I compared the stats to the recent stats you published in the latest portfolio update post and the numbers still hold:
55.8% CAGR and 17.6% MDD (this went up a little ), volatility was doubled at 49.1% and the SPY correlation is now high 0.55 not as good as in the backtest from 2018 0.09
how do you explain the change in both volatility and R?
Just different time periods. As you alluded, the backtesting result is from 2018 while my live result is from 2025/1/7. Those stats naturally fluctuate over time.
In the first condition, it says that the condition below is triggered only when the RSI is below 30 for 2 consecutive days. But below it says that it is when the RSI is between 15% and 35%.
1. What does this mean? If the RSI is 32%, this condition itself does not apply, right? Then the condition below should be between 15% and 30%, right?
2. What are the criteria for extreme oversold, borderline oversold, extreme overbought, and borderline overbought?
can you please explain this: It means it'll never go into 100% SHV. At most 75% for SHV (and the remaining 25% will for TECL) when the RSI falls on 30% exactly, for instance?
Not sure if I understand your question. The lower RSI gets, the more allocation to TECL, right? So in this specific case, the logic is saying that TECL will get 100% only if the RSI gets to 15 or lower. If it's 30 the allocation will be 75% SHV and 25% TECL. If it's 29, the allocation will be 70% SHV and 30% TECL.
With the index support removed from QuantMage, not really. The other two ideas can be isolated and backtested further, though, since, as you pointed out, the BDRY is the limiter.
thanks for this great article.
I compared the stats to the recent stats you published in the latest portfolio update post and the numbers still hold:
55.8% CAGR and 17.6% MDD (this went up a little ), volatility was doubled at 49.1% and the SPY correlation is now high 0.55 not as good as in the backtest from 2018 0.09
how do you explain the change in both volatility and R?
Just different time periods. As you alluded, the backtesting result is from 2018 while my live result is from 2025/1/7. Those stats naturally fluctuate over time.
Yes, that makes sense.
I was wondering if you know what was the trigger for such change in 2025.
Overall the strategy OOS looks good.
This is a very interesting strategy!! Haha.
But I have two questions.
In the first condition, it says that the condition below is triggered only when the RSI is below 30 for 2 consecutive days. But below it says that it is when the RSI is between 15% and 35%.
1. What does this mean? If the RSI is 32%, this condition itself does not apply, right? Then the condition below should be between 15% and 30%, right?
2. What are the criteria for extreme oversold, borderline oversold, extreme overbought, and borderline overbought?
1. It means it'll never go into 100% SHV. At most 75% for SHV (and the remaining 25% will for TECL) when the RSI falls on 30% exactly, for instance.
2. Those numbers were empirically found in backtesting simulation.
can you please explain this: It means it'll never go into 100% SHV. At most 75% for SHV (and the remaining 25% will for TECL) when the RSI falls on 30% exactly, for instance?
why 75% SHV and 25% TECL? I couldn't find the answer after going over https://www.1nve.st/p/quantmage-got-more-expressive
It's because the "Oversold Pops" section we're talking about here is under an if condition that checks if TQQQ's RSI is below 30.
Yes but why 75% SHV and 25% TECL when the RSI falls on 29% for example?
Why not 50%-50%?
Sorry if my question doesn't make sense but just trying to understand how the mixed condition works.
Not sure if I understand your question. The lower RSI gets, the more allocation to TECL, right? So in this specific case, the logic is saying that TECL will get 100% only if the RSI gets to 15 or lower. If it's 30 the allocation will be 75% SHV and 25% TECL. If it's 29, the allocation will be 70% SHV and 30% TECL.
I have to speak in Korean, but I used a translator so my intentions were not conveyed properly.
Question 1 again.
"If TQQQ's RSI(10) is below 30% for 2 consecutive days"....
"If TQQQ's RSI(10) is 15~35%?"
I don't really understand what this means.
Question 2
What condition does Extreme oversold refer to?
"Extreme oversold" means the RSI is 15% or below. Please refer to https://www.1nve.st/p/quantmage-got-more-expressive to understand how the "Mixed" incantation functions.
EUM has too little volume.
How do you buy it?
For example, if you need to change from GLDM to EUM, do you sell GLDM during the day and buy EUM at the closing price?
In the opposite case, do you sell EUM at the closing price and buy GLDM during the day the next day?
EUM is indeed relatively illiquid.
As noted in https://quantmage.app/library/guides/faq/#when-are-trades-executed, all trading happens near the market close (usually 10 minutes before the close).
Any chance of extending the backtest back further my using an asset or index similar to BDRY (assuming that is the limitation on the length)
With the index support removed from QuantMage, not really. The other two ideas can be isolated and backtested further, though, since, as you pointed out, the BDRY is the limiter.