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Forgive me if this is not the best way to share a strategy but I don’t know how to share the ini files. Therefore I just posted it’s contents. If there is a better way to share strategies please post. Here are my observations:
– The model holds BRS and GLD Aggressive 50% all the time even when the optimizer is set to SR, Use the top n ETF=5 and Max allocation = 70%
– MYRS and Nasdaq leaders are held about 20% of the time except when UIS TQQQ is held.
– UIS TQQQ is not held often.
– It produces 27% CAGR, 2.2 Sharpe and 11% drawdown.Questions:
– Does it seem logical that Bonds and Gold 50% of the time along with MYRS 20% produces such high CAGR? The nasdaq is only contributing 30%?
– How do I improve it?
– How do I know if it is curve fitted? It looks very stable across all lookback periods.[StrategyTitle]
0 272211 Low Turnover
[StockItems]
#BRS=#BRS,2,1,1,0.00
#GLD-USD agressive=#GLD-USD agressive,2,1,1,0.00
#MYRS ZIV-hedged=#MYRS ZIV-TMF,2,1,1,0.00
#Nasdaq100 leaders=#Nasdaq100,2,1,1,0.00
#UIS TQQQ-hedged (3x leveraged)=#UIS TQQQ-hedged (3x leveraged),2,1,1,0.00
[StockSets]
StockSet63=0 272211 Low Turnover ,1,3,StockSetStrategy63,2019-06-24,2019-06-24,#BRS@1,#GLD-USD agressive@1,#MYRS ZIV-hedged@1,#Nasdaq100 leaders@1,#UIS TQQQ-hedged (3x leveraged)@1
[StockSetItems]
StockSet63Item1=11111,StockSet63Item2,0,00000004,2,
StockSet63Item2=11111,StockSet63Item3,1,00000008,2,
StockSet63Item3=-,-,2,00001000,3,
[StockSetStrategies]
StockSetStrategy63=2,2,,11111,10,,1@#BRS,0,30,,,@#GLD-USD agressive,0,20,,,@#MYRS ZIV-hedged,0,15,,,@#Nasdaq100 leaders,0,25,,,@#UIS TQQQ-hedged (3x leveraged),0,10,,,
[StockSetStrategyParameters]
StockSetStrategy63=-3,3,60,3,-2,7,-5,7,-7,7,-1,7,0.00,0,0.00,0,0,0,0.00,0,0.00,0,5.00,1,0,0,0,0,0,0,0,0,0.00,4,0.00,4,0,0,0,4,0,4,0.00,0,0.00,0,0.00,0Any feedback is appreciated
Cheers,
MV
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