10Mes
I think it's great that you also report on a failed project. You can learn more from that than from any winning posts!
Can you briefly describe the key data of the experiment again?
Capital invested, start date, end date, trading rule. Reason for stop.
I would be interested because I am running a similar experiment with 3xGTAA.
Can you briefly describe the key data of the experiment again?
Capital invested, start date, end date, trading rule. Reason for stop.
I would be interested because I am running a similar experiment with 3xGTAA.
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@Epi Leverage is always good, you just have to find the right entry point and I had the wrong.... If there is interest, I can publish the exact figures, just as I did with the leverage with credit project. Once again, I would like to point out to everyone that I took a risk here with a manageable portfolio amount and the loss is less than 1% of the portfolio value.
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10Mes
@TopperHarley Yes, I have also read a lot about leverage, thought about it and tested it. Conclusion: Risk management is essential, i.e. above all loss reduction (due to path dependency, leverage costs). This requires a clear, robust strategy and iron discipline. Then it can work.
As I would judge it from a distance, your project failed because you didn't have a strategy that limited your losses and hedged your profits (going long in a falling market with long leverage is a no-go, in my opinion). Here is a model with a very simple trading rule: buy 3xQQQ, if QQQ is above GD200, sell below. You would have made over +60% since 4/22. https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=1ZBqeLtjVCaZk8mZdg78NR
As I would judge it from a distance, your project failed because you didn't have a strategy that limited your losses and hedged your profits (going long in a falling market with long leverage is a no-go, in my opinion). Here is a model with a very simple trading rule: buy 3xQQQ, if QQQ is above GD200, sell below. You would have made over +60% since 4/22. https://www.portfoliovisualizer.com/tactical-asset-allocation-model?s=y&sl=1ZBqeLtjVCaZk8mZdg78NR
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•10Mes
@Epi I also find the gd200 strategy very interesting, but am I too stupid to read the data from your link? Surely the moving average model has less return than the normal buy?
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10Mes
@Kalle2 The GD200 strategy is more complex than it looks at first glance. The MA model has lower returns than B&H. This is quite normal for the GD200 strategy. It does not necessarily increase the return, but rather reduces the risk. Take a look at the maxDD. 😉
The background to this is that markets above GD200 rise around 70% of the time and fall around 70% of the time below it. If you leverage, you have to avoid falling prices as much as possible because of path dependency, i.e. only trade above GD200.
The task would be to modify the model so that the risk falls to or below GD200 and the return rises to or above B&H. Not easy! 😅
The background to this is that markets above GD200 rise around 70% of the time and fall around 70% of the time below it. If you leverage, you have to avoid falling prices as much as possible because of path dependency, i.e. only trade above GD200.
The task would be to modify the model so that the risk falls to or below GD200 and the return rises to or above B&H. Not easy! 😅
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