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2020-06-16 EOD Rebalancing (Today PnL: -0.52%)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 www.tradingview.com 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%
AMEX:SPY
by TrustTheModel
2020-06-15 EOD Rebalancing (Today PnL: +0.46%)Unweighted Portfolio - shown as the unwt study in the chart: Total Long Value: $99,128 Total Short Value: -$107,344 Total: $206,472 Positions: CAT_Unweighted = -163 * (security("BATS:CAT", "1", close) - 123.35) //-20106.05 CVX_Unweighted = -220 * (security("BATS:CVX", "1", close) - 90.96) //-20011.20 TMO_Unweighted = -20 * (security("BATS:TMO", "1", close) - 340.54) //-6810.80 XOM_Unweighted = -285 * (security("BATS:XOM", "1", close) - 46.96) //-13383.60 AMT_Unweighted = -51 * (security("BATS:AMT", "1", close) - 261.98) //-13360.98 ACN_Unweighted = -34 * (security("BATS:ACN", "1", close) - 199.25) //-6774.50 DHR_Unweighted = -39 * (security("BATS:DHR", "1", close) - 171.48) //-6687.72 MRK_Unweighted = -91 * (security("BATS:MRK", "1", close) - 73.90) //-6724.90 TRV_Unweighted = -59 * (security("BATS:TRV", "1", close) - 114.61) //-6761.99 VZ_Unweighted = -120 * (security("BATS:VZ", "1", close) - 56.02) //-6722.40 HD_Unweighted = 27 * (security("BATS:HD", "1", close) - 240.56) //6495.12 ABT_Unweighted = 149 * (security("BATS:ABT", "1", close) - 89.31) //13307.19 SBUX_Unweighted = 86 * (security("BATS:SBUX", "1", close) - 76.80) //6604.80 UNH_Unweighted = 23 * (security("BATS:UNH", "1", close) - 286.12) //6580.76 GS_Unweighted = 32 * (security("BATS:GS", "1", close) - 205.84) //6586.88 MSFT_Unweighted = 35 * (security("BATS:MSFT", "1", close) - 188.41) //6594.35 BAC_Unweighted = 531 * (security("BATS:BAC", "1", close) - 25.08) //13317.48 USB_Unweighted = 345 * (security("BATS:USB", "1", close) - 38.62) //13323.90 AXP_Unweighted = 64 * (security("BATS:AXP", "1", close) - 103.61) //6631.04 WFC_Unweighted = 237 * (security("BATS:WFC", "1", close) - 28.11) //6662.07 BA_Unweighted = 34 * (security("BATS:BA", "1", close) - 190.81) //6487.54 UNP_Unweighted = 39 * (security("BATS:UNP", "1", close) - 167.60) //6536.40 Weighted Portfolio - shown as the wt study in the chart: Total Long Value: $30,735 Total Short Value: -$43,034 Total: $73,769 Positions: CAT_Weighted = -38 * (security("BATS:CAT", "1", close) - 123.34) //-4686.92 CVX_Weighted = -220 * (security("BATS:CVX", "1", close) - 90.91) //-20000.20 XOM_Weighted = -296 * (security("BATS:XOM", "1", close) - 46.94) //-13894.24 AMT_Weighted = -17 * (security("BATS:AMT", "1", close) - 261.93) //-4452.81 UNH_Weighted = 33 * (security("BATS:UNH", "1", close) - 286.16) //9443.28 GS_Weighted = 19 * (security("BATS:GS", "1", close) - 205.83) //3910.77 MSFT_Weighted = 17 * (security("BATS:MSFT", "1", close) - 188.60) //3206.20 BAC_Weighted = 290 * (security("BATS:BAC", "1", close) - 25.11) //7281.90 WFC_Weighted = 157 * (security("BATS:WFC", "1", close) - 28.10) //4411.70 BA_Weighted = 13 * (security("BATS:BA", "1", close) - 190.84) //2480.92 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 www.tradingview.com It takes about 5 seconds to load due to too many symbols. 2020-06-12 EOD Rebalancing Weighted PnL: $1,488 (+0.70%) Unweighted Pnl: $990 (+0.46%) SPY: +0.93%
AMEX:SPY
by TrustTheModel
2020-06-12 EOD Rebalancing (Today PnL: +1.80%)Unweighted Portfolio  - shown as the  unwt  study in the chart: Total Long Value: $98,371 Total Short Value: -$114,849 Weighted Portfolio  - shown as the  wt  study in the chart: Total Long Value: $63,526 Total Short Value: -$69,792 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 www.tradingview.com It takes about 5 seconds to load due to too many symbols. 2020-06-11 EOD Rebalancing Unweighted PnL: $2,311 (+1.80%) Weighted Pnl $2,945 (+2.29%) SPY: +1.20%
AMEX:SPY
by TrustTheModel
2020-06-11 EOD Rebalancing (Today PnL: -0.00%)Unweighted Portfolio - shown as the unwt study in the chart: Total Long Value: $67,748 Total Short Value: -$60,863 CAT = -66 * (security("BATS:CAT", "1", close) - 121.88) TXN = -33 * (security("BATS:TXN", "1", close) - 124.82) UPS = -80 * (security("BATS:UPS", "1", close) - 101.01) WBA = -295 * (security("BATS:WBA", "1", close) - 40.81) VZ = -71 * (security("BATS:VZ", "1", close) - 56.56) COST = -27 * (security("BATS:COST", "1", close) - 301.57) UNH = -15 * (security("BATS:UNH", "1", close) - 284.81) MRK = -52 * (security("BATS:MRK", "1", close) - 77.59) HD = -17 * (security("BATS:HD", "1", close) - 240.24) AMT = -16 * (security("BATS:AMT", "1", close) - 251.92) BAC = 837 * (security("BATS:BAC", "1", close) - 23.95) JPM = 164 * (security("BATS:JPM", "1", close) - 97.37) DIS = 35 * (security("BATS:DIS", "1", close) - 112.89) TRV = 36 * (security("BATS:TRV", "1", close) - 110.96) GS = 20 * (security("BATS:GS", "1", close) - 194.59) UNP = 24 * (security("BATS:UNP", "1", close) - 163.88) LOW = 32 * (security("BATS:LOW", "1", close) - 124.35) BA = 47 * (security("BATS:BA", "1", close) - 170.15) USB = 110 * (security("BATS:USB", "1", close) - 36.24) Weighted Portfolio - shown as the wt study in the chart: Total Long Value: $41,462 Total Short Value: -$16,190 TXN = -23 * (security("BATS:TXN", "1", close) - 124.55) WBA = -153 * (security("BATS:WBA", "1", close) - 40.81) UNH = -9 * (security("BATS:UNH", "1", close) - 284.13) AMT = -18 * (security("BATS:AMT", "1", close) - 251.32) BAC = 837 * (security("BATS:BAC", "1", close) - 23.86) JPM = 127 * (security("BATS:JPM", "1", close) - 97.11) GS = 13 * (security("BATS:GS", "1", close) - 194.22) UNP = 27 * (security("BATS:UNP", "1", close) - 163.84) BA = 13 * (security("BATS:BA", "1", close) - 170.00) I still feel uncomfortable to hold more longs than shorts at this moment, so 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. Ideally, I like to see greens are at the top and reds are at the bottom. Real-time chart www.tradingview.com It takes about 5 seconds to load due to too many symbols. 2020-06-09 EOD Rebalancing Unweighted PnL: -$90 (-0.00%) Weighted Pnl: -$3577 (-1.98%) SPY: -5.76%
AMEX:SPY
by TrustTheModel
2020-06-10 EOD Rebalancing (Today PnL: +1.09%)Unweighted Portfolio - shown as the unwt study in the chart: Total Long Value: $86,022 Total Short Value: -$94,353 Weighted Portfolio - shown as the wt study in the chart: Total Long Value: $100,695 Total Short Value: -$58,041 I felt uncomfortable to allocate twice as much long as short for tomorrow, so the unweighted portfolio was set up 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. Ideally, I like to see greens are at the top and reds are at the bottom. Real-time chart www.tradingview.com 2020-06-09 EOD Rebalancing PnL: $2,528 (+1.09%)
AMEX:SPY
by TrustTheModel