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...

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