The logic is so simple and legible and pure. Thanks for sharing.
Here's my quick spin on it. The only new logic of note is that I added a short-term corporate bond (SPSB) SMA trend as a risk-off signal. I'm using BTAL as my risk-off asset (going short high-beta and long low-beta fits the theme of the strategy nicely).
Using the longer backtest IGSB ticker you can see it de-risk in GFC, 2018, COVID, and 2022. Semi-reliable signal? If even short-term corp bonds are down, it's often danger. (BTAL, however, might not work as a reliable else.) https://quantmage.app/grimoire/5b0d1c2a4bacd78c98c74fd2afc639fd
SPLV+SPHB actually did ring a bell. I had a something in my shoebox of discarded strategies that used those two assets, but with much worse performance (CAGR 12.91%, MDD -27.83%).
Please explain in plain English the SMA12 rules. I looked at your mathematical definition and don't understand it. It is just a 12 month rate of change comparison between two ETFs?
Every month, you check how many coins are in your piggy bank. You write down the number for one year period (12 start-of-the-month tallies and today's coins).
Now, here's what SMA12 Momentum does:
1. It adds up the 13 tallies together
2. Then it divides by 13 to find the average
3. It compares today's coins to that average
If you have MORE coins today than the average, that's good momentum - like your piggy bank is getting fuller faster! 📈
If you have FEWER coins today than the average, that's not-so-good momentum - like your piggy bank isn't growing as fast. 📉
Super satisfying strategy!
The logic is so simple and legible and pure. Thanks for sharing.
Here's my quick spin on it. The only new logic of note is that I added a short-term corporate bond (SPSB) SMA trend as a risk-off signal. I'm using BTAL as my risk-off asset (going short high-beta and long low-beta fits the theme of the strategy nicely).
https://quantmage.app/grimoire/a39719a0a458f3109f17666196786896
Cool, thanks for sharing!
SPSB signal with BTAL seems to mostly help during 2022.
Using the longer backtest IGSB ticker you can see it de-risk in GFC, 2018, COVID, and 2022. Semi-reliable signal? If even short-term corp bonds are down, it's often danger. (BTAL, however, might not work as a reliable else.) https://quantmage.app/grimoire/5b0d1c2a4bacd78c98c74fd2afc639fd
Great Idea!! Thank you very much. :)
excellent!
SPLV+SPHB actually did ring a bell. I had a something in my shoebox of discarded strategies that used those two assets, but with much worse performance (CAGR 12.91%, MDD -27.83%).
https://tinyurl.com/56fazphm
I'm actually considering investing a small sum into the QLD variant. Thank you!
Glad to hear that you liked it, Martin! Yeah, using them as a signal turned out to be much more potent than using them as assets.
Please explain in plain English the SMA12 rules. I looked at your mathematical definition and don't understand it. It is just a 12 month rate of change comparison between two ETFs?
Imagine you have a piggy bank 🐷
Every month, you check how many coins are in your piggy bank. You write down the number for one year period (12 start-of-the-month tallies and today's coins).
Now, here's what SMA12 Momentum does:
1. It adds up the 13 tallies together
2. Then it divides by 13 to find the average
3. It compares today's coins to that average
If you have MORE coins today than the average, that's good momentum - like your piggy bank is getting fuller faster! 📈
If you have FEWER coins today than the average, that's not-so-good momentum - like your piggy bank isn't growing as fast. 📉
So the 12 samples before today are frozen for the whole month (ie., first day of month price)?
Is this correct (for simplicity say 1st is always first day of month):
March 1: 13 samples are March 1, Feb 1, Jan 1, .... March 1
March 2: 13 samples are March 2, March 1, Feb 1, .... April 1
March 3: 13 samples are March 3, March 1, Feb 1, .... April 1
?
No. The 13 samples would be today's price, the price 21 days ago, the price 42 days ago, the price 63 days ago, and so on.
Very clear now thank you!