ETF Diversifier

[GlenPeake]

Thanks Nick. Impressive!

Demonstrates/Highlights the value of a simple robust idea working across a number of universes etc….

Just a quick general question regarding ETFs, as I haven’t traded them in the past…. Are there any additional fees involved when buying/selling ETFs (apart from the standard brokerage fees etc)…. ? Are there fees for some ETFs, but no fees for other ETFs?

[Nick Radge]

Not per se.

ETF’s are effectively listed funds, so there is a fee involved in their management. However, as far as we’re concerned, its like futures pricing, funding/management fees are already priced into the buy/sell prices we receive. The only thing we see is the trading commission. 

[GlenPeake]

Perfect…. Thanks Nick.

[KateMoloney]

Hi Nick,

For your ETF universe alternatives, how many ETFs are in that universe? And what do you define as an alternative? Does it include bonds and gold as well?

I’ve been looking at Bitcoin and ETH ETFs and many don’t have a good price history. One of the ETH ETFs trades futures, not the actual instrument.

 

[Nick Radge]

Alternates refer to assets apart from stocks, bonds, interest rates, commodities or metals. They could incorporate hedge funds, long short funds, etc etc

My Alternates is Bitcoin only. Here is what I use:

Alts:    (symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022) or (symbol=$IBIT and year >= 2024) and…

If you’re going to test using the above, ensure the account size is large enough to facilitate the pricing of BTCUSD, i.e. use a minimum of $1,000,000. Obviously going forward you use either BITO or IBIT
 

[JulianCohen]

Also be aware that if you are using C > MA(C,200) in your entry criteria, the ETF has to have at least 200 days of data in order for that moving average to work correctly in RT

[KateMoloney]

Thanks – I’m aiming to have a list of ETFs with history of 10 years (apart from BTC).

[RobertMontgomery]

For combining several strategies as in this case, is it preferred to compile them all in one file or have a master script that references each individual file?

[JulianCohen]

I always keep them in one script. I prefer to keep everything in one place so it’s easier to make changes, but that’s just me.

[Nick Radge]

One file here as well.

[Nick Radge]

Hold fire on this line

(symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022) or (symbol=$IBIT and year >= 2024)

I’ve only just added the $IBIT part and not sure RT likes 3 symbol references.

Checking it out and will revert.

(symbol=$BTCUSD and year < 2022) or (symbol=$BITO and year >= 2022)

works fine

 

[Author]

Posts