Greetings all,
In the past I’ve been using another service to run an ETF strategy. I want to ‘move’ this strategy to P123. I’ve never experimented with ETF strategies in P123 before, so I thought it might be a good idea to see if some of the other users who have, would be willing to help me out.
The trend based strategy I’m talking about divides asset classes in 3 groups
(1) An aggressive block: QQQ, VTV, SCZ, VNQ, EWJ, VWO, VGK, IWM
(2) An alternative block: SPY, VGK, EWJ, VWO, VNQ, TLT, DBC, IAU
(3) A defensive block: IEF, TLT, TIP, DBA, IAU, AGG, EFA, BNDX
Each month the strategy:
-
selects the top 4 / 8 performing asset classes in each group based on return momentum (based on the sum of 5,7,9,11,13 month returns) and weights them equally.
-
checks whether the 4 selected asset classes in each group are trending (e.g. based on 10-month SMA). In case they are trending, invests in that asset class, if not, invests in IEF. In case IEF is in a downtrend, invests in SHY. In case SHY is in a downtrend, invest in BIL
-
checks whether the S&P 500 is trending (e.g. based on 10-month SMA), if so the blocks get a weight of 33%, 33%, 34%. If not, 0%, 66%, 34%.
I think I will have to use a lot of Eval functions in the buy and sell rules to get it done. I’m happy with any input.
Best,
Victor