- 04/11/2017 at 11:38 am #40316
I am using a version of “The Beast” for my IRA. My rotation is different, but the core holdings are the same.
There is a decent amount of volatility, but it’s had positive growth this month mostly fueled by a rise in treasury bonds and TMF.
The interesting thing about the portfolio is watching the inverse correlations of ZIV, SPXL, Nadaq stocks and TMF. On down market days, TMF usually rises. On up market days, TMF falls but not enough to overshadow up days.
So far, I’ve been happy with it. Remember, I’m a young man (28) with a 15-20 year investment horizon. I would not put my dad’s retirement account in this strategy because of drawdown potential.04/15/2017 at 7:39 pm #40417
[quote quote=40279]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?
1) Not that I’ve found. I do think it would be nice to have a “resolve to stock list” button that would redisplay the Current Allocation as a list of base-level symbols with their resulting percentages. It’s easy enough to walk it backwards, though. I built my own spreadsheet that I’m using to track it.
2) Yes, I currently have a solid amount of money invested using this strategy.04/17/2017 at 2:38 pm #40451
Biotech Rotation Strategy
My latest creation is inspired by the Nasdaq 100 Hedged strategy, and follows the same recipe with a few modifications. It uses the symbols currently held in the IBB biotechnology ETF. I’ve attached the symbol list as a .csv that can be imported using Stock List Manager. I created a stock list called Biotech, and included it along with IBB and QQQ in a strategy with the same name (Biotech) to view as benchmarks. The strategy uses semi-monthly rebalancing, 16d lookback, SRE 4, volatility attenuator 7. 5-year CAGR 46.4%, Sharpe 2.42, volatility 19.1%, drawdown -21.2%. I then created a strategy called Biotech Hedged, which includes Biotech and TMF with a 30% maximum allocation limit. The hedged strategy uses monthly rebalancing, 40d lookback, SR 2, max/min allocation 100%/0%, volatility attenuator 2.5. 5-year CAGR 45.7%, Sharpe 2.7, Volatility 16.9%, drawdown -15.2%.
The results are not as exciting as Nasdaq 100 Hedged, but certainly nothing to disregard. Over the 5-year optimization window, the strategy returns 655%, compared to a paltry 245% returned by its baseline, IBB. It also reduces drawdown from -39.2% to -15.2% and volatility from 25.2% to 16.9%.
If biotech is your thing, this would be a great strategy. Current allocations 80% Biotech, 20% TMF. Within Biotech, allocations are AMGN, CBPO, CELG, GILD 25% each.
Have fun!04/28/2017 at 10:11 am #40995
Just out of curiosity, what does the “E” signify in your #MYERS ZIV TMF strategy (ZIV PLUS screenshot)? How does it differ from the canned #MYRS ZIV TMF in Frank’s downloads?
Gordon05/25/2017 at 2:09 pm #41907
I am brand new to QuantTrader. In fact, I just downloaded it today but I do have extensive experience as an investor in virtually all domestic markets as well as currencies. I wonder if it is asking too much to request the .ini file for the Beast. I would love to take a look at it but do not yet have sufficient proficiency in the program to set it up myself.
Thanks06/01/2017 at 3:40 pm #42231
[quote quote=40995]Hi Ritter- Just out of curiosity, what does the “E” signify in your #MYERS ZIV TMF strategy (ZIV PLUS screenshot)? How does it differ from the canned #MYRS ZIV TMF in Frank’s downloads? Gordon
[/quote] Hi Gordon sorry I don’t think I got a notification that I had a comment…But you didn’t miss much :-) I think I just added the E to make it stand out while I was messing around with it and using Myrs as a bench mark!08/16/2017 at 7:06 am #44663
Has been a little quiet here in recent weeks!! Where are these great, second-to-none, unbeatable beast strategies and portfolios, guys?
Quantshare version 500 offers a lot of new features and interface improvements, give it a review and get your own diversified portfolio ready on the next rainy weekend: https://dl.dropboxusercontent.com/u/43364046/Logical-Invest%20QuantTrader%20versions/QuantTrader500S.zip
Give and you shall receive: Any rough strategy idea, complete portfolio or guest post article is welcome.
With more than 2000 people in the Logical Invest community this can be THE exchange everybody has been looking for, just takes some guts to press the “post” button.10/10/2017 at 8:37 am #46340
Hi – just a note of gratitude to the folks that contributed to this thread. I had been a ‘regular’ Logical Invest customer for the past year, and just upgraded to Quant Trader over the past few weeks. This post has been a source of inspiration for me, so thanks!11/05/2017 at 9:05 am #47272
would it be possible that someone could attach Tom’s file ?
I tried to replicate his strategy but can’t get it to work.
It would be highly appreciated to also see where my failure was.
many thanks in advance.11/06/2017 at 11:19 pm #4732011/07/2017 at 10:28 am #47336
Alexander please forgive the novice question but how do I get this file into QT so that I can use it?11/07/2017 at 11:35 am #47338
Just save the ini file into your QuantTrader folder, then use the “load” option from the menu in QuantTrader.12/09/2017 at 4:17 pm #48110
We received an e-mail from Michael O:
The 3X leveraged universal investment strategy returned 80% in 2008, amazing! The Nasdaq seems to outperform the S&P 500 most of the time so why not have a strategy that uses a leveraged ETF that tracks the Nasdaq like TQQQ?
Here a quick test of the strategy using TQQQ, with the same parameters as the SPXL strategy, indeed looks very good, see below. It does not beat TQQQ performance wise, but very much lowers volatility and drawdown, thus Sharpe is much higher with 1.8. Can´t go easily back before inception of TQQQ in 2010, this is something to be checked with synthetic TQQQ data.
The screenshot is from our software QuantTrader, can try out for a month for free here: https://logical-invest.com/rent-a-strategy/backtesting-software-quanttrader-free-trial/02/10/2018 at 1:37 pm #50020
I just recently found this thread and was really interested in “The Beast” strategy that Tom developed.
I was just curious how it has been working out so far with the very volatile market we are currently in. I’m also in my mid-20’s and was considering using it for my brokerage account (I would have a pretty long investment horizon of more than 10-15 years) vs. simply using a strategy with about 20% CAGR and much less volatility.
I would be interested in hearing your thoughts.
Arvind03/04/2018 at 11:22 am #50662
I’ve played with QT a bit today. Started with Nasdaq 100 strategy. It’s interesting, because we have long history of Nasdaq stocks, comparing to relatively short history of some ETFs. That said there’s survivorship bias: from what I understand QT has only list of stocks that are currently in Nasdaq 100 index.
When I run optimizer on Nasdaq 100 strategy with more than 4 stocks and SR instead of SRE I found out that there’s another “island” of pretty good Sharpe, but with Vol Attenuator around 10 (not 0.5 as in original strategy).
So I set up strategy Nasdaq 100 LowVol. The stats for 20y period, are (CARG/Sharpe/Volatility/MaxDD)
Nasdaq100LowVol 24.70 / 1.22 / 20.30 / -31.94%
Nasdaq100 53.35 / 1.40 / 38.23 / -67.45%
QQQ 7.06 / 0.25 / 28.16 / -82.97%
The period includes infamous internet bubble crash. What’s interesting is that while original Nasdaq100 has much higher CARG, LowVol seems to be much less volatile.
So then I set up hedged strategy. I’ve used Hedge strategy not TMF/UGLD, since we don’t experience volatility which justify use of leveraged ETFs. Side effect of using TLT/GLD as a hedge is that we can test strategy performance during 2008 crisis. And it’s not bad:
Nasdaq100 hedged LowVol 21.27 / 1.94 / 10.95 / -13.04%
QQQ 13.31 / 0.66 / 20.29 / -53.41%
Big improvement in terms of volatility/max DD.
Comparing with Nasdaq100 hedged from May 20, 2009
Nasdaq100 hedged LowVol 20.23 / 2.22 / 9.12 / -9.22%
Nasdaq100 hedged 46.93 / 2.23 / 21.07 / -15.33%
Parameters for Nasdaq100 LV are:
And for Nasdaq100 LV hedged
This is just some example, not a strategy I would actually use. I still have concerns about robustness of strategies created by QT, especially when strategy is created with metastrategies. Survivorship bias for Nasdaq 100 could be another big problem: most of the “internet bubble” companies are not around anymore.
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