SAFeTRADE
656 posts
msg #156585
- Ignore SAFeTRADE |
4/13/2021 5:11:06 PM
Safetrade
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davesaint86
726 posts
msg #156595
- Ignore davesaint86 |
4/14/2021 9:47:55 AM
https://www.volatilitytradingstrategies.com/
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davesaint86
726 posts
msg #156602
- Ignore davesaint86 |
4/14/2021 5:47:41 PM
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Cheese
1,374 posts
msg #156603
- Ignore Cheese
modified |
4/14/2021 6:53:28 PM
https://www.stockfetcher.com/forums/Filter-Exchange/Permanent-Portfolio/156248/20
SAFeTRADE 4/13/2021 5:11:06 PM
symlist(uvxy,upro)
draw ma(10)
set{psar, Parabolic SAR(0.05,0.5)}
set{buy, count(close crossed above psar,1)}
set{sell, count(close crossed below psar,1)}
draw psar on plot price
draw buy
draw sell
========================================
@SAFeTRADE
THANK YOU for your filter and Parabolic SAR(0.05,0.5).
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davesaint86
726 posts
msg #156610
- Ignore davesaint86
modified |
4/15/2021 10:50:12 AM
Thanks SafeTrade. All I did was add two more uncorrelated ETFs to the mix. I watched a video where they were allocated:
66% TQQQ
19% COPX
10% UVXY
5% GBTC
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olathegolf
119 posts
msg #156618
- Ignore olathegolf |
4/15/2021 9:52:07 PM
Here's one from Kiplinger:
Article: The 15 Best Recession-Resistant Stocks to Buy
https://www.kiplinger.com/slideshow/investing/t018-s001-the-15-best-recession-resistant-stocks-to-buy/index.html
I equal weighted using Portfolio Visualizer
Rebalanced monthly although CAGR based on rebalancing quarterly, semi-annually, and yearly were not that different.
Results:
Period: 2009-2021
Initial Balance: $10,000
Final Balance: $71,920
CAGR: 17.35%
Stdev: 10.53%
Best Year: 29.38%
Worst Year: 3.16%
Max. Drawdown: -14.05%
Sharpe Ratio: 1.53
Sortino Ratio: 3.06
US Mkt Correlation: 0.72
https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&timingModel=6&timePeriod=4&startYear=1985&firstMonth=1&endYear=2021&lastMonth=12&calendarAligned=true&includeYTD=true&initialAmount=100000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&adjustmentFrequency=4&symbols=WMT+DLTR+ROST+MCD+K+ROL+HRB+AZO+BF.B+BMY+MKC+HRL+V+CHD+IAU&singleAbsoluteMomentum=false&volatilityTarget=9.0&downsideVolatility=false&outOfMarketStartMonth=5&outOfMarketEndMonth=10&outOfMarketAssetType=2&outOfMarketAsset=VUSTX&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=true&periodWeighting=2&windowSize=1&windowSizeInDays=105&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&excludePreviousMonth=false&normalizeReturns=false&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=3&allocationWeights=1&riskControlType=0&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&comparedAllocation=0&benchmark=-1&benchmarkSymbol=SPY&timingPeriods%5B0%5D=1&timingUnits%5B0%5D=2&timingWeights%5B0%5D=33&timingPeriods%5B1%5D=3&timingUnits%5B1%5D=2&timingWeights%5B1%5D=33&timingPeriods%5B2%5D=6&timingUnits%5B2%5D=2&timingWeights%5B2%5D=34&timingUnits%5B3%5D=2&timingWeights%5B3%5D=0&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0
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Cheese
1,374 posts
msg #156622
- Ignore Cheese |
4/16/2021 12:32:53 AM
@olathegolf
WMT DLTR ROST MCD K ROL HRB AZO BF.B BMY MKC HRL V CHD IAU
Looks great. THANK YOU !
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davesaint86
726 posts
msg #156629
- Ignore davesaint86
modified |
4/16/2021 8:09:06 AM
Good find Olathegolf. I took V out because I wanted to see what this strategy did in 2008. Going back to 2006 the strategy never went to VUSTX once. Also, adding COST to the mix improves it.
Davesaint
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davesaint86
726 posts
msg #156630
- Ignore davesaint86 |
4/16/2021 9:33:51 AM
https://www.portfoliovisualizer.com/optimize-portfolio?s=y&goal=9&symbol10=BMY&symbol13=CHD&symbol14=IAU&symbol11=MKC&symbol12=HRL&symbol18=clx&benchmark=VFINX&symbol15=COST&symbol16=GILD&symbol20=sjm&symbol19=V&targetAnnualVolatility=10&constrained=false&symbol4=MCD&lastMonth=12&historicalVolatility=true&symbol7=HRB&symbol6=ROL&symbol1=WMT&endYear=2021&symbol3=ROST&symbol2=DLTR&mode=2&comparedAllocation=1&startYear=2006&symbol9=BF.B&symbol8=AZO&timePeriod=4&historicalReturns=true&robustOptimization=false&targetAnnualReturn=15&historicalCorrelations=true&firstMonth=1&groupConstraints=false
Risk Parity - Added more risk-adverse stocks.
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Cheese
1,374 posts
msg #156632
- Ignore Cheese |
4/16/2021 10:28:45 AM
@davesaint86
Thank you for the Risk Parity strategy and the additional risk-adverse stocks.
I plan to use some of your recent filters to monitor these stocks.
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