We currently offer SPY, QQQ, BTC, TLT, AAPL, AMZN, GOOGL, META, MSFT, NVDA, TSLA, and PLTR daily systematic signals through machine learning in this service. We combine these signals with our other methodologies in our daily insights.
I plan to keep TSLA and PLTR free for everyone, every day. Please share the newsletter with friends and colleagues who may find it helpful for reference.
Premium subscribers can enjoy daily access to signals for SPY, QQQ, BTC, TLT, AAPL, AMZN, GOOGL, META, MSFT, and NVDA. If you haven’t already, subscribe now to lock in the current price forever.
1. How The Model Works
We employ proprietary machine learning models for each asset to maximise the Sharpe ratio and minimise the drawdowns when trading the name. The model achieves this by examining a number of macro drivers and asset-specific factors against the asset’s historical price movements. It is a long-only strategy without leverage.
In interpreting the signal, “1” occurs when the model prefers to buy or hold the asset, and “0” occurs when the model prefers to sell the asset or stay on the sidelines.
There is no “minimum” holding period when the signal shows 1. The model strategy holds the asset until the signal turns to 0. This could be after 1 day, 1 week, or longer.
The strategy backtests are based on a buy/ sell market-open strategy when the signal changes. Returns will be calculated as follows:
When the signal transitions from 0 to 1, the strategy executes a buy at the open. The return on the day is today’s close vs. the open.
When the signal goes from 1 to 0, the strategy sells at the open. The return on the day is today’s open vs. the previous close.
When the signal stays from 1 to 1, the return on the day is today’s close vs the previous close.
When the signal stays from 0 to 0, the return on the day is 0.
The model will NOT be 100% correct in its market prediction every day (no model can be - please run away if someone claims this).
The model outputs are not financial advice, and there is no guarantee of future performance. Each model is being improved over time, so the below success rates and back-test results are subject to change.
2. Strategy Backtests
(These results are based on historical data and may not predict future performance.)
1. TSLA
The YXI TSLA Signal
Strategy Sharpe Ratio: 1.90
Strategy Maximum Drawdown: -33.74%
TSLA Buy & Hold Sharpe Ratio: 0.93
TSLA Buy & Hold Maximum Drawdown: -73.63%
Note that the y-axis below is on a log scale to offer a clearer comparison between the two strategies.
2. PLTR
The YXI PLTR Signal
Strategy Sharpe Ratio: 1.99
Strategy Maximum Drawdown: -37.63%
PLTR Buy & Hold Sharpe Ratio: 1.01
PLTR Buy & Hold Maximum Drawdown: -79.14%
Note that the y-axis below is on a log scale to offer a clearer comparison between the two strategies.
3. SPY
The YXI SPY Signal
Strategy Sharpe Ratio: 2.09
Strategy Maximum Drawdown: -10.59%
SPY Buy & Hold Sharpe Rattio: 0.75
SPY Buy & Hold Maximum Drawdown: -33.70%
Note that the y-axis below is in log scale.
4. QQQ
The YXI QQQ Signal
Strategy Sharpe Ratio: 1.88
Strategy Maximum Drawdown: -12.65%
QQQ Buy & Hold Sharpe Ratio: 0.79
QQQ Buy & Hold Maximum Drawdown: -35.12%
Note that the y-axis below is in log scale.
5. BTC
The YXI BTC Signal
Strategy Sharpe Ratio: 1.94
Strategy Maximum Drawdown: -33.24%
BTCUSD Buy & Hold Sharpe Ratio: 0.92
BTCUSD Buy & Hold Maximum Drawdown: -76.66%
Note that the y-axis below is in log scale.
6. TLT
The YXI TLT Signal
Strategy Sharpe Ratio: 1.17
Strategy Maximum Drawdown: -17.34%
TLT Buy & Hold Sharpe Ratio: -0.03
TLT Buy & Hold Maximum Drawdown: -48.35%
Note that the y-axis below is in log scale.
7. AAPL
The YXI AAPL Signal
Strategy Sharpe Ratio: 1.82
Strategy Maximum Drawdown: -20.38%
AAPL Buy & Hold Sharpe Ratio: 0.84
AAPL Buy & Hold Maximum Drawdown: -38.52%
Note that the y-axis below is in log scale.
8. AMZN
The YXI AMZN Signal
Strategy Sharpe Ratio: 1.56
Strategy Maximum Drawdown: -21.18%
AMZN Buy & Hold Sharpe Ratio: 0.58
AMZN Buy & Hold Maximum Drawdown: -56.15%
Note that the y-axis below is in log scale.
9. GOOGL
The YXI GOOGL Signal
Strategy Sharpe Ratio: 1.98
Strategy Maximum Drawdown: -15.58%
GOOGL Buy & Hold Sharpe Ratio: 0.70
GOOGL Buy & Hold Maximum Drawdown: -44.32%
Note that the y-axis below is in log scale.
10. META
The YXI META Signal
Strategy Sharpe Ratio: 1.98
Strategy Maximum Drawdown: -18.35%
META Buy & Hold Sharpe Ratio: 0.66
META Buy & Hold Maximum Drawdown: -76.74%
11. MSFT
The YXI MSFT Signal
Strategy Sharpe Ratio: 1.86
Strategy Maximum Drawdown: -15.90%
MSFT Buy & Hold Sharpe Ratio: 0.95
MSFT Buy & Hold Maximum Drawdown: -37.14%
Note that the y-axis below is in log scale.
12. NVDA
The YXI NVDA Signal
Strategy Sharpe Ratio: 2.20
Strategy Maximum Drawdown: -24.83%
NVDA Buy & Hold Sharpe Ratio: 1.11
NVDA Buy & Hold Maximum Drawdown: -66.34%
Note that the y-axis below is in log scale.
