2020-07-10 EOD Rebalancing (Today PnL: +1.79%)

Real-time chart
www.tradingview.com/chart/OrJoZSAk/ It takes about 5 seconds to load due to too many symbols.

Unweighted Portfolio - shown as the unwt study in the chart:
Total Long Value: $63583.11
Total Short Value: -$61678.91
Total: $125262.02
Positions:
QCOM_Unweighted = -217 * (security("BATS:QCOM", "1", close) - 92.48) //-20068.16
AAPL_Unweighted = -32 * (security("BATS:AAPL", "1", close) - 383.57) //-12274.24
COST_Unweighted = -13 * (security("BATS:COST", "1", close) - 326.26) //-4241.38
TXN_Unweighted = -31 * (security("BATS:TXN", "1", close) - 130.57) //-4047.67
INTC_Unweighted = -135 * (security("BATS:INTC", "1", close) - 59.53) //-8036.55
GOOG_Unweighted = -3 * (security("BATS:GOOG", "1", close) - 1543.01) //-4629.03
ADBE_Unweighted = -9 * (security("BATS:ADBE", "1", close) - 466.94) //-4202.46
CRM_Unweighted = -21 * (security("BATS:CRM", "1", close) - 199.02) //-4179.42
CVX_Unweighted = 46 * (security("BATS:CVX", "1", close) - 85.31) //3924.26
WFC_Unweighted = 314 * (security("BATS:WFC", "1", close) - 25.44) //7988.16
USB_Unweighted = 219 * (security("BATS:USB", "1", close) - 36.44) //7980.36
JPM_Unweighted = 124 * (security("BATS:JPM", "1", close) - 96.47) //11962.28
DIS_Unweighted = 33 * (security("BATS:DIS", "1", close) - 119.27) //3935.91
XOM_Unweighted = 187 * (security("BATS:XOM", "1", close) - 42.65) //7975.55
BAC_Unweighted = 333 * (security("BATS:BAC", "1", close) - 24.00) //7992.00
UNP_Unweighted = 24 * (security("BATS:UNP", "1", close) - 166.57) //3997.68
MRK_Unweighted = 52 * (security("BATS:MRK", "1", close) - 76.68) //3987.36
ANTM_Unweighted = 15 * (security("BATS:ANTM", "1", close) - 255.97) //3839.55

Weighted Portfolio - shown as the wt study in the chart:
Total Long Value: $52583.15
Total Short Value: -$52428.12
Total: $105011.27
Positions:
QCOM_Weighted = -135 * (security("BATS:QCOM", "1", close) - 92.44) //-12479.40
AAPL_Weighted = -17 * (security("BATS:AAPL", "1", close) - 383.38) //-6517.46
TXN_Weighted = -71 * (security("BATS:TXN", "1", close) - 130.52) //-9266.92
INTC_Weighted = -176 * (security("BATS:INTC", "1", close) - 59.47) //-10466.72
ADBE_Weighted = -14 * (security("BATS:ADBE", "1", close) - 466.79) //-6535.06
CRM_Weighted = -36 * (security("BATS:CRM", "1", close) - 198.96) //-7162.56
WFC_Weighted = 178 * (security("BATS:WFC", "1", close) - 25.44) //4528.32
USB_Weighted = 145 * (security("BATS:USB", "1", close) - 36.40) //5278.00
JPM_Weighted = 112 * (security("BATS:JPM", "1", close) - 96.46) //10803.52
XOM_Weighted = 118 * (security("BATS:XOM", "1", close) - 42.60) //5026.80
BAC_Weighted = 833 * (security("BATS:BAC", "1", close) - 24.00) //19992.00
UNP_Weighted = 31 * (security("BATS:UNP", "1", close) - 166.51) //5161.81
ANTM_Weighted = 7 * (security("BATS:ANTM", "1", close) - 256.10) //1792.70

Weighted Neutral Portfolio
Total Long Value: $31627.35
Total Short Value: -$32397.30
Total: $64024.65
Positions:
QCOM_Weighted2 = -77 * (security("BATS:QCOM", "1", close) - 92.50) //-7122.50
GILD_Weighted2 = -81 * (security("BATS:GILD", "1", close) - 76.31) //-6181.11
INTC_Weighted2 = -100 * (security("BATS:INTC", "1", close) - 59.53) //-5953.00
TXN_Weighted2 = -40 * (security("BATS:TXN", "1", close) - 130.60) //-5224.00
CRM_Weighted2 = -21 * (security("BATS:CRM", "1", close) - 199.04) //-4179.84
ADBE_Weighted2 = -8 * (security("BATS:ADBE", "1", close) - 467.01) //-3736.08
BAC_Weighted2 = 502 * (security("BATS:BAC", "1", close) - 24.01) //12053.02
JPM_Weighted2 = 67 * (security("BATS:JPM", "1", close) - 96.48) //6464.16
UNP_Weighted2 = 19 * (security("BATS:UNP", "1", close) - 166.57) //3164.83
USB_Weighted2 = 87 * (security("BATS:USB", "1", close) - 36.44) //3170.28
XOM_Weighted2 = 71 * (security("BATS:XOM", "1", close) - 42.66) //3028.86
WFC_Weighted2 = 107 * (security("BATS:WFC", "1", close) - 25.44) //2722.08
ANTM_Weighted2 = 4 * (security("BATS:ANTM", "1", close) - 256.03) //1024.12

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.

2020-07-09 EOD Rebalancing
Weighted PnL: +$4038 (+2.46%)
Weighted Neutral PnL: +$3439 (+2.10%)
Unweighted PnL: +$2925(+1.79%)
SPY: +1.02%

Bình luận:

Weighted PnL: +$1949 (+1.56%)
Weighted Neutral PnL: +$1771 (+1.41%)
Unweighted PnL: +$1389(+1.11%)
SPY: -0.87%