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Equity Toggle for 30,60,90 day Windows
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JimDean
Posted 5/2/2014 6:48 PM (#5847)
Subject: Equity Toggle for 30,60,90 day Windows



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An extensive discussion has occured in the OVest forum about this (click here), and this is the solution I've proposed ... should work now for Strategies, and soon for Portfolios.

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1. Make sure you have plenty of warmup bars to stabilize the actions of all the strategies in use ... do that by setting the simulation start date 'way earlier than your time windows (you pick how far back it should be - just input that date)

2. Decide on HOW you want to evaluate the performance of the Portfolio's equity curve, mathematically ... you can't compare it to other portfolios (that's what the Balancer will do) ... but you can compare it to some standard "acceptable performance" threshold.

3. Write a Portfolio Switching OScript formula to measure the performance OVER THE TIME PERIOD(s) that you care about, and turn the Portfolio off (or on) based on that "scoring".

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How might this be done? Depends on your scoring rules, but let's use a simple example. Presume that you are willing to stay with your existing Portfolio, as long as it's Net Change in Equity over the past 30 days is 2%, and over the past 60 days is 5%, and over the past 90 days is 10%. The formula to confirm that must be entered as an EQUITY condition:

C >= 1.02*C[30] and C >= 1.05*C[60] and C >= 1.1*C[90]
... change the percents or windows as you see fit

You could of course add more conditions such as checking the SLOPE of the Equity curve, just over the most recent period, as a fourth "and" clause, to see if it's at least 1% for the month = 1/30% per day:
and LnReg_Slope(C,30) > C[30]/100/30

The possibilities are endless.


Thread moved by JimDean on 8/4/2014 8:51 AM from Markets & Methods > OmniVest, Money Mgmt & Risk Control > Equity Toggle for 30,60,90 day Windows

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