In my previous post I introduced the main concept I use to simulate the portfolio of strategies. In this post I will illustrate the mechanics of this approach.We will use a simple portfolio of 3 strategies that are described in this blog: WTAA, MEOM and DVI strategies. We will use Amibroker 5 steps to get to the result.
Simulating a Portfolio of Strategies in Amibroker (1/2)
An important element in my vision on running my personal trading business is to diversify across multiple strategies. So far I have been focusing on development, running, automating & monitoring individual trading strategies however I am turning my attention now to simulating the effect of running several strategies next to another.
Correlation of Strategies
Today’s post is a follow up of my previous post Looking at Correlation. In the first post I looked at correlation of the 7 ETFs that are used in the WTAA strategy that is one of the featured strategies of this blog. I provided Amibroker code to create a correlation table and code to create a correlation indicator.
In this post I will be exploring the correlation between the 3 strategies described in the blog: WTAA, MEOM and DVI strategy.
A post that has been on my to-do list for some time is analysis of the MSR indicator in a trading strategy. It is the follow up post of my implementation of the MSR indicator with my self-built Median() function in a dll for amibroker.
The analysis is built up in 4 steps:
1. Application of the MSR indicator to my broad universe of 25 ETF’s
2. Application of the MSR indicator a portfolio of the 25 ETF’s
3. Comparison of the MSR indicator as trend filter with other filters
The post is rounded up with the Amibroker code – QD –
“Go-In-Cash” follow up
This is a short follow up of yesterday’s post. A reader asked what it would look like to short the Short/Mid/Long term Bond ETFs at the end of the month. I have made a quick model to simulate this and here are the results. Not too fancy I am afraid. Changing the exit day day … Read more
My thoughts on “Go-In-Cash”
Most of my systems tend to be market-timing strategies. That is, they enter the market and usually exit within a couple of days. This has the benefit of having limited exposure in the market and during non-trading periods the capital can be used for alternative strategies/investments. However, I have noticed that even when running several strategies, I am in cash a significant moment of the time.
My main worry is that during those periods, I do not generate a return on my capital. Yes, theoretically one could be getting some interest on their savings account, however as I need my cash to be ready-to-go-in at all times, I need to keep it at my IB account. And IB does not give interest on this account. So I started to play around with the thought of moving into a low risk asset class as an alternative to moving money into a savings account (which in reality I am not able to do – it takes two days to transfer money from IB to my Dutch savings account and another 2 days to get it back).
Having a preference for trading ETF’s, I ended up with the idea to go long in a fixed income ETF during the times that my strategy is in cash. The ETF’s that I have selected are SHY (iShares Lehman 1-3 Year Treas.Bond), IEF (iShares Lehman 7-10 Yr Treas. Bond) and TLT (iShares Barclays 20+ Yr Treas.Bond).
Strategy 1 (WTAA) – Gold included as 7th asset class
Inspired by the series on Tactical Asset Allocation by Michael Stokes, I have run some tests to include Gold (GLD) as an extra asset-class in the strategy. This brings the selected ETFs to a total of 7: EEM, EFA, GSG, IEF, SPY, VNQ, GLD. The code of the original model has not changed. Below is … Read more
Strategy 3 – DVI System
The 3rd strategy that I will be tracking in this Blog is the DVI strategy as described and reviewed in post1 and post2. The strategy trades a universe of 26 ETF’s. The signals of this system are generated daily. At the moment my semi-auto setup does not yet allow for daily uploading to my blog. I … Read more
DVI system (2/2)
In the second post on the DVI system, I will explore some effects on portfolio trading this strategy. In the table below I have summarised the performance results of the various stages of the system as well as the top 3 performers of the DVI system as I left it in the earlier post.
I like this strategy as it has been constructed based on simple rules, it works across a broad set of different trading instruments and it has shown a decent performance in the period 1/1/2003 – 1/8 2010 without optimizing the parameters. So what would be my way to trade this strategy? Would I invest in the best performing instruments or in the top 3 or …? In trying to answer these questions, my view is that we are stepping into the domain of strategical asset allocation and portfolio management. In an earlier post I emptied my head on these subjects and decided to start trying out some stuff. So here goes my first experiment.
Portfolio of Trading Strategies – my thoughts
In the first post of the DVI series, we concluded with a simple system that performed pretty well in a 26 diverse ETF universe. In the past I have found more strategies with similar or performances, and then the real challenge (and fun) for me starts. How do we trade this strategy? To further pounder … Read more