It was long time ago when I first heard about algorithmic trading. In the first moment I didn’t realize that actually I was practicing auto trade months before the trading algorithms were a common topic in economic programs in radio and TV.
I have also my own robot and its performance in almost last year and a half has been very successful. I write this post to tell you the last asset allocation decision of our trading algorithm.
But let me tell you only some words explaining its history. The first year we only used our trading algorithm to make the asset allocation for 2016 that was done during November 2015 just considering long positions in global equity stock markets.
During the summer 2016 the trading robot was upgrade to facilitated trading also with sort positions and we amplified our possible portfolio also to fix income financial markets. In that moment I also decided to make the trading algorithm working more frequently and react to the movement of the financial markets prices changing the asset allocation.
The results are shown in the chart above. During 14 moths of algorithmic trading the performance has been an increase of 15,4% value of investments that compares with an increase of 8,6% of MSCI World (MXWD) . For sure MXWD is not the best index to compare our trading algorithm considering our current asset allocation shown below. However, until we find any other that could fit better, we have used MXWD considering as one of the most challenging global equity index.
Asset Allocation at 24 of January of 2017
| Equity USA | Equity Europe | Equity Emerging Markets | IG Fix income USA | HY Fix income USA | IG Fix income Europe | HY Fix income Europe | IG Fix income Emerging Markets | HY Fix income Emerging Markets | |
| Weight | -16% | 48% | 24% | 0% | -14% | 0% | -55% | -8% | -3% |