One more addendum to point 4 (risk 1): Is there any thought of using a 150- or 200-day SMA as a 'safety belt' if necessary? If the momentum breaks and the 150- or 200-day line is torn, you could immediately switch to cash. What do you think @Epi?
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@Jesko the 3xgtaa uses a sma 150 or not ? @Epi @randomdude
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@Krush82 Yes, but there is only a check at the end of the month. No trading takes place in between. This concept has proven to be the most stable in all back tests.
What works well with individual shares or certain indices does not need GTAA: on the one hand, several assets are always held, and on the other hand, sudden drops are rather rare because the model usually registers declining momentum in good time and the holdings are changed.
What works well with individual shares or certain indices does not need GTAA: on the one hand, several assets are always held, and on the other hand, sudden drops are rather rare because the model usually registers declining momentum in good time and the holdings are changed.
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•@randomdude Exciting, based on initial backtests I would have assumed that a 200-day SMA that had been undershot would have led to losses.
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@Jesko Of course, you already have major drawdowns. But the question is always when to get back in to take advantage of the upward trend.
I have just downloaded the price data from @Epi s 3xGTAA. The SMA 200 can be determined from the beginning of December 2024. On April 3, 2025, the price fell below the SMA200. One could then have sold at EUR 118.50. On August 8, the price was back above the SMA200 for the first time and you could have re-entered at 126.35 euros. Suboptimal, isn't it?
I have just downloaded the price data from @Epi s 3xGTAA. The SMA 200 can be determined from the beginning of December 2024. On April 3, 2025, the price fell below the SMA200. One could then have sold at EUR 118.50. On August 8, the price was back above the SMA200 for the first time and you could have re-entered at 126.35 euros. Suboptimal, isn't it?
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2D
@randomdude I would have preferred the SMA100 for the certificate. What is the situation there?
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@Epi Exit at 105 euros, entry at the beginning of September at 128 euros.
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•@randomdude @Epi Ah, wait. I'm afraid I didn't express myself well enough.
I want to apply the SMA to a single asset in the wikifolio and only hold the asset in the wikifolio in cash until the end of the month. The other assets remain unaffected.
I want to apply the SMA to a single asset in the wikifolio and only hold the asset in the wikifolio in cash until the end of the month. The other assets remain unaffected.
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@Jesko We have not tested this. It could be useful (although there would be plenty of false signals), but it would require a completely different amount of effort. One of the basic assumptions was always that GTAA is an amazingly simple model that allows private investors to achieve above-average performance with little effort (15 minutes 12 times a year) and good risk hedging. With daily price checks - and a corresponding willingness to trade - you would leave this terrain. I could not and would not want to do that.
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•@randomdude I would rather set up a bot that automatically checks whether the assets held fall below the 200-day SMA.
I have already implemented this for a simpler momentum strategy, but it should also be feasible with a little effort.
I have already implemented this for a simpler momentum strategy, but it should also be feasible with a little effort.
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•@Jesko But that would leave the problem of false signals to be solved - which would require complex backtests that I can't do at the moment. And I'm going to go out on a limb and predict that not much would come of it. We spent two years working on all kinds of optimization ideas: Currency effects, seasonality, indices, etc. In the end, less was always more.
2. you would also have to automate trading. No idea if and how that would work.
2. you would also have to automate trading. No idea if and how that would work.
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