- 06/28/2019 at 2:19 pm #66757Mark VincentParticipant
Has anyone been able to create the Max Drawdown less than 15%?
I added all the systems below set the optimizer to SR and use the top n ETF=3
Bond ETF Rotation Strategy (BRS) (0% to 100%)
BUG Permanent Portfolio Strategy (BUG) (0% to 100%)
World Top 4 Strategy (WTOP4) (0% to 100%)
Global Sector Rotation Strategy (GSRS) (0% to 100%)
Global Market Rotation Strategy (GMRS) (0% to 100%)
Maximum Yield Strategy (MYRS) (0% to 100%)
NASDAQ 100 Strategy (NAS100) (0% to 100%)
Leveraged Gold-Currency Strategy (GLD-USD) (0% to 100%)
US Sector Rotation Strategy (USSECT) (0% to 100%)
Leveraged Universal Investment Strategy (UISx3) (0% to 100%)
US Market Strategy (USMarket) (0% to 100%)
Dow 30 Strategy (DOW30) (0% to 100%)
Universal Investment Strategy (UIS) (0% to 100%)
Mark V.06/28/2019 at 7:05 pm #66761Bill SadekParticipant
There is one right here: https://logical-invest.com/app/portfolio/dd10/max-drawdown-less-than-10
Bill06/28/2019 at 7:12 pm #66762Mark VincentParticipant
Sorry I meant in Quant Trader. What are the optimizer settings? I’ve tried SR and SRRP and nothing works.07/02/2019 at 1:51 am #67142VangelisKeymaster
The Max DD 15% is optimized outside QuantTrader using standard optimization techniques, https://logical-invest.com/app/portfolio_optimizer
The settings are to maximize CAGR given a maxDD constrain choosing from any of our the strategies (no % limit on allocations).
If you wanted to create something closer to this in QT, you would use the SR algo, quarterly rebalance, a long lookback period (5 years +) and a volatility attenuator that historically keeps MaxDD under 15%.
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