Adventurous Anny

Characteristics · Trades · Graph · Results

Adventurous Anny is basically the same model as Danny Daredevil: it adapts itself to a variety of market conditions, detects tendencies of fear and euphoria, takes federal funds rates into consideration and is driven by swings in momentum. But there is one difference: it does not trade UVXY ETFs. Instead, it holds cash at the moment that it gives us a trading signal to sell XIV ETNs. This lowers the level of risk substantially, while at the same time maintaining a relatively high potential for substantial returns.

 


Characteristics
Modules used Module Bear & Bull, Module Short-Term & Mid-Term Sentiment, Module Panic & Euphoria, Module United States Fed Funds Rate, Module Trading
Trades XIV
Average number of trades per year
13
Potential average annual return 80-100%
Sharpe ratio 1.48
Risk +++


Trades

Below are Adventurous Anny‘s trades for 2018, carried out on the basis of White Chapel’s signals. The trades of 2017 for Anny can be found here.

 

Date

Trade made

Details

Value of
portfolio

Return
for 2018

Latest trade:

31 January 2018

Bought XIV

95.46@$128.51

$12,291

0.00%

Value at the end of most recent trading week:

9 February 2018

Holds XIV

95.46@5.38

$515

-95.81%


All trades in chronological order:

1 January 2018

Holds cash


$12,291

0.00%

31 January 2018

Bought XIV

95.46@$128.51

$12,291

0.00%

Graph

The accumulation of the value of Adventurous Anny‘s portfolio for 2018 is shown in the graph below.


Results

Our model Adventurous Anny has been thoroughly backtested before we put it to use in live trading, that started 6 March 2017. Below are the quarterly and yearly results of Adventurous Anny for the backtest period of 1 January 1995 – 31 December 2016 (under ‘Backtested’). The results for the period of live trading (6 March 2016 – now) can be found under ‘Live trading‘. Some basic statistics for the full period (under ‘Statictics’) complete the table below.

Year

Quarterly results

Yearly results

1

2

3

4

Backtested
Model: White Chapel 2.1

1995

21%

43%

10%

35%

131%

1996

-22%

58%

-1%

7%

20%

1997

21%

15%

17%

3%

77%

1998

19%

51%

-32%

85%

74%

1999

72%

33%

26%

41%

304%

2000

7%

66%

21%

2%

124%

2001

2%

52%

-19%

74%

95%

2002

41%

-20%

5%

30%

73%

2003

9%

83%

6%

61%

211%

2004

32%

41%

25%

39%

188%

2005

14%

46%

15%

23%

125%

2006

28%

6%

35%

32%

113%

2007

7%

14%

15%

104%

138%

2008

19%

12%

-14%

50%

68%

2009

11%

93%

15%

55%

234%

2010

50%

-24%

83%

28%

134%

2011

17%

25%

-69%

32%

-41%

2012

88%

-7%

53%

-3%

162%

2013

45%

-18%

45%

30%

119%

2014

-5%

14%

-4%

41%

21%

2015

17%

0%

7%

37%

64%

2016

20%

8%

59%

33%

206%

Live trading
Model: White Chapel 2.1
(starting 6 March 2017)

2017

45%

14%

-22%

13%

46%

2018

-96%

-96%

Statistics

Average

19%

26%

12%

37%

108%

Highest

88%

93%

83%

104%

304%

Lowest

-96%

-24%

-69%

-3%

-96%

Current value, Results and Graph are updated each week after the close of Friday’s trading session.
Last update: 9 February 2018