This Stock Market Strategy Beat Tesla AND Bitcoin in 2020!

2020 yielded some of the best annual returns my Daily ETF Rotation Model has ever seen. In fact, the risk-adjusted return greatly exceeded that of both Tesla and Bitcoin, two of the most popular super-performers of the year. The tremendous volatility rung in by Covid-19 created incredible opportunity for mean reversion trading.

This strategy exploits two primary market phenomena: 1) Negative daily autocorrelation in US equity indexes and 2) Negative daily correlation between US equity indexes and US treasuries. These regimes have been very prominent since 2000 and easily exploited by simply owning stocks for the day following every down day in the S&P500, and owning treasuries for the day following every up day in the S&P500.

While this edge has been extremely profitable for the past twenty years, it hasn't always yielded excess alpha. Prior to 2000 the S&P500 displayed positive daily autocorrelation rather than negative. During this time period treasuries and stocks were also positively correlated, effectively killing the risk on/risk off trade.

This sudden turn of the century regime change raises the question, "What changed in 2000?"

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Twitter: https://twitter.com/MitchZimmer1
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Best Trading Books:

Instructional:
Trade Like a Stock Market Wizard: How to Achieve Super Performance in Stocks in Any Market: https://amzn.to/2QxbUSJ
Think & Trade Like a Champion: The Secrets, Rules & Blunt Truths of a Stock Market Wizard: https://amzn.to/3kV0ipO
How to Make Money in Stocks: A Winning System in Good Times and Bad, Fourth Edition: https://amzn.to/2ELR5kg

Stories:
Pit Bull: Lessons from Wall Street's Champion Day Trader: https://amzn.to/2WTGpqs
How I Made $2,000,000 in the Stock Market: https://amzn.to/3luwLUQ

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Disclaimer:
I am not a licensed financial adviser. The information contained in this video does not constitute trading advice. Futures, stock, and options trading involves substantial risk of loss and is not suitable for everyone. Past performance is not necessarily indicative of future results. I am not responsible for the outcome of any of your trading decisions.