- 05/30/2020 at 7:19 pm #78864
Just started using QT. Using the US Market Strategy as an example where can I see the breakdown in metrics that the algo will use to determine the best allocation/ historic allocations. i.e. is it best sharpe over 30/60days, is it mean reversion, is it momentum, is it volatility adjusted?
Thanks a lot. James05/31/2020 at 4:28 am #78873Frank1 GrossmannKeymaster
It is in fact best Sharpe over 48 trading days (=2.5 months) as the volatility attenuator = 1. Strategies with a higher volatility attenuator will mainly try to reduce volatility even if it reduces the performance. The US markets substrategy has a reduced lookback period of 20 days which means that the strategy always invests in the index which performed best last month. There is also a mean reversion in the main and sub-strategy. The last 30 days of the index performance is added with a -200% weight. This means that it will normally use the index which performed bad the last days if the overall performance was equal. If you check for example the SPXL (low volatility) performance versus SPY you will see that they performed equally well for the last years, however on a monthly basis the performance was quite different, so that it really paid out to always switch to the one with lower performance.05/31/2020 at 9:20 pm #78903
Understood and I appreciate the explanation. James05/31/2020 at 9:37 pm #78904
Is this info available in QT? Thx06/01/2020 at 4:24 am #78906Frank1 GrossmannKeymaster
All parameters are in the “Strategy parameters” box on the main screen however there is no explanation available directly out of QuantTrader.
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