Comments on a Strategy Please

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This topic contains 1 reply, has 2 voices, and was last updated by  Vangelis 2 months, 2 weeks ago.

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  • #66763

    Mark Vincent
    Participant

    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,-1,7,0.00,0,0.00,0,0,0,0.00,0,0.00,0,5.00,1,0,0,0,0,0,0,0,0,0.00,4,0.00,4,0,0,0,4,0,4,0.00,0,0.00,0,0.00,0

    Any feedback is appreciated
    Cheers,
    MV

    #67107

    Vangelis
    Keymaster

    Hello Mark,
    Thanks for sharing. We will load up the .ini and take a look. It is fine to post here until we create a dedicated place to share files.

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