Monthly Tactical Asset Allocation Strategy Formulas

Monthly Tactical Asset Allocation Strategy Formulas

Drew Kellerman
2019-10-31 12:01:57

Hi,
I'm applying the info from two, recent blog posts on how to create tactical asset allocation strategies. I'm building a long strategy based on a universe
of 21 ETFs, filtered at the end of each month, and re-balanced on the first trading day of the following month. All criteria are based on month-end data.

I'm running into errors with my formulas, and need help with others.

The month-end EMA4 value must be above the EMA10 value: buy = cross(ema(4),ema(10);
sell = cross(ema(10),ema(4);

If the rsi(14) score of a fund is over 75, the fund is disqualified: sell = rsi(14) >= 75;

Re-enter consideration once the month end rsi(14) score drops below 75
AND experiences one month of RSI-14 score increase. ???

Stop Loss: 10% month-end price close drop from rolling 6-month month-end high: ???

Re-enter consideration when month-end closing price attains new rolling 6 month high: ???

The qualifying funds are then ranked by rsi(14): rank1 = comp(RSI(14), "rank");

The top seven funds are purchased: buy = rank1 >= 7;

Appreciate any help with these formulas!

Cheers,

Drew

QuantShare
2019-11-04 18:20:11

Hi Drew,

The month-end EMA4 value must be above the EMA10 value should be translated into: rule1 = ema(4) > ema(10);
Use "Cross" if you want to screen for a crossover.

Re-enter consideration once the month end rsi(14) score drops below 75 AND experiences one month of RSI-14 score increase.
rule2 = rsi(14) < 75 and rsi(14) > ref(rsi(14), 1);

Stop Loss: 10% month-end price close drop from rolling 6-month month-end high:
rule3 = ((close / hhv(high, 6)) - 1) < -0.1;

Re-enter consideration when month-end closing price attains new rolling 6 month high:
rule4 = close == hhv(close, 6);

As you probably know, you need to combine buy and sell rules. Example:
buy = rule1 and rule2...
sell = rule1 or rule2...

Get more messages

No more messages

Back


Trading Items Tactical Asset Allocation Strategy based on RSI Asset Allocation: Equal Weight Rebalanced Monthly Adaptive Asset Allocation Butler V1.3 AMM AAII Asset Allocation Survey: Stock Funds, Stocks, Bond Funds, Bo... Butler Adaptive Asset Allocation Model V1.0	How-to Lessons How to display two stocks on the same chart How to create a moving average of an indicator How to create and trade a Neural Network model How to add a metric in the trading system simulation report How to import your own list of stocks/symbols
Related Forum Threads Capital allocation - total capital is split in Long/Short strateg... New future suggest: time-based asset allocation graph different weights for different asset class New Financial Asset called DARWIN (i.e. portfolio of trading syst... Set Position Size by Ticker Within Main Strategy	Blog Posts Advanced Tactical Asset Allocation Strategies Create Your Own Tactical Asset Allocation Strategies Create a trading strategy using the money management tool - Part ... How to Backtest Each Stock or Asset Individually Money Management: Scale-in Trading Strategy