All Weather Discussion

[PaulBailey]

Hi All,
I’m trying to construct an AUS version of my ETF strategy, and pretty sure I’m making a rookie error somewhere in the coding – anyone want to cast a brief eye over this?
Just trying to generate a simple buy / sell 200D MA strategy for one ETF – GEAR (just an example).

Pretty sure there’s an obvious error here, but I can’t wrap my head around it.

Import:
    DataSource:    Norgate
    IncludeList:    GEAR.AU
    StartDate:     1/1/2003
    EndDate:    Latest
    SaveAs:    PBETF.rtd
    
Settings:
    DataFile:    PBETF.rtd
    StartDate:    1/12/2013
    EndDate:    12/31/2023
    AccountSize:    20000
    UseAvailableBars:False
    BarSize:     Daily
         
Data:
    
    Trend:    c>MA(C,200)
    Alloc:    item(“alloc{?}”, ?symbol)

Parameters:

           AllocGEAR: 1
        
Strategy: AU ETF
    Side:    Long
    EntrySetup:     Trend
    QtyType:    Value
    Quantity:    S.Alloc * Alloc
    MaxPositions:    1
    Exitrule:     not Trend
    
OrderSettings:
    EndDate:    12/18/2023 
    OrdersMode:Text
    

[Craig Fisher]

Paul, try IncludeList: GEAR.AU>GEAR

[PaulBailey]

Perfect Craig, that worked – thanks v much!

[Nick Radge]

Not an All Weather per se, but a 60/40 portfolio with a twist.

CAGR 8.7% vs 9.4%
maxDD -12.7% vs -55.2%
Vola 9.1% vs 19.3%
Sharpe 0.79 vs 0.49
Exposure 70% vs 100%

[Nick Radge]

The Chartist will release both an ASX and US All Weather portfolio effective close of business on January 31st. I personally trade both with 100% of my retirement account allocated to the US version.

[ScottMcNab]

I have not been able to find a link to these on the chartist website Nick. Is there a link I have missed please?
Many thanks
Scott

[Nick Radge]

Hi Scott,
Membership is currently closed which is why you can’t view a link. However, as you’re a mentor client I’d be happy to facilitate you. Maybe drop me an email to discuss what you’re after.

Nick

[ScottMcNab]

Will do. Many thanks Nick

[Nick Radge]

Here are my two All Weather strategies combined (ASX and US)

Seriously turbo charged bank account. Volatility drops to 7.55%

[JulianCohen]

When you combine AUD and US strategies in RT like this, do you just include AUDUSD in the include list? I’ve not done it before so if you wouldn’t mind posting a template to show how it is done that would be much appreciated. I don’t think there is one in the Examples folder in RT

[Nick Radge]

Yes.

Import:
IncludeList:  AUDUSD

Settings:
Currency:    AUD
 

[RobertMontgomery]

This may have been discussed and I missed it, but I need some help understanding the math/logic behind the increase in total combined return being greater than any of the individual system returns. I say math thinking this should be the average of the individual systems and there % percentage allocation to the combined. But it’s clearly not working that way.

For example the All Weather ROR results above:
0.77*0.20 + 4.3*0.30 + 7.94*.4998 =5.4124 vs 13.76

I haven’t yet found a clear explanation of this math/logic and how is it related “MaxUse” or calculated.
 
Thanks in advance for any insights.

[Nick Radge]

0.77, 5.07 and 7.94 are the total return components. They are not multiplied by the allocation percentages – that’s already been done.

When added they come to 13.01, then the additional is the compounding element. 

[RobertMontgomery]

 

[RobertMontgomery]

I see my confusion is with the allocation portion of my code, was using Qtytype: value vs. percent.

[Author]

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