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max 50% is a good investment. As this strategy can invest a max. of 60% in equity, like this your maximum loss on the equity side would be 30% of your capital if an index would go to zero. This would be a safer way to invest than investing 100% in the unleveraged US Market strategy.
We will publish the 2x leveraged US Market strategy which uses UGL before end of this month. Due to the ability to switch between US indexes, this strategy has a higher Sharpe than the old 3x leveraged strategy.
You can only close existing UGLD positions with this ticker. They keep this until all UGLD positions are eliminated.
Regards FrankBy the way we will publish the 2x leveraged US Market strategy before end of this month which can switch between 2x leveraged Nasdaq SP500 and Dow which helped during the 2000 Dotcom crash
That’s a good strategy! Well hedged. There is however some bias in choosing the Nasdaq TQQQ ETF only which started just after the Dotcom crisis in 2003. The unleveraged Nasdaq QQQ lost 80% during the Dotcom crisis from 2000-2003 which translates in a near total loss for a 3x leveraged Nasdaq ETF investment. All would depend now if during this time the strategy would have chosen Gold and Treasuries to avoid this loss.
– You can hedge by selling Forex USD versus Euros (EURUSD).
– You can also use the Futures on these ETFs which eliminates the currency risk. There are synthetic Futures for nearly every ETF.
– You can use real Futures like ES, GC, UB ….. instead of ETFs.
– You can sell options with a long expiry. For example a Jan 2021 put option on TLT. The higher the delta the closer the put option behaves like the underlying. Option selling however is nothing for beginners. I would sell equity options only with a high (0.7) delta and minimum 100 days expiry.You can always switch the pie chart to the strategies view and then you can click on a strategy to see the selected stocks of this strategy. If two strategies select the same ETF then the allocations are just added.
The gold hedge uses a 3 month lookback period. The first 2 months of this period was an up and down and only in June it recovered nearly 6%. After such a performance some profit taking (=mean reversion) is normally the case and as there is a mean reversion rule in this strategy it locked in profits for a month going to GSY.
This rule has a high probability to succeed but I agree, this month staying invested in Gold would have been better.It looks what has been the best allocation with the highest Sharpe value during the last 48 trading days. This allocation will be used for the next month. As equity volatility or risk is still high, the hedge will have a higher allocation than equity.
Yes, the setup is basically the same. Both allocate in the same hedge with 40%-60% and both switch between a low volatility and a aggressive selection of stocks. The parameters are slightly different but this does not change a lot the character of the strategies.
You can just add any ETF you do not need and then rename the csv file in the data folder and in the QuantTraderUser.ini file. Then you load the csv file into excel and replace the prices wit generic prices so that you get a 7% return per year. Now you can use this ticker.
The disadvantage is that going forward this generic ETF will not be updated. You would need to do this manually within Excel. So, this is only a solution for single backtests.You divide 30k$ by the SPY price and by 100: 30’000$/319$/100=0.94
So, this means that at delta 1 you would have to sell 1 put option. If you sell a delta 0.7 put option you are slightly underinvested but you get the time value of the option so that’s ok as you need to be aware that if SPY goes down you end up quite quickly at delta 1.
I would sell put options about 60-90 days outQuantTrader does not get any pricing data since July 2. for ZIV and UGLD due to delisting. Strategies which use UGLD as a hedge do not work anymore as QuantTrader needs to be able to calculate the Sharpe of the UGLD-XXX pairs.
Please download the last version of QuantTrader which has updated strategies without ZIF and UGLDSure it would be possible to optimize a portfolio so that it only does small adjustments, but if you for example use a strategy like the US market strategy, then the simplest way to reduce taxation would be to use Futures or options instead of the ETFs as they are 60% taxed as long term capital gain and only 40% short term gain.
I will do an article about an option based version of the Permanent Portfolio strategy later this month.I have an IB an Saxo bank and a Swissquote account which all allow to trade these US ETFs and stocks
We will discuss this but we need to check this strategy more thoroughly before we publish it.
Regards FrankIt’s quite complicated but I am sure I can have the new version ready before end of July
Regards FrankI constructed a US Market strategy using 2x leveraged ETFs for SP500, DOW, Nasdaq, Treasuries and Gold. The result is impressive and even better than the old 3x leveraged UIS strategy. This would maybe be a good replacement for the old strategy. Here are the 3 zipped ini files which you have to copy in your ini folder.
https://www.dropbox.com/s/qrgxplf52uoz77g/US%20Market%20Strategy%202x_20200707122841_LI.zip?dl=0We don’t have such a strategy for the moment, however it would be quite simple to do it. It’s probably a good idea to construct a new strategy which can switch between SPY, DOW and Nasdaq100 using the 2x leveraged ETFs.
With 3x leveraged ETFs we have the problem of the delisting of the only 3x Gold ETF which make the strategy difficult to use for most of our subscribers.You can use the parameters “Mean reversion weight” and “Mean reversion period %” to invert the performance of the stocks. Set “Mean reversion period %” to 100% so that it uses the full lookback period and now you put the “Mean reversion weight” to -200% which means that it substracts 2x the performance from the performance.
This way +2% will be +2% – 4% = -2% and -2% + 4% = +2%. This way the worst stock will be on top and you can do a normal ranking and buy or short these bad stocks. I am not sure however that it works well as these stocks could do big upward jumps because of mean reversion.Regards Frank
It is the same strategy as before the only difference is that you need to sell the VXZ ETFs instead of buying. The performance is slightly better as VXZ has not the rebalancing losses of ZIV. I am sorry if you can not short with your broker. Then there is no way to execute this strategy
You have to buy 3x the amount but most probably you have a margin account. I checked on my IB account and if I buy for 100’000$ underlying gold then I need about 18’900$ margin doing this with GLD. With UGLD I need about 31’000$ and with XAUUSD (Forex London Gold) only 4’700$. So the 3x leveraged ETFs require even more margin than a 3x bigger GLD position. Best is by far Forex Gold which has very small spreads and trades nearly 24h.
So the change to 3x GLD should not restrict investors with margin accounts.You are right .. you just have to add a factor 1.5. The problem is that QuantTrader will only apply this factor to the ETF prices and not to the investment. So if it tells you to buy 10’000$ of UGL, then you have to buy 15’000$
Yes, we extend the history of these relatively new ETFs by simulating them using the underlying GLD,TLT and SPY or even by using identical mutual funds which exist since the 1980’s. As you can not simply apply a 3x factor due to higher fees and rebalancing losses the factor is calculated so that we have the best chart match. Normally the factor is slightly below 3 for example 2.84x. These extended simulated price ranges are saved as cor files in QuantTrader.
You can mix different leverages. I tried the strategy using UGL instead of UGLD and it works quite good, it is however quite dangerous that you create an unbalanced strategy which profits only from one asset class which performed well during the past 10 years.
Don‘t forget that the most liquid with small spreads and low fees is forex gold XAUUSD. Also it is traded nearly 24h/day. Normally it is no problem to buy 3x the UGLD $ amount because of low margin requirements.
Anyway there is no problem to just buy 1.5x the UGLD dollar amount of UGL to have the same effect. Also you can just buy 3x the amount of forex gold XAUUSD to replace UGLD
There is not really a replacement for the 3x leveraged UGLD. We may switch to a 2x leveraged version of the leveraged UIS strategy using SSO, UGL and UBT. This works well and the ETFs are very liquid.
The MYRS strategy could be continued using VXZ short positions instead of ZIV and UGL UBT as hedge. This works even a little bit better than with ZIV as VXZ has not these rebalancing losses of inverse ETFs, but shorting ETFs is probably not possible with many trading accounts.
You can keep your positions until end of the month. We will inform before the rebalancing on how we will continue.
Regards FrankMost of the time backtest results are better using monthly rebalancing. Also quarterly rebalancing is not so good because the lookback period of many strategies is also a lot of times around 3 month. Rebalancing quarterly would result in bigger rebalancing trades. Using monthly rebalancing you do more smaller adjustments. Trading costs will be very similar. Three month is a long time, too long if markets begin to go down.
Using QuantTrader you can switch to quarterly rebalancing to check the backtest results.You don’t have really a downside crash risk for GLD and TLT. The delta 0.7 for SPY options limits your downside delta increase and risk. You can also sell such put options with 200 and more days of expiry but this will reduce a lot your premium income. In a real crash the risk is about the same as both options will go to delta 1.
I am basically doing the permanent portfolio strategy using options instead of ETFs.
For SPY I sell delta 0.7 put options 30, 60 and 90 days out. When the first is about to expire, then I roll back. Delta 0.7 is very similar to a long position. I use d0.7 to minimize risk in case of a sudden crash. In such case my delta can increase only 30%. I use ES Future options instead of SPY. If SPY goes down, then I roll far out with the goal to build up a vega position which captures as much volatility premium as possible.
For TLT I sell delta 0.3-0.5 put options with a very long expiry. At the moment I have sold the Jan 15, 2021 put options.
For Gold I do the same as for TLT. It is important to go far out with the expiry, so that you do not have to adjust your delta $ position every day if the underlying does big moves.
If delta increases to much, then I buy back a put and sell a call with the same time value. The goal is to only do trades with a negative price (profit).
If the underlying goes up again, then I would open new position in march 21 or even Jan 22.
This way you can make an additional 10% per year without increasing your risk.
The whole thing is not so easy to execute and I needed several years to manage successfully bigger price moves. The most important rule is to only use options with an expiry of at least 200 days. Second rule is not to sell low delta SPY or ES puts as they will increase delta very fast in a crash.The Sharpe in the ranking log is using an annualized performance. So if EBAY had a 9.481% performance for the 16 trading days, this would sum up to 316% for the 252 annual trading days (=1.09481^(252/16)-1). The 18.846 Sharpe is 316 divided by volatility. As we use this only for a ranking we would in fact not have to annualize. The ranking would be the same but annualized you can compare it better to other Sharpe values. It is clear that we get extremely high Sharpe values if a stock performs nearly 10% in 16 days.
Finally, we do not rank directly by this Sharpe, but by the attenuated Sharpe which can give a higher weight to the volatility. This Attn Sharpe is only used internally to rank the stocks.You are right, the description is still the old one. We forgot to update it when we updated the strategy. The strategy switches between Gold and US$ „cash“, so GSY is a sort of cash with a 2-3% yield. GSY is composed mainly by US$ denominated treasuries and corporate bonds with less than one year of duration which gives it a very low cash like volatility
All parameters are in the “Strategy parameters” box on the main screen however there is no explanation available directly out of QuantTrader.
Try EOD as data provider. They have most European ETFs. You can search first on their website https://eodhistoricaldata.com/ to find the correct name and extension.
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.
I am doing the “Enhanced Permanent Portfolio Strategy” however instead of buying GLD, TLT or SPY I write LEAP options on these ETFs. GLD and TLT about delta 25 put options and SPY d75 put options. Instead of GLD and SPY I use Future options on GC and ES. This generates constant income from premium decay but it needs also more frequent small allocation changes as these positions change delta on bigger moves of the underlying.
Most portfolios will be rebalanced once per month. You can contact us by phone if you need advice. Please email us first with the problem ([email protected]) and we will answer and tell you the phone / skype / whatsapp number to contact us. We had to remove our personal phone/email from the contacts page because of spammers.
20 trading days are about equal to a month. You can use less trading days and still rebalance only every month. A backtest will show you if this makes sense. Such a strategy will adapt very quickly to market changes. This will however also result in many sell low buy high losses for all the small V shaped recoveries.
You can also set the strategy to rebalance mid month (can be any day) or weekly or every two weeks on Monday mornings.I think even with very low or slightly negative interest rates, TLT or TMF are still an efficient hedge because of their negative correlation to equity. But there may be long periods where they will not perform well, so we really need strategies which adapt Treasury allocation to the market. However because of negative correlation it is most of the time the better hedge than going to cash
If you go to our Hedge strategy https://logical-invest.com/app/strategy/hedge/hedge-strategy and then go down to Allocations by strategy, then you see that this strategy is composed by a defensive Treasury bond strategy and a Gold strategy.
Here is the link to the Treasury substrategy: https://logical-invest.com/app/strategy/treshedge/treasury-hedge
You can invest also only in this strategy which contains only defensive bonds in contrast to the Bond Rotation Strategy which also invests in equity like bonds.I have just uploaded a new 525S version which fixes the Tiingo Api problem. It should download if you start the old version.
If the decimal , is the problem, then you can open the “Region settings” and then additional settings until you see the number settings where you can change the decimal separator from , to .
I checked myself and I could easily convert into columns using the data conversion tool. I can imagine however that on your system you have a comma (,) as decimal separator whereas we in Europe prefer the dot (.). This makes the data conversion more difficult. I will check if we can change the separator to something else like the Tab or ;
After the Oct.-Dec. 2018 correction we did quite an important change to the strategies. Instead of letting the strategies freely allocate in the best ETFs we in fact imposed a 40%-60% hedge composed of ETFs with a negative correlation to equity. We did this as more and more corrections came out of nothing during a 100% bull market, so that there was no time to wait for the next rebalance date to include a hedging ETF (Treasury or Gold). We did this for all strategies but not for BRS and BUG as they did do very well since years and we did not want to change a winning team. We should have also done it for these two, as they did not have time to switch early enough during the Corona crash.
So if you want to know how a strategy would have really done in the past, then you can look back to Jan. 2019 but not longer. BRS and BUG are new updated strategies (see blog). Before 2019 it is just backtesting telling you how the actual strategy would have done during previous corrections. It would made no sense to have a lookback based on the previous versions of the strategies which could go 100% long. For the 3x leveraged UIS strategy we lowered volatility for 2020, which resulted in a 30% lower return for 2019 in the chart (real return was 80% now it shows 50%). This shows also that in fact pure return is for us less important as to reduce drawdowns.
All modern “always hedged” strategies did very well during the 2019 bull market and also during the corona crash. This was really a sort of successfully passed general trial and it is also a good sign that also going forward the probability of a good return at reduced risk could be achieved. We all are personally invested in our strategies and we do everything to reduce risk while still getting a good return.For 2020 we did make some changes to the strategies. The most important was that we changed the hedging strategy to invest always in 2 instead of one ETF. Now as this strategy is a part of most of our strategies it will change the backtested performance which you see in the charts. The real performance reported is correct. The 3x leveraged strategy was also changed to reduce risk/volatility. In the backtest this reduced the last year performance from real 80% to backtested 50%, however over 10-20 years the risk weighted return is better and I think that this change was already helping now during the Corona crisis.
We also had smaller strategy changes like two sector discontinued ETFs. This makes that in the backtest these will also not show up anymore.We need to check why we have this problem. In the meantime pls. use EOD to download the data
Regards FrankTreasuries have been available also in the old type of strategy however the change between bull market to crash has been too fast, so that the rebalancing could not switch in time to these hedge ETFs.
I will post comparative charts of the old and new strategies today.
Regards FrankYou can also trade directly the forex currency pair. The name is something like USDAUD. Make sure you trade 2x the CROC value an you don‘t inverse the trade as sometimes it‘s also a long currency pair AUDUSD
The Bond Rotation and the BUG strategy are the last strategies of our old type which could freely select ETFs. They performed well in the past years, so we did not change them thinking that it is best to „never change a winning horse“.
All other strategies are split in a equity and in a hedge strategy with negative correlation and you normally always have at least a 40% hedge installed.
With BRS we have been in the situation that it was invested 100% in equity like ETFs and the crash came just to fast before rebalancing could change this situation.
We will update both strategies by end of the month so that they are always hedged. The change will take place for the next May 1. rebalancing.
Regards FrankNo. It works only under Windows but here are some quite complicated options: https://www.howtogeek.com/173353/how-to-run-windows-software-on-a-chromebook/
The portfolios are composed of a fixed allocation of LI strategies. To setup a portfolio in QuantTrader you have to go to the “Consolidated Allocations” menu where you an setup the same allocations. Under “Allocations” you can see the actual calculated allocation for the last available closing.
The buy by tranch approach can be simulated if you dont allocate to all your capital (say 100k$) but to 33k$ at the beginning of the month and so on…This has probably something to do with the different date formats between US and Europe as we do not have the problem here, but anyway we are currently looking into it.
I tried the date range from 12/31/2015 to 12/31/16 with QuantTrader524S and I did not get an error with all our LI strategies. If this happens with a self made strategy than it would be helpful if you would zip and email me your QT folder to [email protected]. This error may be linked to a special set of ETFs.
I wish you happy Easter
Regards FrankI am not able to replicate such an error. I just tried about 50 date ranges without getting a single error. Can you give me a date range which results in an error.
Yes, this normally happens automatically in a crisis as the strategy looks for the bond pair with lowest volatility. However this time the bond liquidity squeeze came too fast and such very fast events can in fact only been handled if a fixed allocation of Treasuries is always in place. This increases security, however it also lowers return during periods where Treasuries did not perform well, like the 3 years from 2016-2018. During this period Treasuries like TLT lost and BRS did manage to achieve a 30% performance by excluding these rate sensitive Treasuries. But for us it is clear that capital protection is more important and so we will also install the permanent hedge for BRS. Personally I also think that a “black swan” event like a huge nuclear or biological terror attack in a big city is possible and if this happens over the weekend, then the stock market could well open 30% lower on Monday. There would be no time to install a hedge in time.
We are also very unhappy with the BRS performance. This is one of our oldest strategies performing well since years even during market corrections like 2008, so we did not want to change a winning horse.
The difference of this older strategy is, that it selects freely between bonds and has not a fixed hedging part. Even in 2008 this worked well however this drawdown was much steeper and bonds worldwide were crashing because of missing market liquidity. This is a sort of „black swan“ event for bonds which never happened before during our 20 year backtesting horizon. Now we learned the hard way, but we certainly will adapt also this strategy, so that it is always hedged with US Treasuries and something like this does not repeat in the future.BIL is like cash and very safe. It returns only about half of GSY but instead of buying BIL you can as well just leave your money on your broker account. With IB for example you get nearly the same interest rate as for BIL and you avoid the trading costs of the ETF.
GSY lost due to liquidity problems but I am quite sure these losses will disappear with volatility going down. Many of these Treasury ETFs are still trading below its asset value, which is like a free lunch for bigger investors in normal times, but at the moment many have other priorities.It is only approximately the same as the 3x leveraged rebalance every day so that you will have exactly the 3x daily performance. In a sideways market you will lose slightly because of rebalancing losses, however if the market will go up over a longer period, you will generate more profit due to daily compounding. Also if the market goes down a lot, you will lose less as your loss is limited to the value of the ETF which is 3x smaller than a similar position of unleveraged ETFs.
I think that such 3x leveraged strategies are much safer than unleveraged strategies if you do not leverage your portfolio. This would mean that you only invest 1/3rd in a 3x leveraged strategy and have 2/3rd in the money market where you get normal interest.I also did not find an European ETF to replace ZIV, however there are many ways to replace the 3x leveraged ETFs for example with “Faktor-Zertifikate”. I checked myself and I see that I can trade ZIV here in Switzerland on my IB, Saxo and Swissquote platform. So perhaps it is just a question of Broker.
Making use of the high volatility I would sell a Jan 15 2021 USO put option with strike 4$ at about 90cent.
This is about a 20% premium!!!!! If price goes up you get this premium if the price goes down you will finally get the USO stock for 3.10$. one put equals 100 stocksA good property of 3x leveraged strategies is that they automatically reduce equity exposure during such a black swan event. The 3x leveraged SPXL lost about 72% this month but the 3x leveraged TMF is still about 15% up. Starting this month you had 60%Treasuries, 30%Equity. At the moment your allocation is 16% Equity, 69% Treasury. At the start your Treasury/Equity ratio was 2/1 now it is more than 4/1. This means that at the moment you have a very defensive allocation. If the correction continues and equity goes down and Treasuries up, you will make much more money on the Treasury side while your downside on equity is limited. It could well be that the strategy manages to pare the previous losses until end of the month.
Still working with leveraged ETFs can reduce your total risk considerably if you invest only 1/3 of your money and keep 2/3 as cash. The 3xleveraged strategy lost 21% because of the bad performance of the safe havens Gold and Treasuries. Translated in a 1x leveraged investment this is only 7% down.
If you want your strategy go to cash because of volatility use the volatility limiter in Quanttrader.The hedge in MYRS is TMF the 3x leveraged Treasury ETF. ZIV is an equity like ETF and goes up and down with the market. Long volatility is in fact a very good hedge, but it can not be used as a permanent hedge as it looses value 95% of the time because of premium decay. You really have to time such a hedge manually.
For most people I think it is best to wait until volatility comes down to more normal levels and the markets become again “investible”. TIPS or SHY makes no sense with yields near zero.
Personally I think the only strategy which make sense is to invest in equal small amounts in SPY, GLD and TLT but not by buying the ETFs but by selling ATM puts. One put will account for 100 ETFs. At the current volatilities you can buy the ETFs like this with at least 10% discount on today’s prices. If prices stabilize and the volatility will go down, then you will get the premium of 10% which is not bad. If prices will go further down you will end up with the ETFs at expiration of the puts. It is important that you sell far out options like Jan 21 or June 21. You will need to check the spreads and set limit orders in this market.
Also in no case sell too much puts. If you would buy 100 ETFs then sell only 1 put option even if you easily could sell 10 or even 100 with your margin. If you do not know anything about options, then it is probably better to stay with cash.We did not backtest the strategies using VIX as a trigger for investment, but if you have Quanttrader you will see that there is a variable called „volatility limiter“ which scales back the investment so that the portfolio volatility does not exceed a given value. For example if portfolio volatility is 40 and you limit to 10, then you would go 75% into cash. The problem is that this is something which is normally only used when you rebalance the portfolio. You can however also see the daily actual allocation which will be reduced using this factor on a daily basis.
Timing however is very difficult in a crisis like we have it at the moment as the brake down of hedge correlations was very abrupt.
I will however try to include VIX in Quanttrader to backtest if it can be used as a emergency exit.It may be wrong at the moment to liquidate the hedge (GLD or TLT) as for example TLT was trading last Wednesday 5% below the value of it’s assets. GLD is most probably also trading below its assets. This at least should recover once liquidity comes back to the markets.
It may be wrong at the moment to liquidate the hedge (GLD or TLT) as for example TLT was trading last Wednesday 5% below the value of it’s assets. This at least should recover once liquidity comes back to the markets.
In the forums I was telling that “I personally” close all my positions several times as it makes not sense to try to make money if volatilities of stocks, gold and treasuries are at these levels, however we are just not allowed by law to give a financial advice in an email like telling our subscriber to close their accounts. I can only reply to forum questions and tell what I do and I think.Gold, SP500 and Treasury volatility is higher then it was in 2008. Many investors get margin calls and have to sell what ever they have inclusive Gold. It is always better to sell everything and just wait until the market normalizes and Volatility is again lower than 20.
I would never rebalance early after a move, because this way during a big drop, your SPY losses are limited and on the other side your profits get a boost.
SPY dropped 19% with SPXL dropping “only” 50% not 3×19%=57%. TLT was up 17.8% and TMF 60% which is more than 3x. It is this difference, which helps the strategies a lot during big moves.You can save the performance log of a strategy as a csv, and then you add all monthly performances exactly as they are written in the second last column. This will give you the return without reinvestment of the profits.
With reinvestment you would rather multiply the monthly performances. To do this you have to add 1 to each performance. 2% = 1.02Yes, until now the hedge seems to hold, but Treasuries will not rise forever like this would be possible for Gold. It seems to me that they are extremely overpriced and a much lower rate is already priced in.
Regarding: PCY and TIP made gains, but strategy made of these two lost?
This looks strange! Can you please zip the ini folder and email it to me at [email protected] so that I can try to replicate this behaviour.
Regards FrankI was just looking at ^VIX for the SP500, ^GVZ for Gold volatility and ^TYVIX for Treasury volatility.
Yes I personaly think that it is always better to wait until volatility calms down and is at least below 25, but this is really not something “logic”. Many times if the correction is short lived it is better to stay invested. Most political issues are short lived and result only in V shaped corrections. A virus however can not be removed one day to the other.
Treasuries have probably already priced in one further FED emergency rate cut but you never know how the virus will spread in the US. If it gets much worse then the FED can do some more cuts.
Anyway volatilities of all three asset classes topped 10-20 year maximums. In such situations it is pure hasard if you make any money. I personally prefer to stop investing until everything calms down.We did a lot of tests trying to optimize Quanttrader strategies using the Sortino ratio, however the results have been very poor! The problem is that for the Sortino Ratio strong up-moves are just positive Events, which results in more buying of an asset. Because of the mean reversion however this is normally not a good strategy. A strong up-move is equally a risk and you better keep your allocation constant or even reduce it. using the sharp ratio works much better!
Do you use the last normal downloaded version of our website? If yes, make sure you install the QuantTrader folder outside of the normal Windows Program folder. For example in the normal Documents folder. The program folder is write protected since Win10.
If you did change the strategies or make your own strategies then please send me your zipped “ini” strategy subfolder per email to [email protected] so that I can replicate the error.If you traded Futures, then you can for example trade our Enhanced Permanent Portfolio strategy
https://logical-invest.com/app/strategy/pp/enhanced-permanent-portfolio-strategyYou just have to replace SPY by ES Futures, TLT by ZB Futures and GLD by GC Futures
The problem with this kind of hedge is that it really only worked in 2008 when we had a very long market correction. With all other corrections you always lose money as you are always to late installing this hedge and you end up holding it in the fast recovery’s after these corrections. In general it is nearly impossible to make a profit shorting the market unless you really time it precisely. You just have the market working against you.
I think that it is probably better to protect your portfolio by buying put options when volatility is low (<11) and when these are cheap.Our EOD data provider seems suddenly to have problems with splits resulting in huge jumps in these 3x leveraged stocks. I have reported this historical data error. Using QuantTrader you can use Yahoo or Tiingo for better historical data.
I will do some correction files for these data errors. In the meantime you can use Tiingo as data provider. They have correct data
Another way to avoid witholding tax is to sell delta 50 TLT put option at least 6 months out, which is similar to a long TLT position. Advantage is that you collect premium. Disadvantage is that your delta $ exposure changes with bigger TLT moves and so it needs sometimes readjustments.
A way to avoid witholding tax could be to buy UB or ZB futures instead of the ETFs. I use ZB futures and once you roll from March to June you get the further out Future about 0.7% cheaper because of the dividend. Disadvantage is that one Future is about 150’000$, so it is not something for smaller accounts.
There is a way to capture upward volatility by using options to construct for example a SP500 equity long position. For example now as volatility is low you can construct a calendar spread with a positive Vega. When volatility is high, then you can change your strategy and sell a put option right away so that you profit from falling volatility.
Best is to make a copy of your old 518S strategy folder and then just replace QuantTrader518S.exe with QuantTrader520S.exe.
You can also just copy single strategies from the ini folder to a new QT version. The strategies look like BUG_20191212110548_LI.ini. If you do this, then you also have to copy all substrategies used by a strategy.
The screenshots (like: UIS SPXL-hedged (3x leveraged).png) go to the data subfolderThese are the performance numbers of the actual strategy.
Sure the old strategy did extremely well last year as it could go up to 70% into one single asset and switch 100% between Gold and Treasuries. This however works only well if the market is not volatile and these assets just go up. If you check the 3 year performance, then you will see that the new strategy did much better with much less intermediate drawdowns.
If you think the year 2020 will be another year like 2019 with the S&P 30% up, then probably the old strategy was the better one. However if the market just goes a little bit more sideways, then most probably the new strategy will do better.Further down the strategy page you have a link to the actual performance numbers. The backtested performance numbers and charts which we show are from the actual new updated strategies. The idea is that you should see how the actual strategy would have performed in the past. Only this way you can decide if you want to invest in such a strategy. The new version of the strategy is less aggressive as it limits the maximum equity exposure.
QT needs to be rebooted to recalculate the strategies in the right order (substrategies first). We could probably add a Menu item which recalculates everything instead of rebooting.
If you would like to invest more aggressive, then you can always just increase the equity allocation and decrease the hedge. The new strategies have a maximum equity allocation of 60% with a 40% hedge to be able to hedge for market corrections like the one of January 2018 where you had no time at all to change allocations in time.
The MYRS and the 3x leveraged UIS strategies are leveraged strategies which should be used only with a small fraction of the portfolio. For a normal investor it is just too risky if the Top3 strategy rotates for example from the BRS strategy to MYRS. Better select the top 3 strategies between similar unleveraged strategies.
You can always tweak the Top3 strategy in QT. Just open the “strategy editor” and select the Top 3 strategy. Now you can delete the Nasdaq and the Dow strategy in the strategy list. This way the top 3 strategy uses only strategies which do not invest in individual stocks.
