T-Rex strategy

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T-Rex strategy

edited

Concept from
http://www.signalplot.com/the-definitive-guide-to-shorting-leveraged-etfs/

This algo shorts both long and inverse x3 leveraged ETFs to exploit volatility drag.
I called it the T-Rex strategy because it has two short arms... heh..

The strategy can have some really bad trades, but thankfully stop losses are very effective and do not affect the overall productivity of this algo.

Here is an explanation.
Every week, get the percentage change for lookback period (60 days) for both long and short arm. Add both values together. Sort all pairs and pick the lowest sum, which should be the draggiest of all pairs. Short the pair for a week. Get out if you lose 5%.

5 responses

Same as above except with lookback period set to 20 days, and will only trade if there is volatility drag. More effective and less expensive from a shorting expense.

1st algo: Leverage hits 2, quickly shorts twice init cash, cash headroom for longs, low beta from the shorting. In my experience with that sort of liquidation condition, have to wait afterward to keep them from reopening immediately.
2017-02-17 13:00 pvr:144 INFO PvR 0.0205 %/day cagr 0.1 Portfolio value 19476
2017-02-17 13:00 pvr:145 INFO Profited 9476 on 29999 activated/transacted for PvR of 31.6%
2017-02-17 13:00 pvr:146 INFO QRet 94.76 PvR 31.59 CshLw 10000 MxLv 2.00 RskHi 29999 Shrts 19445
2017-02-17 13:00 pvr:234 INFO 2011-01-03 to 2017-02-17 $10000 2017-02-18 22:27 US/Eastern
Runtime 0 hr 6.1 min

Here is the leveraged x2 version. Are you even allowed to leverage a short x3 position?

Leverage hits 4.0 (2 is only end of day) and it placed 140,392 at risk to make only 27,213 for PvR of only 19.4%

I added a more conservative filter instead of just accepting a sum < 0, and changed the start date. The strategy is in the market only about 1/5 weeks. Anyone have any ideas on something productive during off weeks?

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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.