2020-06-16 EOD Rebalancing (Today PnL: -0.52%)
Updated
Unweighted Portfolio - shown as the unwt study in the chart:
Total Long Value: $139,036.40
Total Short Value: -$171,404.74
Total: $310,441.14
Positions:
COST_Unweighted = -34 * (security("BATS:COST", "1", close) - 300.90) //-10230.60
VZ_Unweighted = -177 * (security("BATS:VZ", "1", close) - 56.86) //-10064.22
WBA_Unweighted = -238 * (security("BATS:WBA", "1", close) - 42.09) //-10017.42
USB_Unweighted = -509 * (security("BATS:USB", "1", close) - 39.34) //-20024.06
WFC_Unweighted = -703 * (security("BATS:WFC", "1", close) - 28.50) //-20035.50
JPM_Unweighted = -197 * (security("BATS:JPM", "1", close) - 101.89) //-20072.33
CAT_Unweighted = -78 * (security("BATS:CAT", "1", close) - 129.82) //-10125.96
HON_Unweighted = -68 * (security("BATS:HON", "1", close) - 148.78) //-10117.04
BA_Unweighted = -51 * (security("BATS:BA", "1", close) - 197.68) //-10081.68
ADBE_Unweighted = -25 * (security("BATS:ADBE", "1", close) - 410.78) //-10269.50
MDLZ_Unweighted = -191 * (security("BATS:MDLZ", "1", close) - 52.47) //-10021.77
AXP_Unweighted = -96 * (security("BATS:AXP", "1", close) - 105.29) //-10107.84
LOW_Unweighted = -76 * (security("BATS:LOW", "1", close) - 131.74) //-10012.24
HD_Unweighted = -41 * (security("BATS:HD", "1", close) - 249.38) //-10224.58
ORCL_Unweighted = 183 * (security("BATS:ORCL", "1", close) - 54.65) //10000.95
TXN_Unweighted = 79 * (security("BATS:TXN", "1", close) - 125.76) //9935.04
AAPL_Unweighted = 28 * (security("BATS:AAPL", "1", close) - 351.25) //9835.00
NVDA_Unweighted = 27 * (security("BATS:NVDA", "1", close) - 361.47) //9759.69
MCD_Unweighted = 52 * (security("BATS:MCD", "1", close) - 190.23) //9891.96
MO_Unweighted = 488 * (security("BATS:MO", "1", close) - 41.09) //20052
NEE_Unweighted = 80 * (security("BATS:NEE", "1", close) - 247.87) //19829.60
AMGN_Unweighted = 44 * (security("BATS:AMGN", "1", close) - 226.70) //9974.80
PFE_Unweighted = 299 * (security("BATS:PFE", "1", close) - 33.35) //9971.65
MRK_Unweighted = 130 * (security("BATS:MRK", "1", close) - 76.90) //9997.00
LMT_Unweighted = 26 * (security("BATS:LMT", "1", close) - 382.11) //9934.86
MDT_Unweighted = 104 * (security("BATS:MDT", "1", close) - 95.45) //9926.80
BAC_Unweighted = 387 * (security("BATS:BAC", "1", close) - 25.81) //9988.47
LLY_Unweighted = 61 * (security("BATS:LLY", "1", close) - 163.78) //9990.58
Weighted Portfolio - shown as the wt study in the chart:
Total Long Value: $75,638.87
Total Short Value: -$91,075.75
Total: $166,714.62
Positions:
VZ_Weighted = -205 * (security("BATS:VZ", "1", close) - 56.81) //-11646.05
USB_Weighted = -156 * (security("BATS:USB", "1", close) - 39.33) //-6135.48
WFC_Weighted = -404 * (security("BATS:WFC", "1", close) - 28.49) //-11509.96
JPM_Weighted = -165 * (security("BATS:JPM", "1", close) - 101.78) //-16793.70
CAT_Weighted = -42 * (security("BATS:CAT", "1", close) - 129.66) //-5445.72
HON_Weighted = -47 * (security("BATS:HON", "1", close) - 148.71) //-6989.37
ADBE_Weighted = -8 * (security("BATS:ADBE", "1", close) - 410.86) //-3286.88
MDLZ_Weighted = -76 * (security("BATS:MDLZ", "1", close) - 52.43) //-3984.68
AXP_Weighted = -124 * (security("BATS:AXP", "1", close) - 105.21) //-13046.04
LOW_Weighted = -93 * (security("BATS:LOW", "1", close) - 131.59) //-12237.87
MSFT_Weighted = 18 * (security("BATS:MSFT", "1", close) - 193.20) //3477.60
TXN_Weighted = 63 * (security("BATS:TXN", "1", close) - 125.66) //7916.58
AAPL_Weighted = 31 * (security("BATS:AAPL", "1", close) - 351.07) //10883.17
NVDA_Weighted = 26 * (security("BATS:NVDA", "1", close) - 361.42) //9396.92
MO_Weighted = 315 * (security("BATS:MO", "1", close) - 41.09) //12943
NEE_Weighted = 80 * (security("BATS:NEE", "1", close) - 247.62) //19809.60
LMT_Weighted = 34 * (security("BATS:LMT", "1", close) - 381.71) //12978.14
MDT_Weighted = 32 * (security("BATS:MDT", "1", close) - 95.41) //3053.12
BAC_Weighted = 226 * (security("BATS:BAC", "1", close) - 25.81) //5833.06
LLY_Weighted = 14 * (security("BATS:LLY", "1", close) - 163.62) //2290.68
The unweighted portfolio was set up in my brokerage account at the end of today's session.
Difference between Weighted and Unweighted portfolios:
All signals are generated by the same set of models for both portfolios, but allocation is done differently.
The unweighted portfolio is close to market neutral as capital is evenly allocated among signals.
The weighted portfolio is not always market neutral as allocation is managed by a position sizing model.
Colors in the chart:
Longs are in green and shorts are in red
The darker the line color is the heavier the position is.
I like to see greens are at the top and reds are at the bottom.
Real-time chart
tradingview.com/chart/OrJoZSAk/ It takes about 5 seconds to load due to too many symbols.
2020-06-15 EOD Rebalancing
Weighted PnL: -$1.726 (-0.84%)
Unweighted PnL: -$1,064 (-0.52%)
SPY: +1.86%
Total Long Value: $139,036.40
Total Short Value: -$171,404.74
Total: $310,441.14
Positions:
COST_Unweighted = -34 * (security("BATS:COST", "1", close) - 300.90) //-10230.60
VZ_Unweighted = -177 * (security("BATS:VZ", "1", close) - 56.86) //-10064.22
WBA_Unweighted = -238 * (security("BATS:WBA", "1", close) - 42.09) //-10017.42
USB_Unweighted = -509 * (security("BATS:USB", "1", close) - 39.34) //-20024.06
WFC_Unweighted = -703 * (security("BATS:WFC", "1", close) - 28.50) //-20035.50
JPM_Unweighted = -197 * (security("BATS:JPM", "1", close) - 101.89) //-20072.33
CAT_Unweighted = -78 * (security("BATS:CAT", "1", close) - 129.82) //-10125.96
HON_Unweighted = -68 * (security("BATS:HON", "1", close) - 148.78) //-10117.04
BA_Unweighted = -51 * (security("BATS:BA", "1", close) - 197.68) //-10081.68
ADBE_Unweighted = -25 * (security("BATS:ADBE", "1", close) - 410.78) //-10269.50
MDLZ_Unweighted = -191 * (security("BATS:MDLZ", "1", close) - 52.47) //-10021.77
AXP_Unweighted = -96 * (security("BATS:AXP", "1", close) - 105.29) //-10107.84
LOW_Unweighted = -76 * (security("BATS:LOW", "1", close) - 131.74) //-10012.24
HD_Unweighted = -41 * (security("BATS:HD", "1", close) - 249.38) //-10224.58
ORCL_Unweighted = 183 * (security("BATS:ORCL", "1", close) - 54.65) //10000.95
TXN_Unweighted = 79 * (security("BATS:TXN", "1", close) - 125.76) //9935.04
AAPL_Unweighted = 28 * (security("BATS:AAPL", "1", close) - 351.25) //9835.00
NVDA_Unweighted = 27 * (security("BATS:NVDA", "1", close) - 361.47) //9759.69
MCD_Unweighted = 52 * (security("BATS:MCD", "1", close) - 190.23) //9891.96
MO_Unweighted = 488 * (security("BATS:MO", "1", close) - 41.09) //20052
NEE_Unweighted = 80 * (security("BATS:NEE", "1", close) - 247.87) //19829.60
AMGN_Unweighted = 44 * (security("BATS:AMGN", "1", close) - 226.70) //9974.80
PFE_Unweighted = 299 * (security("BATS:PFE", "1", close) - 33.35) //9971.65
MRK_Unweighted = 130 * (security("BATS:MRK", "1", close) - 76.90) //9997.00
LMT_Unweighted = 26 * (security("BATS:LMT", "1", close) - 382.11) //9934.86
MDT_Unweighted = 104 * (security("BATS:MDT", "1", close) - 95.45) //9926.80
BAC_Unweighted = 387 * (security("BATS:BAC", "1", close) - 25.81) //9988.47
LLY_Unweighted = 61 * (security("BATS:LLY", "1", close) - 163.78) //9990.58
Weighted Portfolio - shown as the wt study in the chart:
Total Long Value: $75,638.87
Total Short Value: -$91,075.75
Total: $166,714.62
Positions:
VZ_Weighted = -205 * (security("BATS:VZ", "1", close) - 56.81) //-11646.05
USB_Weighted = -156 * (security("BATS:USB", "1", close) - 39.33) //-6135.48
WFC_Weighted = -404 * (security("BATS:WFC", "1", close) - 28.49) //-11509.96
JPM_Weighted = -165 * (security("BATS:JPM", "1", close) - 101.78) //-16793.70
CAT_Weighted = -42 * (security("BATS:CAT", "1", close) - 129.66) //-5445.72
HON_Weighted = -47 * (security("BATS:HON", "1", close) - 148.71) //-6989.37
ADBE_Weighted = -8 * (security("BATS:ADBE", "1", close) - 410.86) //-3286.88
MDLZ_Weighted = -76 * (security("BATS:MDLZ", "1", close) - 52.43) //-3984.68
AXP_Weighted = -124 * (security("BATS:AXP", "1", close) - 105.21) //-13046.04
LOW_Weighted = -93 * (security("BATS:LOW", "1", close) - 131.59) //-12237.87
MSFT_Weighted = 18 * (security("BATS:MSFT", "1", close) - 193.20) //3477.60
TXN_Weighted = 63 * (security("BATS:TXN", "1", close) - 125.66) //7916.58
AAPL_Weighted = 31 * (security("BATS:AAPL", "1", close) - 351.07) //10883.17
NVDA_Weighted = 26 * (security("BATS:NVDA", "1", close) - 361.42) //9396.92
MO_Weighted = 315 * (security("BATS:MO", "1", close) - 41.09) //12943
NEE_Weighted = 80 * (security("BATS:NEE", "1", close) - 247.62) //19809.60
LMT_Weighted = 34 * (security("BATS:LMT", "1", close) - 381.71) //12978.14
MDT_Weighted = 32 * (security("BATS:MDT", "1", close) - 95.41) //3053.12
BAC_Weighted = 226 * (security("BATS:BAC", "1", close) - 25.81) //5833.06
LLY_Weighted = 14 * (security("BATS:LLY", "1", close) - 163.62) //2290.68
The unweighted portfolio was set up in my brokerage account at the end of today's session.
Difference between Weighted and Unweighted portfolios:
All signals are generated by the same set of models for both portfolios, but allocation is done differently.
The unweighted portfolio is close to market neutral as capital is evenly allocated among signals.
The weighted portfolio is not always market neutral as allocation is managed by a position sizing model.
Colors in the chart:
Longs are in green and shorts are in red
The darker the line color is the heavier the position is.
I like to see greens are at the top and reds are at the bottom.
Real-time chart
tradingview.com/chart/OrJoZSAk/ It takes about 5 seconds to load due to too many symbols.
2020-06-15 EOD Rebalancing
Weighted PnL: -$1.726 (-0.84%)
Unweighted PnL: -$1,064 (-0.52%)
SPY: +1.86%
Note
EOD UpdateWeighted PnL: -$1,633 (+0.53%)
Unweighted PnL: -$900 (+0.29%)
SPY: -0.42%
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