It’s been 15 months of doing #BASON predictions @OraclumIS and live trading them using our options strategy
I've shared the results with you every week, during good times and bad.
Now I wanna show you how a BASON-led full portfolio performed during this year's bear run 🧵
I've shared the results with you every week, during good times and bad.
Now I wanna show you how a BASON-led full portfolio performed during this year's bear run 🧵
1/
First, about the unusually good results (+155% CAGR, 10.6 Sharpe)
Basically, it's about (1) asymmetric skew - when we're wrong, we lose very little (up to 5%), and when we're right we can make considerably more.
and (2) profits are taken weekly (each Fri) and are compounded.
First, about the unusually good results (+155% CAGR, 10.6 Sharpe)
Basically, it's about (1) asymmetric skew - when we're wrong, we lose very little (up to 5%), and when we're right we can make considerably more.
and (2) profits are taken weekly (each Fri) and are compounded.
2/
This return (and the weekly volatility in the graph above) is for the *whole* portfolio, where options were only 10% of it.
If we just look at the options part, its return was >1400%
But I'm not gonna place so much risk on only one strategy, ofc Hence the diversification 👇
This return (and the weekly volatility in the graph above) is for the *whole* portfolio, where options were only 10% of it.
If we just look at the options part, its return was >1400%
But I'm not gonna place so much risk on only one strategy, ofc Hence the diversification 👇
3/
What is the "BASON"?
It's our (@DejanVinkovic , @msikic & myself) proprietary scientific innovation.
It started as an academic project 7 years ago: predicted Trump and Brexit in 2016, Biden in 2020, and now this..
Read the logic behind it:
What is the "BASON"?
It's our (@DejanVinkovic , @msikic & myself) proprietary scientific innovation.
It started as an academic project 7 years ago: predicted Trump and Brexit in 2016, Biden in 2020, and now this..
Read the logic behind it:
https://twitter.com/wolf_vukovic/status/1511342945915523074
4/
The main advantage of the BASON is its precision, so a logical way to trade it was to use options with iron condors - we need to be right within 2% of our price target to make money.
In addition, we use a simple call/put for direction
Source: ProjectFinance
The main advantage of the BASON is its precision, so a logical way to trade it was to use options with iron condors - we need to be right within 2% of our price target to make money.
In addition, we use a simple call/put for direction
Source: ProjectFinance
5/
Playing options is the first strategy.
The second was a simple long-short based on directional signals, also done weekly.
If BASON_Friday (the prediction) > Wednesday_open then long
If BASON_Friday (the prediction) < Wednesday_open then short
No options, just ETFs
Playing options is the first strategy.
The second was a simple long-short based on directional signals, also done weekly.
If BASON_Friday (the prediction) > Wednesday_open then long
If BASON_Friday (the prediction) < Wednesday_open then short
No options, just ETFs
6/
This is what we got (compounded weekly returns):
SPY return: 24.7%, Sharpe: 11.32
DIA return: 26.4%, Sharpe: 13.06
UVXY return: 55.5%, Sharpe: 9.1
This is what we got (compounded weekly returns):
SPY return: 24.7%, Sharpe: 11.32
DIA return: 26.4%, Sharpe: 13.06
UVXY return: 55.5%, Sharpe: 9.1
7/
The third was more medium-term macro positioning.
Long SPY and QQQ from May 2021 to March 15th 2022
Short SPY and QQQ from March 15th 2022 to September 2022
+28.4% SPY (Sharpe = 5.4)
+33.5% QQQ (Sharpe = 4.9)
The third was more medium-term macro positioning.
Long SPY and QQQ from May 2021 to March 15th 2022
Short SPY and QQQ from March 15th 2022 to September 2022
+28.4% SPY (Sharpe = 5.4)
+33.5% QQQ (Sharpe = 4.9)
8/
Pulling all of these into one portfolio, this is what it looked like.
Pulling all of these into one portfolio, this is what it looked like.
9/
...significantly outperforming so many major benchmarks this year - even during the bad months
...significantly outperforming so many major benchmarks this year - even during the bad months
9/
The bulk of our return coming from the options positions. As expected.
The bulk of our return coming from the options positions. As expected.
10/
What’s next?
From the start of Q4, we (at @OraclumIS ) are gonna keep track of the overall portfolio each week and keep you in the loop.
Maximum transparency as always, and full skin in the game.
And an opportunity to benefit from this directly...
What’s next?
From the start of Q4, we (at @OraclumIS ) are gonna keep track of the overall portfolio each week and keep you in the loop.
Maximum transparency as always, and full skin in the game.
And an opportunity to benefit from this directly...
11/
...either as part of our survey competition with cash prizes for the first 10 players
survey.oraclum.co.uk/stock-market
The Q4 competition starts today.
...either as part of our survey competition with cash prizes for the first 10 players
survey.oraclum.co.uk/stock-market
The Q4 competition starts today.
12/
Or just subscribe to our newsletter and reap the benefits over the long term: oraclum.substack.com/p/q3-was-a-cha…
Or just subscribe to our newsletter and reap the benefits over the long term: oraclum.substack.com/p/q3-was-a-cha…
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