Vangelis begins each month’s INVESTMENT OUTLOOK newsletter by highlighting the top three performing Logical Invest strategies based on YTD performance.
It seems investing equally into each month’s three currently top ranked strategies has the potential to be very robust, flexible and simple strategy. But because it is based on a variable (YTD) lookback, it would not be simple to backtest using QT. Perhaps Alex has a work around for this.
It would be interesting to compare historical returns of “Top 3 YTD” as a strategy, with the returns of the “Strategy of Strategies” which comes already coded in QT.
How hard would it be to to add a configured “Top 3 YTD” strategy to the list of strategies already coded into the portfolio pull-down of QT?
This is quite easy to model in QT, just reduce the number of strategies used in the “Strategy of Strategies” to three and use a lookback of less then 20 days to trigger monthly rebalancing or 60 for quarterly, the sub-strategies will stay with their lookback and other parameters.