All Weather Discussion

[Nick Radge]

If, for tax reasons, you wish to rotate annually instead of monthly, use the following code:

Data:
    EndOfYear:     Extern($SPY, Year[-1] > Year)

Strategy:
   ExitRule:    EndofYear
   EntrySetup:    EndofYear 
 

[MichaelRodwell]

Hey Nick,

I’m looking at developing an All Weather Strategy for my person and SMSF accounts.

What a the pros and cons of ASX vs US?

Do you operate both as a means of diversification?

Thanks!

PS – hi everyone… still kicking… just.

[Nick Radge]

I run both, because when combined the results are nicely improved, especially volatility

US has more ETFs to choose from, but we stay with longest dated and highest liquidity

[MichaelRodwell]

I’ve been getting some whacky results and when I checked out the charts I can see these large drops in the ETF price charts. I cross referenced with Trading View and they’re not present. 

Any ideas whats causing this and how I can adjust them?

[Craig Fisher]

Hi Michael
For RT right click on the chart and select Split Adjusted.
For AB: File > Database settings > Capital.

[MichaelRodwell]

Thanks Craig. I can see this is pulling through to the results in the trades too. Will this update the configuration? I’m learning RT at the moment.

[Craig Fisher]

Hi Michael
Search Adjustment in the user guide for more info and links.

[MichaelRodwell]

A question regarding the benchmark section in your US Golden Butterfly code example.

How is the ExitRule working?

ExitRule: Dividend > 0

Is this keeping the position open because there will be no Dividend paid?

[Nick Radge]

The benchmark doesn’t exit per se. It rebalances each time a dividend is paid.

[MichaelRodwell]

Is it possible to run an optimisation of portfolio allocations to eaily compare the different profiles?

[Nick Radge]

mmm…not sure. Maybe ask on the RT forum so Marsten can answer.

[Craig Fisher]

Is this what you are after Michael?

Parameters:
s1alloc: from 10 to 90 step 10
s2alloc: from 10 to 90 step 10
s3alloc: from 10 to 50 step 10

TestSettings:
SkipTestIf: s1alloc + s2alloc <> 100

Then assign s1alloc etc to each strategy’s Quantity, e.g. s1alloc/Positions

[MichaelRodwell]

Thats exactly it! Thank you!

[RichardKoziel]

I need a clarification please on below,
TestSettings:
SkipTestIf: s1alloc + s2alloc <> 100

shood that be,

SkipTestIf: s1alloc + s2alloc + s3alloc <> 100

Thanks

[Craig Fisher]

Yes, if using all three.

[Author]

Posts