1Mês
Have you tested the currency hedge strategy with 200SMA to see if it works?
2x gold can be done well, 3x silver I find difficult right now.
Maybe run a 50EMA over it as a trailing SL? Maybe just a 20 depending on what you can tolerate etc.
The problem is that with the ACWI you are already in Europe and EM and US. So it's more likely to act as a sluggish, less adaptable anchor, isn't it?
Have you ever tested whether it would be better to split up into just EU, EM, US and gold (all separately)?
2x gold can be done well, 3x silver I find difficult right now.
Maybe run a 50EMA over it as a trailing SL? Maybe just a 20 depending on what you can tolerate etc.
The problem is that with the ACWI you are already in Europe and EM and US. So it's more likely to act as a sluggish, less adaptable anchor, isn't it?
Have you ever tested whether it would be better to split up into just EU, EM, US and gold (all separately)?
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@Simon_n
Hello Simon, thank you for your input and your questions.
Yes, as you suspected, the ACWI represents the stable anchor in the first year, but also the possible buffer with which I can further optimize the strategy in the coming years by reducing it. I have not yet done any backtesting with the allocation. I only wanted to start with a USA share of around 50%.
Hello Simon, thank you for your input and your questions.
Yes, as you suspected, the ACWI represents the stable anchor in the first year, but also the possible buffer with which I can further optimize the strategy in the coming years by reducing it. I have not yet done any backtesting with the allocation. I only wanted to start with a USA share of around 50%.
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11
•1Mês
@gorehammer I haven't done the backtest either, but I think if you use the ACWI allocation you have the EU and EM in there twice. That's why I think you'd be better off with an S&P500 allocation. Individual regions should also react more clearly to signals, especially the US should react more clearly to USD signals so that your currency hedge might also work better
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@Simon_n Hello Simon, now I have to correct myself again. After my manual check of individual values, I had noticed that the Python script did not export all the last trading days of each month to the table, but only those on which the last day of the month was also a trading day, which is why the ratios in my last test shifted slightly. However, the end result for my strategy remained similar.
I have now been able to extract the following (I have randomly checked values again):
Start 30.09.19 to 30.12.25 (all excluding fees/taxes and guarantee):
- Strategy ACWI B&H = +49.96%
- Strategy ACWI SMA200 monthly = +62.23%
- Strategy ACWI Switch + Sell SMA175 (significantly better) without/with hedge based on SMA175 USD/EUR, monthly = +75.57%
- Strategy ACWI only Switch SMA150/175/200 USD/EUR (same end result) = +115.99% (76 months, 15 switches, including five switches in 2024 alone in the period from April to October)
In other words: The momentum lags behind the long-term investment with switch based on the currency pair over 6.5 years, but is stronger than pure B&H or ACWI SMA200. In the next step, I simulated the entire calculation including the capital gains tax (without the saver's lump sum). The result was 82.21% (compared to the pure B&H of 49.96%), despite the 15 changes. This means that a further adjustment of my strategy makes sense here.
I have now been able to extract the following (I have randomly checked values again):
Start 30.09.19 to 30.12.25 (all excluding fees/taxes and guarantee):
- Strategy ACWI B&H = +49.96%
- Strategy ACWI SMA200 monthly = +62.23%
- Strategy ACWI Switch + Sell SMA175 (significantly better) without/with hedge based on SMA175 USD/EUR, monthly = +75.57%
- Strategy ACWI only Switch SMA150/175/200 USD/EUR (same end result) = +115.99% (76 months, 15 switches, including five switches in 2024 alone in the period from April to October)
In other words: The momentum lags behind the long-term investment with switch based on the currency pair over 6.5 years, but is stronger than pure B&H or ACWI SMA200. In the next step, I simulated the entire calculation including the capital gains tax (without the saver's lump sum). The result was 82.21% (compared to the pure B&H of 49.96%), despite the 15 changes. This means that a further adjustment of my strategy makes sense here.
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11
•1Mês
@gorehammer Very good 👍 You can post an update when you develop it further.
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