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Ubique | February 2021 Update

February was our first month with forward testing under our belt with our new adapted strategy, and so far its proved to be everything we were hoping for. Our main concern for this first month of live testing wasn't necessarily to make money, but rather to see parity between what our testing has shown and what we actually got. Thankfully, on two of the three strategies, they were correct within a tolerance of under 0.05%. Golden Ratio however is showing to be a little off, which we are now looking in to resolve.

All being well, we will be able to correct this discrepancy or at least factor that into our calculations to offset our return expectancy. Hopefully, with March figures, if we see similar results, then we will be able to adjust for it. As for the strategy as a whole, Feb notched up 2.24% from 23 different trades taken. As this is far too small a data sample to extrapolate any meaningful results, such information like Risk of Ruin, Profit Factors etc, its far too early to determine anything useful on that front. However, if March delivers similar results to what our excel is showing, then we will have a measure of confidence on that back data which we can use to estimate such things, going forward.

As talked about last time, we are currently doing a full rebuild from scratch of all the strategies in Ubique using only a basic rule set we have designed, to again build confidence in our work to help exclude errors. As of right now both Keeping up with the Joneses and Fear and Loathing is complete. Golden Ratio has kicked up a few surprises which we are now exploring. Mainly we have a slightly different allocation model on each. We are investigating why this has happened, and what this means to the larger picture, but we are hoping to this resolved in the coming weeks. Once done, we can then plug all three into each other and see what Ubique looks like. We have also obtained new data sets dating as far back as 1928 where possible which we will be running all of this on, to ensure long term viability. Once complete, all the results for each strategy as well as Ubique will go onto the website for all to see.

We are hoping that by the time the next podcast goes out later this month, we will have all the answers. Once this is done, we will continue for a month or two on the paper accounts to further verify our work before committing actual money to it and allowing outside money in.

On a side note, we have made an interesting observation over the last couple of weeks. We have numerous overlays, and risk management models which we use to look at the markets, most of which are not correlated to one another. However, in the last 10 days or so all of these have gone to a correlation of 1, which raises a few eyebrows. Looking back, when we have seen this happen before, it is just before a major collapse of the markets. Now, this isn't a prediction, but rather just a tidbit of interesting information which we have observed. Who knows what the market will do over the coming months, but with so much additional volatility over the last month and many indicators all aligning, we could be in store for some interesting market moves...

If you have any questions or would like to know more about anything mentioned above, feel free to get in contact with us, and we'll happily have a chat with you about it.


For more in-depth analysis, everything is on the website for inspection (www.willowoakadvisory.com/ubique).

Until next time, stay safe and swing easy.