One more idea, since a daily signal check system with cool-down has not produced any advantage according to your backtest: so as an additional rule: on a day-to-day basis, you could check the currently held assets for the SMA and the assets are immediately kicked out if they fall below the SMA and not only at the signal check every 15 days. This means that until the next signal check, the asset that has fallen out is switched to cash. What do you think?
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@theflyingsquirrel interesting idea. I have tested this and it delivers very similar (slightly worse) results. Both in terms of performance and max drawdown.
The idea is that medium-term trends are taken along. We are not so interested in short-term fluctuations. When rebalancing takes place, MATT invests in the assets with the strongest medium-term trend. This is not necessarily broken by a bad day. In my opinion, the 14-day approach offers a good compromise between taking the trend too long and rebalancing immediately.
The idea is that medium-term trends are taken along. We are not so interested in short-term fluctuations. When rebalancing takes place, MATT invests in the assets with the strongest medium-term trend. This is not necessarily broken by a bad day. In my opinion, the 14-day approach offers a good compromise between taking the trend too long and rebalancing immediately.
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•@SemiGrowth Thank you for the information. I would be interested to know if there is only no advantage to this, as you can react relatively frequently with your 14 day signals anyway. Would it be a lot of work if you tested the whole thing (selling and shifting to cash as soon as on a daily basis under SMA) for a 30 day signal check system instead of your 14 days? Many thanks in advance!
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•@theflyingsquirrel so with 28 days you have a lower performance (approx. 3%pa) and higher drawdown (approx. 10% more) than with 14 days.
If your rule is applied now, the max drawdown improves to the 14-day level, but the performance drops by another 3%pa.
So risk can be taken out at the expense of performance. However, the simple 14-day strategy is much better
If your rule is applied now, the max drawdown improves to the 14-day level, but the performance drops by another 3%pa.
So risk can be taken out at the expense of performance. However, the simple 14-day strategy is much better
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