FOR ACTUAL PERFORMANCE SEE DAILY PERFORMANCE TABLE AT BOTTOM OF PAGE
INDEPENDENT THIRD PARTY VERIFICATION
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CONCEPT
ACTIVE EQUITY INDEX is a systematic strategy that trades long and inverse in the S&P 500 and Nasdaq 100 indexes. This strategy derives its edge from the idea that markets can move in both trend-following fashion and counter-trend fashion at the same time.
More than 50 momentum and reversion indicators are blended into a single oscillator which gives a directional signal near the latter part of the trading session. The indicators are diversified by concept and by timeframe. The following is an illustration of the blended oscillator over a 1 year period:
When the oscillator is above zero we take a long position and below zero an inverse position. Note that it is not strictly binary - partial positions can be taken that lie somewhere between fully long (+100%) or fully inverse (-100%).
Once the above oscillator is calculated, we then calculate a separate volatility based exposure reduction for the S&P 500 and Nasdaq 100. This produces a more consistent risk profile for the overall strategy as the tech-heavy Nasdaq 100 can often be more volatile than the S&P 500. Here is a graph of the volatility adjusted oscillator of each index:
The above graph shows the exposures over a 1 year period. The blue area is the S&P 500 exposure and the orange is the Nasdaq 100 exposure. You will notice that the Nasdaq 100 exposure is often less than the S&P 500 due to its higher volatility. Also notice that each index is constrained to maximum exposure of 50% of the overall portfolio (long or inverse).
The signal is typically generated around 3:40pm New York time and subscribers have a 15 minute window to place their trade/rebalance before mutual fund trading cutoff at 3:55pm (or 20 minutes until the 4pm closing if doing ETFs).
It is uploaded to the SIGNALS page in the subscribers area. It is also emailed and/or texted to subscribers (contact us to be added to email/text list). A typical day's signal will look something like this on the SIGNALS page (sample signal from Feb 1st 2023):
In our model account which began trading Jan 30th, 2023, we trade double leveraged Rydex mutual funds at Guggenheim Investments. In their platform, you would do an end result rebalancing to match the percentages displayed in our signal (these always add up to 100%). This can also be end-result traded at Profunds, which has a similar platform to Guggenheim. We also list the corresponding 2X ETFs and 3X ETFs which you can trade at a broker of your choice.
Although we don't display the corresponding derivatives, users will also be able to trade this strategy using SPY and QQQ call/put options or EMini/EMicro futures contracts.
Daily Positions and End-of-Day Values of Actual Model Account
Account values are uploaded nightly but positions are uploaded here on a lagged basis
| DATE | ACCOUNT VALUE | DAILY RETURN | S&P500 2X EXPOSURE | Nasdaq100 2X EXPOSURE | MONEY MARKET EXPOSURE | NOTES |
| 1/30/2023 | $1,000.00 | inception | ||||
| 1/31/2023 | $1,018.27 | 1.83% | 30% | 30% | 40% | |
| 2/1/2023 | $1,018.28 | 0.00% | 0% | 0% | 100% | |
| 2/2/2023 | $987.75 | -3.00% | -30% | -30% | 40% | |
| 2/3/2023 | $999.16 | 1.16% | -20% | -20% | 60% | |
| 2/6/2023 | $993.27 | -0.59% | 20% | 20% | 60% | |
| 2/7/2023 | $1,015.94 | 2.28% | 40% | 30% | 30% | |
| 2/8/2023 | $1,016.06 | 0.01% | 0% | 0% | 100% | |
| 2/9/2023 | $1,003.29 | -1.26% | 40% | 30% | 30% | |
| 2/10/2023 | $1,001.79 | -0.15% | 50% | 50% | 0% | |
| 2/13/2023 | $1,029.32 | 2.75% | 50% | 50% | 0% | |
| 2/14/2023 | $1,036.31 | 0.68% | 50% | 50% | 0% | |
| 2/15/2023 | $1,047.69 | 1.10% | 50% | 50% | 0% | |
| 2/16/2023 | $1,012.69 | -3.34% | 50% | 50% | 0% | |
| 2/17/2023 | $1,002.52 | -1.00% | 50% | 50% | 0% | |
| 2/21/2023 | $958.07 | -4.43% | 50% | 50% | 0% | |
| 2/22/2023 | $956.93 | -0.12% | 50% | 50% | 0% | |
| 2/23/2023 | $970.85 | 1.45% | 50% | 50% | 0% | |
| 2/24/2023 | $943.45 | -2.82% | 50% | 50% | 0% | |
| 2/27/2023 | $953.25 | 1.04% | 50% | 50% | 0% | |
| 2/28/2023 | $948.81 | -0.47% | 50% | 50% | 0% | |
| 3/1/2023 | $936.39 | -1.31% | 50% | 50% | 0% | |
| 3/2/2023 | $951.77 | 1.64% | 50% | 50% | 0% | |
| 3/3/2023 | $986.17 | 3.61% | 50% | 50% | 0% | |
| 3/6/2023 | $987.65 | 0.15% | 50% | 50% | 0% | |
| 3/7/2023 | $993.18 | 0.56% | -10% | -10% | 80% | |
| 3/8/2023 | $988.33 | -0.49% | -40% | -40% | 20% | |
| 3/9/2023 | $1,024.56 | 3.67% | 50% | 50% | 0% | |
| 3/10/2023 | $1,024.75 | 0.02% | 0% | 0% | 100% | |
| 3/13/2023 | $1,031.02 | 0.61% | 50% | 50% | 0% | |
| 3/14/2023 | $1,072.57 | 4.03% | 50% | 50% | 0% | |
| 3/15/2023 | $1,069.85 | -0.25% | 50% | 50% | 0% | |
| 3/16/2023 | $1,117.44 | 4.45% | 50% | 50% | 0% | |
| 3/17/2023 | $1,102.71 | -1.32% | 40% | 40% | 20% | |
| 3/20/2023 | $1,108.09 | 0.49% | ||||
| 3/21/2023 | $1,089.88 | -1.64% | ||||
| 3/22/2023 | $1,096.29 | 0.59% |
