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TAA - Momentum and Volatility

by QuantShare, 1270 days ago
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This is a tactical asset allocation strategy example based on momentum and volatility to rank some ETFs.
More info about how to create tactical asset allocation strategies can be found here:
Create Your Own Tactical Asset Allocation Strategies

Note that unlike the above article (see the link), the composite function here uses "percentile" instead of "rank". The result should be the same. The "rank" function ranks securities by giving a rank of 1 to the security that have the highest metric, 2 to the next one. while the "percentile" function gives 100 to the best security and 0 to the worst one.

This trading system uses the volatility as calculated by the standard deviation and the Sharpe ratio to measure momentum.
The portfolio is rebalanced weekly and only the best performing ETF is purchased.

The ETF universe includes:
DIA (SPDR Dow Jones Industrial Average ETF)
EEM (iShares MSCI Emerging Index Fund ETF)
EPP (iShares MSCI Pacific Ex-Japan Index Fund ETF)
GLD (SPDR Gold Shares ETF)
IEV (iShares S&P Europe 350 Index Fund ETF)
ILF (iShares Latin America 40 Index Fund ETF)
MDY (SPDR S&P MidCap 400 ETF)
SSO (ProShares Ultra S&P500 ETF)


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Type: Trading System

Object ID: 1573


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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.