Zacks Rank #1 is based on expected positive price action after positive estimate revisions. Look at the attached “und” file how I select the best 12 out of that pack, making sure I don’t get penny stocks or micro caps, and I have enough trading liquidity for my money management. Hedging is the art of pairing risks of the same kind. So I pair my best ZR1 bets with the worst shorted ZR5 bets (look for second “und” file attached). RW doesn’t allow you to combo a long trade with a short one, so you have to export both strategies to Excel and add the gains/losses of the corresponding periods of both strategies. Over 12.5 years, your maximum drawdown is 11%, annual compounded growth rate is 30%/year, average weekly gains are just over half a percent, and YTD you got 17%. The first chart shows the performance of the added gains/losses, the second one takes the average of the two and makes the hedging equally weighted (Hedging ratio=1).

Kevin, how difficult is it to make hedging available through combo’s in RW?         

Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))
at 04/03/14 11:19 AM : RE: Hedging with RW

Blue Zero III
attachment files at 11/17/14 11:07 AM : RE: Hedging with RW

at 04/27/14 5:12 PM : RE: Hedging with RW

at 04/16/14 9:14 AM : RE: Hedging with RW

at 04/03/14 9:50 AM : RE: Hedging with RW

at 07/17/12 4:23 PM : RE: Hedging with RW

at 07/20/12 3:19 AM : RE: Hedging with RW

Just curious about what the actual returns (not backtesting) were for this strategy in 2013?  Has anyone been trading it with real money?  If so, what kind of position sizes are we talking about (ballpark)?

Running it through RW gives a 75% return without transaction costs.  However, allowing for what I would think are reasonable scalebacks to account for bid/offer and unfavorable price moves between Friday close and Monday opening range (25bp per week for big caps and 50bp per week for small caps), that drops to around 19%.  Doubling those frictions for 2013 results in a 20% loss.


Attach file (image (.gif, or .jpg), screen (.und) or report (.rpd))

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