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The maximum drawdown of this strategy from backtest 2011-2015 has been reached this week. There are stocks falling and bonds as well. Are there any recommendations to rotate into cash or it is recommended to wait till end of two week rotational cycle?
Hello LI team,
these are not easy days in the market, VIX was yesterday around 50 and the indexes are in red. I was trying to play with the portfolio builder in order to find optimal strategy but the problem is that the most conservative ones (Bond, Bugs) are recommended with the portfolio builder in most scenarios (max sharpe, limit volatility etc) but they are somehow out of it’s characteristic – i.e. both Bugs are now in a larger drawdown than they experienced in the backtest also sleep well bonds are underperforming benchmark by 5% which is a lot for the bonds.
Probably more people than me would need to know your insight about these, if you still have confidence in them or how to deal with the break-the-drawdown problem.Nice work, thank you for sharing. Could you be more specific on the allocation algorithm? Is the percentual split between top 4 ETF based on sharpe, performance or something more sofisticated? Or even trying all the possible combinations like US-TLT adaptive algorithm? Is there big difference between i.e. simple fixed ranking? Thanks
Thank you for the previous reply, Frank. Can you guys please check Investment & Return tables of this strategy with focus on what type of price is used for opening the trades?
It seems to me the table is using Close prices of previous day i.e.
2014 28-Nov-2014 15-Dec-2014 20%ZIV+80%EDV 1.8563% 588% 23.08% -3.71% 171% 9.52%means that the 1.8563% performance is valid for 15.12. Close – 28.11. Close but the subscribers had received the alerts on 30.11. and 16.12. respectively. So they can only trade next bar at open at earliest. This time the return would be 3.109%. So what I am missing then?
