This notebook is insane.. love it. Here is a strategy i'm working on that I think would meet "hedge fund" goals. The idea is to have constant growth with the smallest drawdown possible. The algo trades monthly, is long only, and does not use leverage. It trades the 9 SP500 sector ETFs and does a pretty good job of staying out of trouble!
Thanks, Simon.
Paul, that's basically correct. I think the downside is minimized because the algo only trades when the sector is within 1 stdv of its rolling mean.. The moment the sector is out of that range the position is closed.
Very compelling algo Jamie. Quite remarkable how well it stays out of trouble given its a long-only strategy. Have you tested any approaches that also consider going short? Perhaps short a couple of ETF's in conjunction with the longs? It might add extra P/L during the flat periods of the long only approach
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Thanks Justin,
That's something I've been trying to implement. I did however add logic to trade TLT once all sector positions are closed. Definitely improved performance and didn't really add to drawdown or vol.
I've attached a link to the notebook here: http://www.slideshare.net/JamieLunn1/z-sector-arb
Results are pretty good.
Only issue is it is long only which Q might not be very keen on looking at.
I have seen similar result in TLT/GLD/SPY long only rotation here
https://www.quantopian.com/posts/meb-fabers-3-way-system
I was wondering if research environment have something to compare 2 strategies .
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.