Showing off – The best strategies and portfolios

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    Ivan Fisher

    forgot the screenshots ?

    Alexander Horn

    Bullying you? Never have seen me in real action, ha!

    Good time to try-out the new “thanks” functionality, see top header of each post. May other 20 follow!


    Hi Ivan I just sent them to Alex to post for me as for some reason I am not able to do it and out of time to keep trying :-) Hopefully they will be up soon! Let me know what you think !

    NB I did read the post you wrote with the excerpt of the curve review and wanted to give my humble opinion on it but Frank answered it very well. However in short having worked on Quant based stuff for a while I am really impressed with QT and how far I can go without writing a single code. All their systems are pretty logical (excuse the pun) Sure they have some secret sauce but they still run on fairly broad parameters which is the opposite of curve fitting. I wouldnt worry what the odd internet genius has to say about it! Just get on with making a sensible return! :-)


    Ha ha I can only imagine! I emailed you the screen shots can you post them up please. No idea why but they dont stick when I do it!

    Tom Gnade

    I’ve just built a strategy with CAGR 49.3%/10yr, vola 19%, draw/range 13.15%

    It uses 2 sub-strategies and #Treasury hedge with a long lookback period.
    Rebalance M
    Lookback 176
    Ranking SR
    Use top 3
    Max 80%

    The sub-strategies are very different. The first includes #CurrenciesUSD, #GLD-USD, and #BRS (M, 22d, SR, top 2, 100% max). The second includes #Nasdaq100, #MYRS ZIV-TMF, #UIS SPXL-TMF 3x (M, 96d, SR, top 2, 90%).

    The 10-year return is 1422%. I wish I could backtest through 2007 to stress test the results. ~20% volatility is pretty freaky stuff, but I just thought I’d post this for fun.

    On another note, I’ve also been trying to find an ultra-low volatility strategy with the highest possible CAGR. One thing I’ve noticed in my own investing is that I can stomach a short turn drop, even a pretty severe one, but that I lose hope if the duration of the negative return is too long. It could be easily quantified, similar to maximum drawdown, but would rather be called the “maximum negative return duration” in days. A high-volatility strategy that tries to contain that measure might actually be quite powerful, since it “jumps up” after it gets “knocked down”. It’s the psychology of being beaten down and losing hope that causes me to make bad trading decisions.

    Hope this is of interest.

    Tom Gnade

    I’ve worked on this strategy quite a bit and I think it’s getting close to the point that I will probably implement it soon. There is a top-level strategy made of 2 sub-strategies, one that is lower-return, lower-volatility, and the other is higher-return, higher-volatility. The two can be combined in a range of values, depending upon risk aversion.

    Sub-strategy 1 combines #BRS with another sub-strategy that uses #GLD-USD and #Treasury hedge (M, 30d, SR, top 2, Max/A 100%, V/A 2). Sub-strategy 1 uses the settings (M, 20d, SR, top 2, Max/A 100%, V/A 10), with 5yr CAGR 12.3%, vola 6%, draw/range -5.7%.

    Sub-strategy 2 combines #Nasdaq 100 hedged, #UIS SPXL-TMF 3x leveraged, and Ritter’s MYRS variant (see above) as a sub-strategy using #MYRS ZIV-TMF and ZIV (M, 66d, SRE, top 1, Max/A 100%, V/A 1). Sub-strategy 2 uses the settings (M, 132d, SR, top 2, Max/A 80%, V/A 0.5), with 5yr CAGR 47%, vola 19.5%, draw/range -11.9%.

    The top-level strategy at its most aggressive settings (M, 122d, DR, top 1, Max/A 80%, V/A 0) results in 5yr CAGR 40.1%, vola 16.1121%, draw/range -8.5%. A conservative setup (M, 122d, DR, top 1, Max/A 50%, V/A 0) results in 5yr CAGR 28.9%, vola 11.5%, draw/range -6.4%. Anything more conservative simply uses cash as a brake. So, for example, by changing only the maximum allocation, the following 5yr outcomes are possible:

    Max/A%, CAGR, Sharpe, vola%, draw/range%
    10%, 5.3%, 2.3, 2.3%, -1.3%
    20%, 10.8%, 2.3, 4.6%, -2.6%
    30%, 16.5%, 2.4, 6.9%, -3.9%
    40%, 22.4%, 2.4, 9.2%, -5.1%
    50%, 28.9%, 2.5, 11.5%, -6.4%
    60%, 32.6%, 2.5, 13%, -7.3%
    70%, 36.3%, 2.5, 14.5%, -8.5%
    80%, 40.1%, 2.5, 16.1%, -9.7%
    90%, 44%, 2.5, 17.7%, -10.8%
    100%, 47.9%, 2.5, 19.3%, -12%

    I wouldn’t ever use anything higher than the 80% setting since the hedging sub-strategy remains almost unused. At 80%, using the maximum available history range, starting July, 2010, CAGR 43.3%, Sharpe 2.6, Vola 16.7%, Draw/Range -9.7%.

    One thing I like about this strategy is that it minimizes the number of concurrent investments. For example, the current allocation is:

    Sub-Strat 1 (80%) (ZIV, MU, NFLX, NVDA, SYMC, TMF)
    > ZIV (80%)
    > Nasdaq 100 hedged (20%)
    >> Nasdaq 100 (80%) (25% each MU, NFLX, NVDA, SYMC)
    >> TMF (20%)

    Sub-Strat 2 (20%) (PCY, CWB, YCS, GLD, TIP)
    > BRS (80%) (PCY 40%, CWB 60%)
    > GLD-USD hedged (20%)
    >> GLD-USD (80%) (YCS 30%, GLD 70%)
    >> Treasury hedged (20%) (TIP 100%)

    1 year results with these settings are CAGR 47%, Sharpe 3.1, Vola 15.4%, Draw/Range -6.14%.

    IMHO this strategy is a beast.


    Alex posted the screen shots now!

    Alexander Horn

    Yipiyeah, seems we´re getting a nice momentum here, thanks to all!

    For those of you who want to extend backtests beyond the ZIV inception in 2011, here a short explanation. Using synthetic ZIV is not hard, see here

    Just save the data from this dropbox file as “_ZIV.csv”, and replace the “_ZIV.csv” in the QT folder with it:

    We can´t do this permanently in QT as Yahoo back-adjusts with splits and dividend, so needs to be on-the-spot. The author seems to be very reliable and runs the data daily from R, but always take synthetic data with a grain of salt.

    Caleb Mock

    I have downloaded the synthetic data and placed it into the working folder. Even if I tell QT that I don’t want to download historical data, it still overwrites the synthetic ZIV. Am I using the synthetic data incorrectly?

    Ivan Fisher

    yeah I have the same problem , I’m trying to correct yahoo data with my own data in a csv, ( aligned to same csv format) but so far I cannot get QT to read it . It either overwrites it, or doesn’t read it . It kinda looks like QT ingests all symbols on start as I see the mem going over 1G, but whatever , I cannot correct bad data at the moment . Would love QT to be able to point to a local dir of csv data and use that instead of yahoo , but today it cant

    Caleb Mock

    Happy Sunday everyone.

    The more that I study QT and ZIV, the more important backtesting synthetic Ziv data is to me.

    The Maximum Yield Strategy could be a core strategy for young investors (I’m 28) but the fear of losing everything that has I have invested in ZIV during another market crash scares me. Would the rotation strategy be able to keep us out of Ziv before a huge crash, Or would we see catastrophic drawdowns?

    I attached the .csv file that Alexander linked to. How can we configure QT to run this synthetic data?

    Caleb Mock

    I figured it out. The Synthetic data needs to be rearranged to look like any other Yahoo data file. Otherwise, QT downloads data from Yahoo. You can use this file to see how it should be conditioned.

    BTW, there would have been a 30% drawdown during the financial crisis. Now we need to build a strategy that accounts for that.

    Ivan Fisher

    ok , thanks for the info, I thought I had done this but maybe it wasn’t 100% . Not in front of my PC, but I suspect I had a column named ‘close’ instead of ‘adjusted close’, so maybe QT is looking for the exact header string.
    Will give it another crack tonight when I get home

    Alexander Horn

    I´ve opened a new topic for extending backtests with synthetic data and how to use external data sources. See here:


    Regarding the strategy “The Beast” you are working on. I have a couple of questions:

    1. Since it is a Portfolio of Portfolios, is there an easy way to get down to the Stocks/ETF’s and percentages you need to invest in? the Top portfolio just shows the sub portfolios and percentages. I assume you then have to run the sub portfolios and work the percentages which I can do, but looking for a better way.

    2. Just curious – have you put any real money on this strategy?



Viewing 15 posts - 16 through 30 (of 56 total)
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