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The strategy is a single best asset rotational momentum and trend system that allocates each day to the instrument with the strongest risk adjusted medium term momentum among a small menu of liquid ETFs, primarily leveraged sector and index exposures (SOXL, TECL, TQQQ, FAS, ERX) with defensive alternatives (UUP as a dollar proxy, TMF as long duration Treasuries) and a cash like sleeve (BIL). The alpha hypothesis is that cross sectional momentum persists, but should be scaled by realized volatility and filtered by trend and extreme RSI conditions to avoid buying into unstable or overextended moves. Signals are computed from daily data: weighted rates of change over roughly 2 week, 1 month, and 3 month horizons, divided by 1 month realized volatility, with a modest bonus if price is above a 50 day SMA and a penalty when RSI is very high or very low.
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Tap Trends
Anyone following this strategy? Please update the real time results and accuracy
Jared Broad
@Tap the backtest is reprocessed daily.Â
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Advocate Hasan Raza Khan
You have built a remarkably logical and mathematically sound framework. The rotation logic is clean, and the Python implementation is highly efficient. To make this deployable, you need to align the capital with the strategy's true limits.
Have you considered running a localized sensitivity analysis (e.g., shifting your SPY SMA from 200 to 180 or 220) to see if the strategy completely collapses, or testing it with a starting capital of $50,000 to see a more realistic representation of slippage and capacity?
Maximilian Wimmer
Advocate Hasan Raza Khan Thank you for your answer. I am going to run a localised sensitivity analysis (shifting the SPY SMA from 200 to 180 or 220) and test it with a starting amount of $50,000.
Karthiga Bhuvana.
This code won't be sufficient to protect the loss during the crashes like 2000-2001 and 2008.
the 2x & 3x will lead to more losses during big crashes.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
This discussion is closed