Thank you @Epi for the FAQ on the 3xGTAA wikifolio. The CAGR from 2007 to 2017 is really very respectable! As you might have guessed, I am concerned with backtesting, as I mentioned in my last post. In my backtests, I unfortunately only come up with a very low CAGR for the period from 2011 to 2018, as it was mainly government bonds and US large caps that rose during this period. I suspect that I am still using the wrong asset pool or calculating the momentum score incorrectly.
I am therefore happy to receive corrections to my methodology. I am currently using a momentum score that is calculated as follows: Momentum = 1M + 3M + 6M + 12M.
My asset pool includes the following stocks:
5x short USD / long EUR
5x short EUR / long USD
3x QQQ (Nasdaq 100)
3x Stoxx 50
3x Gold
2x WTI (oil)
1x BTC (Bitcoin)
1x Treasury Bond 20Y+
As well as the money market, which may be invested in up to 100% of the portfolio.
I am therefore happy to receive corrections to my methodology. I am currently using a momentum score that is calculated as follows: Momentum = 1M + 3M + 6M + 12M.
My asset pool includes the following stocks:
5x short USD / long EUR
5x short EUR / long USD
3x QQQ (Nasdaq 100)
3x Stoxx 50
3x Gold
2x WTI (oil)
1x BTC (Bitcoin)
1x Treasury Bond 20Y+
As well as the money market, which may be invested in up to 100% of the portfolio.
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@Jesko didn't you also want to build a backtest for a single share model or was that someone else?
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@Krush82 Yes, I am also working on a backtest for individual stocks and am currently familiarizing myself with the whole topic of momentum.
But it's really important for me to work out the models myself and to understand where, what and how to optimize.
The following principle applies: I don't invest in anything that I haven't understood down to the last detail.
No matter whether it's an ETF, a single share or a momentum strategy.
But it's really important for me to work out the models myself and to understand where, what and how to optimize.
The following principle applies: I don't invest in anything that I haven't understood down to the last detail.
No matter whether it's an ETF, a single share or a momentum strategy.
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•@Epi A 1M +3M + 6M momentum series + the asset is above its 150 SMA?
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•@Jesko I understand and that's the right approach. That's exactly what I did
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•@Krush82 For you "old hands" it is of course a bit annoying if you have to respond to all my comments, but understanding investments is essential.
I hope that I will be able to provide you with a few more exciting findings in the near future. =)
I hope that I will be able to provide you with a few more exciting findings in the near future. =)
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•@Jesko It's all good, and we're not that old hands yet. 2-3 years is not a long time
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•@Epi Who issues the 5xTLT and the 7xUSDEUR/ 7xEURUSD as ETPs? The maximum leverage I can find is 3xTLT and 5x for the currencies from Wisdom Tree.
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@Jesko is also my level of knowledge.
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