So we now have a month of full trading under our belt and so far so good. The first couple of months are really to ensure that the testing and the real thing marry up, in terms of execution conditions, pricing, spread, slippage, etc. Within our testing model, we factored in a 0.4% loss to cover the above, even though we were seeing closer to the 0.25% slip we saw in testing. Thankfully, the live trading is echoing closer to the latter rather than the former. What this means, is hopefully, more Alpha being generated and not being lost in the process.
For June, our total realised gain was 3.47%. Swaps and commissions cost 0.20% of our account value. We have seen that slippage works both ways in the past, this time in our favour; the S&P within Ubique grew by 1.74% over the month, whilst the S&P itself grew 1.55%. Our trades in the Dow Jones returned 0.84% while trading the Dow itself would have returned 0.39%. The "slip" on the S&P is within our historically realised tolerance, while the slippage on DJI is above.
These deviations, as all are, will continue to be monitored such that we will be able to note a) whether deviation falls within our expectation as an average and b) what opportunities can arise from sustained deviation.
Of note, the Dow trades we took over this period fell under a special trading rule of the system, wherein, we were short the Dow in 16 of the 18 trades taken. Historically, we have been short the Dow 15% of the time: this rule has been active for most of June and will be sporadically active for much of the second half of 2021. These short positions, while generating worthwhile returns historically, act primarily as a hedging device. This was realised in June over our trading timeline wherein the S&P drawdown was 2.44% while we sustained a drawdown of 0.87%
Now that we are in July, Golden Ratio has signaled the S&P500 over Gold and so we continue to be long the S&P 500. The Dow will continue to be long/short/cash over both daily and intraday timeframes.
During June, we were also putting the final touches on one of our older strategies, Platinum Winter, which looks at exploiting seasonal anomalies within precious metals. Now that Tim is on board, he has been going over all of my original strategies and ideas and adding his advanced mathematical thinking to them. As such, for July, we have now introduced this metals strategy to Ubique. Metals are cyclical, wherein much price movement is generated via a myriad of factors including USD strength, supply/demand, speculation, even simple randomness to name a very few. However, we have found that when price data is parametrised under a novel framework, a weak seasonal component arises. This allows us to trade the metals in an algorithmic fashion, as we make all trades at Willow Oak. Once this system was verified and verified again, we turned our sights on the aspect which lies above all else: risk management. Of note, our method to observe this seasonality is precisely one of the components used in the Keeping Up With The Joneses framework. This system shows that for a short time Platinum may experience a bullish period. As such, we have allocated a portion of our capital toward this end. Over the coming weeks, we will add all of the details surrounding this strategy to the website, for inspection.
Until next time, stay safe, and swing easy.
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)