AlphaCovaria System Performance against Market Indices and the Top 5 2019 Mutual Funds

This site demonstrates the performance of the AlphaCovaria System with a portfolio of 38 symbols, against the Dow Jones, S&P 500, and NASDAQ indices as well as the 2019 top 5 mutual funds. The period covers the duration from March 3 to April 9, 2020, which corresponds to the start date of the AlphaCovaria system being used up to the current date of April 9 when this article is posted.

It is seen from the following table that the AlphaCovaria System has clearly outperformed all 3 major market indices and the top 5 2019 mutual funds. This confirm's the author's belief that "buy-and-hold (bah) or buy-and-pray (bap) is not the best way to invest!"

AlphaCovaria System Live Trading Performance against the Three Major Market Indices and the Top Five 2019 Mutual Funds for the Duration of March 3 - April 9 2020

Update: As of May 08, 2020

Update: as of June 15, 2020

AlphaCovaria Paper Trading Performance against the Market Indices

With "robo" and "comp" portfolios

The following chart shows how the AlphaCovaria System has performed with two different portfolios: one named "robo" and the other "comp," up to April 17, 2020. These two portfolios have 25 and 33 symbols, respectively, all from the U.S. markets. For each portfolio, buy/sell signals are generated differently, with "rt" implying signals generated based on real time when market is open at regular intervals of 1 minute, while "bt" implying signals generated based on the close price of the day during the daily after-market-close backtest run. Besides, I run those two portfolios on two different machines named "mcbk" and "cvra", respectively, with exactly the same settings. Despite the various uncontrollable factors, the results are very similar between the two machines.

Assuming that all signals have been executed as generated, we see that:

  1. The performance for each case is a positive gain of around 15%, +/-1-2%. It is seen that my AlphaCovaria System has clearly outperformed the market indices of Dow Jones, S&P 500 and NASDAQ, which ended up with negative to near-zero gains of -6.27%, -3.26%, and 0.86%, respectively.
  2. Real-time signals generated about 75% more buys than market-close signals did. This is because the former may generate signals more than once during the entire market open period of 6.5 hours, while the latter generates signals only once after the market-close during a market-open day.
  3. Real-time scenario churned twice more capitals than the after-market-close scenario, as it generated more signals. However, I have implemented a buffer for buy/sell price in real-time scenario so that in. practice not all signals may be executed. I set the buffer to a default value of 1.5%, i.e., the price submitted to my TD Ameritrade accounts will be 1.5% lower or higher, depending on whether its' a buy or sell signal.

In summary, although these are paper trading results only, the comparison gives me some idea of how my AlphaCovaria System may perform when I turn it on against my TD Ameritrade accounts.