- 09/01/2020 at 8:09 am #79966
What are the rules behind the US Strat 2x please? I note that despite its name implying its a 2x version of the US Strat the components and weighting of hedge vs equity and very different (even accounting for some non leveraged ETFs not having a 2x brethren).
Best James09/01/2020 at 11:30 am #79972VangelisKeymaster
The best way to look at the components and rules for the strategies is to download QuantTrader and see the components, lookback periods etc.
Both consist of 2 sub-strategies. A HEDGE sub-strategy and a US Market unheged one.
But if you read the description of HEDGE vs HEDGE 2X you will see there are different ETF choices. H2xHEDGE can only allocate to Gold2x and Treasury2x while HEDGE can additionally choose allocation to TIPS and GSY (cash).09/01/2020 at 12:13 pm #79975samthechampParticipant
@Vangelis, i cant see Aggressive Corr portfolio in quant trader , it only has conse rvative core portfolio.
Please help09/01/2020 at 1:29 pm #79988Alexander HornKeymaster
Use the consolidated signals to create the portfolio signals, just input the %s by strategy:09/01/2020 at 10:44 pm #80005
Thanks for the message, I have downloaded and found the strategy, appreciated! Interesting that you chose to use an 8 day lookback vs 48 days / and no mean rev weight in the unlevered strat. What was the reasoning for that if you dont mind me asking?
Noted on the components. Overall it wont include 2x versions of SPLV/ GSY/ TIP but I would argue only the last would really one that I would miss.
Best James09/02/2020 at 5:55 am #80006VangelisKeymaster
To give credit where credit is due, Frank is our ‘master strategist’. He picks parameters based on optimazation on QT, using tools to avoid overfitting as well as using common sense and his own experience as a trader.09/02/2020 at 7:17 am #80007
Copy that, good to know. Thx a lot Frank and team! James
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