[Nick Radge]

Nice.

Zach has AZS.au in his portfolio…

…little shit 

 

[Nick Radge]

August 2023

ASX
Growth Portfolio: -4.11%
WTT: -5.70%
ASX Momo: -6.98%
ASX Momo PLUS: -2.06%

US
HFT: -3.70%
US Momo: -4.26%
MOC: -3.15%
DTVI: -5.68%

Managed Account
Multi: -1.35%  (net of fees)

All Weather
Aggressive:  -0.83%
ASX: 0.00     (launching this month)

Total account was about -5%

[Nick Radge]

Weekly will be:

DofW = dayofweek() < Ref(dayofweek(),-1);
LE = Ref(BuyTrigger,-1) AND NOT OnLastTwoBarsOfDelistedSecurity;

Score         = Ref(ROCFinal,-1);
Score         = IIf(LE,score,0);
PositionScore = IIf(Year()>=1960 AND DofW,score,scoreNoRotate); 

[Nick Radge]

Here’s a slight variant.
SPY 50%
GLD 30%
TLT 20%

CAGR +6.5%
maxDD: -9.8%
Vol: 7.1%
AvgExposure: 64%

 

[Nick Radge]

Continuing to explore low volatility, low maintenance investment strategies. This is a $SPY + $TLT timer that allocates 50% to either based on the underlying trend.
CAGR +6.2%
maxDD: -11.5%
Vol: 6.8%
AvgExposure: 61%

[Nick Radge]

@Scott
I think I have a way to code that theory. I’ll have a go on the plane on the way home.

Nick

[Nick Radge]

AUD.

Over extended lengths of time, the currency differential has been nominal.

[Nick Radge]

An interesting idea Scott. That could be run as a standard rotational. 
One thing I would be mindful of is the monthly rebalancing between the stock component and all other components. That could be challenging from a coding perspective, albeit I’m sure it could be done. The other is that we’d want each stock component rebalanced each month as well. From what I can gather, the constant rebalancing is what keeps the volatility low.

[Nick Radge]

It reminds me of 2011 and a little like 2018. 

[Nick Radge]

BITO is the ETF ticker.

Prior to its inception use BTCUSD as a proxy (ensure you use a large start capital to facilitate the high price of BTC)

[Nick Radge]

There is a full list of Australian ETFs here

https://www.marketindex.com.au/asx-etfs

As stated, be wary of history. I should add that liquidity can be deceiving. Most of these ETFs will have market makers that can and will step in to make a price.

In terms of using AUD ETFs as per my code, you would go:

IncludeList:    STW.au>STW
IncludeList:    BOND.au>BOND
IncludeList:    GOLD.au>GOLD

Then

    AllocSTW:      0.333
    AllocBOND:    0.333
    AllocGOLD:    0.333

 

[Nick Radge]

Julian – thanks for that. Works well

Len – unsure at this stage how we’ll move forward with the US version. In terms of a timing tool, just keep it simple. C > 200sma or ROC(C<240) > 0 etc

[Nick Radge]

Here is another type, called the Dedalo Four strategy, albeit starting to move away from the All Weather concept. It’s essentially an 80/20 portfolio, so 80% growth assets and 20% defensive.

It trades both the Vanguard Total US market and Vanguard Total World markets, plus the Vanguard International Bond ETF. In this example, I have added a timing tool, C > MA(C,200), to enter and exit.

CAGR: 9.3%   maxDD: -10.9%  (note: I have brought this one back into AUD)

If anyone knows, I’d like to know how to create a annualised volatility metric into the results table for RT

[Nick Radge]

Interesting. Thanks Len.

[Nick Radge]

Have you written the code up in RT Len? I’d be interested in the backtest numbers. I’m yet to read the book – on my to-do list

[Author]

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