Max Drawdown less than 15%

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This topic contains 3 replies, has 3 voices, and was last updated by  Vangelis 4 months, 1 week ago.

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  • #66757

    Mark Vincent
    Participant

    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%)

    Cheers,
    Mark V.

    #66761

    logicalinvestor
    Participant
    #66762

    Mark Vincent
    Participant

    Sorry I meant in Quant Trader. What are the optimizer settings? I’ve tried SR and SRRP and nothing works.

    #67142

    Vangelis
    Keymaster

    Hi Mark,

    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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