2,232
5/1/17LTC-USD153Sell$15.92$5$2,431
mBTC-USD2033Buy$1.42$6$2,896
QQQ13Buy$134.29$3$1,749
9/13/17mBTC-USD2033Sell  (stop order)$3.88$16$7,872
9/14/17LTC-USD181Sell  (stop order)$41.58$15$7,511
10/2/17QQQ39Buy$143.19$11$5,596
10/31/17mBTC-USD1559Buy$6.47$20$10,107
QQQ2Sell$149.65$1$299
11/30/17mBTC-USD947Sell$10.23$19$9,668
LTC-USD70Buy$88.33$12$6,195
MDY55Buy$336.92$37$18,568
QQQ101Sell$152.60$31$15,382
DateSymbolAmountTypePriceFeesTotal Price
1/2/18QQQ176Buy$156.22$55$27,550
LTC-USD34Sell$255.68$17$8,676
mBTC-USD2Buy$14.98$0$30
MDY55Sell$340.94$38$18,714
1/30/18mBTC-USD614Sell  (stop order)$10.11$12$6,195
1/31/18QQQ27Sell$166.97$9$4,499
LTC-USD65Buy$163.35$21$10,639
2/28/18LTC-USD101Sell$202.90$41$20,452
QQQ124Buy$164.81$41$20,477
4/2/18TLT359Buy$116.84$84$42,029
QQQ273Sell$153.53$84$41,830
5/31/18MDY119Buy$347.50$83$41,435
TLT359Sell$116.46$84$41,726
7/2/18MDY119Sell$348.98$83$41,446
QQQ243Buy$170.96$83$41,626
7/31/18mBTC-USD2179Buy$7.78$34$16,987
QQQ98Sell$174.57$34$17,074
8/7/18mBTC-USD2179Sell  (stop order)$6.75$29$14,679
8/31/18QQQ10Sell$184.66$4$1,843
10/1/18QQQ89Buy$184.52$33$16,455
10/11/18QQQ224Sell  (stop order)$168.10$75$37,579
10/31/18TLT342Buy$110.36$75$37,819
DateSymbolAmountTypePriceFeesTotal Price
1/31/19MDY123Buy$330.40$81$40,720
TLT342Sell$119.36$82$40,739
2/28/19MDY123Sell$344.68$85$42,311
LTC-USD182Buy$46.24$17$8,433
mBTC-USD2197Buy$3.85$17$8,475
QQQ147Buy$172.15$51$25,357
5/23/19QQQ147Sell  (stop order)$177.50$52$26,040
5/31/19mBTC-USD666Sell$8.57$11$5,696
LTC-USD68Sell$114.54$16$7,773
TLT302Buy$130.13$79$39,378
7/1/19TLT302Sell$131.06$79$39,501
SPY142Buy$294.30$84$41,874
LTC-USD1Sell$122.58$0$122
mBTC-USD213Sell$10.58$5$2,249
7/15/19LTC-USD113Sell  (stop order)$90.92$21$10,253
7/31/19SPY10Sell$296.06$6$2,955
mBTC-USD1282Buy$10.09$26$12,961
9/3/19SPY132Sell$289.40$76$38,124
mBTC-USD2600Sell$10.62$55$27,557
QQQ356Buy$185.28$132$66,092
9/30/19QQQ356Sell$188.81$134$67,082
TLT470Buy$142.34$134$67,034
10/31/19TLT470Sell$140.75$132$66,020
QQQ335Buy$197.08$132$66,154