Its very likely I’m going to rebalance later today. I discussed in August of last year, how I’m open to mid week rebalances when a position moves more than a 10% as it provides a bit of bridge between the weekly portfolio and a more frequent rebalancing schedule. Well as of now (about 11:00 AM Eastern), stocks are calling for 18% less of an allocation. So I might rebalance later today.
I’m loath to do the rebalance in the morning, as the day’s data is incomplete. If there is a rally, even just half a rally in the afternoon, the numbers will change, and It may not be warranted any longer. But if it holds around this 58/14/18/10 its at now, I’ll re balance it near the close.
I’ll update this post either way if I do.
End of Day Update:
I did rebalance similar to what the day ended at below. Getting the right allocations at the end of a volatile day is sometimes tricky. One of those things that you don’t notice in a back test and only comes out in live trading.
I stated last week in the footnotes that the other side of the coin to the prior 5 days would show up one day as the more concentrated portfolios sometimes come back to bite. Well today, was that other side. Worst day I’ve personally experienced in the strategy, down over 2.5%. But there are even worse days in the backtest, so I knew this kind of day was out there. I wish Geometric Balancing was refined enough to prevent these kind of days, but its not. Yet.
It’s unlikely there will be a need to rebalance again tomorrow. I certainly hope there won’t be a reason to rebalance tomorrow. If the allocations move 10%+ further, I’ll make another post. On September 3rd, the portfolio rebalanced to:
38% SPY , 22% TLT , 19% GLD , 20% CASH
*All investing strategies come with the risk of loss, including this one. This portfolio may not be appropriate for your investment goals and requirements, and it is not investment advice.
It should not be assumed that recommendations made in the future will be profitable or will equal the performance of the securities in this list.
If you’re still trading at IB, you can use a market-on-close (MOC) order to queue an order any time during the day, up to 15 minutes before the market closes. MOC orders are filled at the settlement price in the closing auction. You get the the daily close price without the ‘worry’ of trading in the morning.
It’s not the actual trading a the close that’s an issue, is the fact that the portfolio can change quite a bit when the the market is volatile from morning to afternoon. You can see from the allocations listed, it moved another 20% after I posted in the morning.
I see your allocations add up to 100%. What’s your leverage? Are you showing it somewhere?
If there is cash, then there isn’t any leverage, so it’s not shown.
Thanks for the reply! Have you ever used leverage since you start the blog? I did not check all your posts but I don’t remember I see your leverage in any of the posts..
Sorry, I misunderstood your strategy when I suggested MOC orders. I was thinking this was a daily strategy that backtested and traded EOD prices. I didn’t realize there was an intraday discretionary timing aspect.
There’s not an intraday discretionary aspect. Trades should be at close. But the preferred trade will also change up until that point too.
Yes, but I’m not writing about it. I mentioned it in an early July update.
Any consideration given to use QQQ vs SPY?
Yes, and It may be a better fit than SPY since it has more vol and a higher arithmetic return historical. I haven’t gotten in depth with it yet though. But since it’s more volitile, the ratio of the allocations would be different.