Super! Four questions/suggestions:
(a) Have you made sure that only assets with positive 1/3/6/9-month momenta are held and money market ETFs only if the return is positive (otherwise cash)?
b) Have you calculated the momenta with euro exchange rates to determine the euro yield?
c) What happens if you leave out silver? Did it ever play a role before 2025?
d) What is the CAGR in the period before Bitcoin and with?
(a) Have you made sure that only assets with positive 1/3/6/9-month momenta are held and money market ETFs only if the return is positive (otherwise cash)?
b) Have you calculated the momenta with euro exchange rates to determine the euro yield?
c) What happens if you leave out silver? Did it ever play a role before 2025?
d) What is the CAGR in the period before Bitcoin and with?
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@randomdude
a) No, I'll add that now - thanks for the tip
b)No, the entire backtest is calculated in USD and then the portfolio is converted into EURO
c) I only accidentally used the Fasche Readme in the description, the backtest is without silver.
d) They will come later, I have just posted figures here that already include an experimental change to the strategy.
a) No, I'll add that now - thanks for the tip
b)No, the entire backtest is calculated in USD and then the portfolio is converted into EURO
c) I only accidentally used the Fasche Readme in the description, the backtest is without silver.
d) They will come later, I have just posted figures here that already include an experimental change to the strategy.
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•@randomdude Does each of the 1,3,6 and 9 month momentums have to be positive or just the sum of the whole?
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•@Jesko Only the sum.
And to b: The result will probably not differ significantly, but for euro returns I would also work with euro momenta.
And to b: The result will probably not differ significantly, but for euro returns I would also work with euro momenta.
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@randomdude I don't think it will change that either, I always calculate the momentum in the base currency of the asset - so always USD except for the EuroStoxx50. However, I am now calculating the performance since 2000 to 2018 and 2018 to 2025.
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•@randomdude Assets: ['Nasdaq', 'Gold', 'EuroStoxx50', 'TLT', 'Oil', 'LongEUR', 'LongUSD', 'BTC']
SMA: 150
Top N: 3
TER: 0.95%
Perf Fee: 5.0%
Spread: 0.2% per trade
Rebalance Days: [1]
Loading data...
Loaded EUR/USD
Loaded Nasdaq
Loaded Gold
Loaded EuroStoxx50
Loaded TLT
Loaded Oil
Loaded LongEUR
Loaded LongUSD
Loaded BTC
Calculating indicators...
Valid Signal Start Dates (SMA + Momentum ready):
Nasdaq: 1999-12-07
Gold: 1968-12-30
EuroStoxx50: 1999-09-29
TLT: 1999-10-04
Oil: 2001-05-25
LongEUR: 1999-09-24
LongUSD: 1999-09-24
BTC: 2017-07-09
Running backtest...
Backtest finished.
Strategy Results (2000-01-01 - 2017-12-31):
CAGR (USD): 10.10%
CAGR (USD, After Tax): 7.44%
CAGR (EUR): 9.05%
CAGR (EUR, After Tax): 6.66%
Max Drawdown (USD): -61.85%
Max Drawdown (EUR): -65.31%
Final Value (USD): 56471.77
Final Value (EUR): 47087.28
Asset Performance Breakdown:
Total_PnL Total_Profit Total_Loss Months_Held Win_Months Loss_Months Win_Rate
Asset
BTC 26598.932794 22145.973183 -1118.659580 6 5 1 83.333333
Nasdaq 14096.543198 49322.921212 -35660.060242 122 69 53 56.557377
Gold 12442.101963 41018.309831 -28576.207868 96 51 45 53.125000
TLT 10850.771600 33774.315292 -22923.543692 94 47 47 50.000000
LongUSD 2716.454488 18799.323937 -16082.869449 59 32 27 54.237288
EuroStoxx50 2416.697152 28735.447315 -26318.750162 97 54 43 55.670103
LongEUR -4128.461871 4856.956091 -8985.417962 54 27 27 50.000000
Oil -9268.135702 29542.201929 -39627.993031 93 40 53 43.010753
SMA: 150
Top N: 3
TER: 0.95%
Perf Fee: 5.0%
Spread: 0.2% per trade
Rebalance Days: [1]
Loading data...
Loaded EUR/USD
Loaded Nasdaq
Loaded Gold
Loaded EuroStoxx50
Loaded TLT
Loaded Oil
Loaded LongEUR
Loaded LongUSD
Loaded BTC
Calculating indicators...
Valid Signal Start Dates (SMA + Momentum ready):
Nasdaq: 1999-12-07
Gold: 1968-12-30
EuroStoxx50: 1999-09-29
TLT: 1999-10-04
Oil: 2001-05-25
LongEUR: 1999-09-24
LongUSD: 1999-09-24
BTC: 2017-07-09
Running backtest...
Backtest finished.
Strategy Results (2000-01-01 - 2017-12-31):
CAGR (USD): 10.10%
CAGR (USD, After Tax): 7.44%
CAGR (EUR): 9.05%
CAGR (EUR, After Tax): 6.66%
Max Drawdown (USD): -61.85%
Max Drawdown (EUR): -65.31%
Final Value (USD): 56471.77
Final Value (EUR): 47087.28
Asset Performance Breakdown:
Total_PnL Total_Profit Total_Loss Months_Held Win_Months Loss_Months Win_Rate
Asset
BTC 26598.932794 22145.973183 -1118.659580 6 5 1 83.333333
Nasdaq 14096.543198 49322.921212 -35660.060242 122 69 53 56.557377
Gold 12442.101963 41018.309831 -28576.207868 96 51 45 53.125000
TLT 10850.771600 33774.315292 -22923.543692 94 47 47 50.000000
LongUSD 2716.454488 18799.323937 -16082.869449 59 32 27 54.237288
EuroStoxx50 2416.697152 28735.447315 -26318.750162 97 54 43 55.670103
LongEUR -4128.461871 4856.956091 -8985.417962 54 27 27 50.000000
Oil -9268.135702 29542.201929 -39627.993031 93 40 53 43.010753
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•@randomdude Assets: ['Nasdaq', 'Gold', 'EuroStoxx50', 'TLT', 'Oil', 'LongEUR', 'LongUSD', 'BTC']
SMA: 150
Top N: 3
TER: 0.95%
Perf Fee: 5.0%
Spread: 0.2% per trade
Rebalance Days: [1]
Loading data...
Loaded EUR/USD
Loaded Nasdaq
Loaded Gold
Loaded EuroStoxx50
Loaded TLT
Loaded Oil
Loaded LongEUR
Loaded LongUSD
Loaded BTC
Calculating indicators...
Valid Signal Start Dates (SMA + Momentum ready):
Nasdaq: 1999-12-07
Gold: 1968-12-30
EuroStoxx50: 1999-09-29
TLT: 1999-10-04
Oil: 2001-05-25
LongEUR: 1999-09-24
LongUSD: 1999-09-24
BTC: 2017-07-09
Running backtest...
Backtest finished.
Strategy Results (2018-01-01 - 2025-12-31):
CAGR (USD): 36.49%
CAGR (USD, After Tax): 26.87%
CAGR (EUR): 36.93%
CAGR (EUR, After Tax): 27.19%
Max Drawdown (USD): -41.92%
Max Drawdown (EUR): -42.54%
Final Value (USD): 120136.14
Final Value (EUR): 102182.65
Asset Performance Breakdown:
Total_PnL Total_Profit Total_Loss Months_Held Win_Months Loss_Months Win_Rate
Asset
Gold 42844.028863 56123.841960 -16094.768109 50 29 21 58.000000
Nasdaq 31727.848087 58767.270174 -27169.298326 63 39 24 61.904762
BTC 26587.883044 54945.172093 -28357.289049 48 25 23 52.083333
Oil 12329.295476 32496.723447 -20167.427971 32 20 12 62.500000
EuroStoxx50 5994.241179 20890.686721 -17913.194588 34 17 17 50.000000
LongEUR 5314.599331 5765.270870 -450.671540 7 5 2 71.428571
LongUSD 3552.016298 6637.540074 -3085.523776 22 14 8 63.636364
TLT -6364.920977 2462.114301 -8827.035279 16 4 12 25.000000
SMA: 150
Top N: 3
TER: 0.95%
Perf Fee: 5.0%
Spread: 0.2% per trade
Rebalance Days: [1]
Loading data...
Loaded EUR/USD
Loaded Nasdaq
Loaded Gold
Loaded EuroStoxx50
Loaded TLT
Loaded Oil
Loaded LongEUR
Loaded LongUSD
Loaded BTC
Calculating indicators...
Valid Signal Start Dates (SMA + Momentum ready):
Nasdaq: 1999-12-07
Gold: 1968-12-30
EuroStoxx50: 1999-09-29
TLT: 1999-10-04
Oil: 2001-05-25
LongEUR: 1999-09-24
LongUSD: 1999-09-24
BTC: 2017-07-09
Running backtest...
Backtest finished.
Strategy Results (2018-01-01 - 2025-12-31):
CAGR (USD): 36.49%
CAGR (USD, After Tax): 26.87%
CAGR (EUR): 36.93%
CAGR (EUR, After Tax): 27.19%
Max Drawdown (USD): -41.92%
Max Drawdown (EUR): -42.54%
Final Value (USD): 120136.14
Final Value (EUR): 102182.65
Asset Performance Breakdown:
Total_PnL Total_Profit Total_Loss Months_Held Win_Months Loss_Months Win_Rate
Asset
Gold 42844.028863 56123.841960 -16094.768109 50 29 21 58.000000
Nasdaq 31727.848087 58767.270174 -27169.298326 63 39 24 61.904762
BTC 26587.883044 54945.172093 -28357.289049 48 25 23 52.083333
Oil 12329.295476 32496.723447 -20167.427971 32 20 12 62.500000
EuroStoxx50 5994.241179 20890.686721 -17913.194588 34 17 17 50.000000
LongEUR 5314.599331 5765.270870 -450.671540 7 5 2 71.428571
LongUSD 3552.016298 6637.540074 -3085.523776 22 14 8 63.636364
TLT -6364.920977 2462.114301 -8827.035279 16 4 12 25.000000
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•As of 2018, it fits in well with my results.
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•@randomdude The backtests also fit well with the course of the wikifolio, there are a few months where the assets differ on the whole, but the CAGR is 55% until the end of last year and a max DD. of slightly less than 30%.
So all in all the backtest seems to be working or do you have any ideas what is not working just before 2018?
So all in all the backtest seems to be working or do you have any ideas what is not working just before 2018?
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•@Jesko It's no secret that 3xGTAA is optimized for today's conditions. And that was precisely one of the ideas: Finding a strategy that suits BTC. It may not perform as well in 5 or 10 years and you will have to make adjustments. But it has been proven that the basic principle of GTAA works, can be successfully implemented and can be varied.
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•@Jesko And: It's good that you've also noticed that the model has a certain robustness. For example, it won't blow up in your face if you can't trade exactly at the turn of the month.
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