Click here to Login








Tactical Asset Allocation Strategy based on RSI

by QuantShare, 1733 days ago
Share |







This is a simple tactical asset allocation strategy (TAA strategy) based just on the relative strength indicator.
The strategy invests in 10 ETFs:
EDV (Vanguard Extended Duration ETF)
EEM (iShares MSCI Emerging Markets Index (ETF))
EPP (iShares MSCI Pacific ex-Japan Index (ETF))
FEZ (SPDR EURO STOXX 50 ETF)
GLD (SPDR Gold Trust (ETF))
IEV (iShares S+P Europe 350 Index (ETF))
MDY (SPDR S+P MidCap 400 ETF)
SHY (iShares Barclays 1-3 Year Treasury Bnd Fd)
SPY (SPDR S+P 500 ETF)
TLT (iShares Barclays 20+ Yr Treas.Bond (ETF))

The strategy is based on weekly data and invests in the top 4 ETFs based on two ranking factors, both using the RSI indicator with different lookback period.

The trading system backtest was done for the period that spans from 2007 to 2015 and shows an annual return of 14.69%, a drawdown of -9.56 and a Sharpe ratio of 1.213.

More stats:
Sortino Ratio: 1.74
Profit Factor: 1.36
Standard Deviation: 12.11%
Average Monthly Return: 1.19%
Percent Positive Months: 61.62%
Average Bars Held: 1 (one week)


Share This ->
Share |


You have to log in to bookmark this object
What is this?




Type: Trading System

Object ID: 1561


Country:


Market:

Style:

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects
Show All
RSI + SMA(200) + Hurst v001 (by Dave W., uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 121 Notes Report an item
Ratio of the Short to Long-Term Moving Averages - ETF Trading System (by Tom Huggens, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 71 Notes Report an item
Trading System based on the Linear Regression of the RSI Indicator (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 123 Notes Report an item
Multiple Time Frames Trading System - Price / Moving Average Crossover (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 181 Notes Report an item
Trading System with Sharpe-Based Ranking (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 123 Notes Report an item
TAA - Momentum and Volatility (by QuantShare, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 78 Notes Report an item
Zero-Lag Exponential Moving Average (by Tom Huggens, uploaded several months ago)
No notes

Rate an item Rate an item Rate an item Rate an item Rate an item Number of downloads 23 Notes Report an item
Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

How to use the new Market Regimes Feature in QuantShare Trading Software

Create Realtime Quote Sheets with the Watchlist Tool

How To Create and Backtest an S&P 500 Trend Following System

QuantShare Trading Software: New Features in the 3.3.1 Version

3 Items To Get and Trade the News In QuantShare Platform

How to Create a Custom Real-Time Table using QS Trading Software

Let me Show You How to Create Hundreds of Profitable Trading Systems

How to Backtest a Strategy from a Chart

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






QuantShare
Product
QuantShare
Features
Create an account
Affiliate Program
Support
Contact Us
Trading Forum
How-to Lessons
Manual
Company
About Us
Privacy
Terms of Use

Copyright 2019 QuantShare.com
Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+
Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.