StockFetcher Forums · General Discussion · 50%TMF & 50% TQQQ Strategy + ARK funds Questions?<< 1 2 3 >>Post Follow-up
davesaint86
725 posts
msg #156183
- Ignore davesaint86		 3/18/2021 9:41:41 AM

One of the better ones (maybe) that I have tested is a Relative Strength strategy

You buy the top two of (MDY,QQQ,VGT,IWF,FDN,ONEQ,PNQI,RPV,ARKW) based on a the 3-month lookback period and 4 month moving average. You buy TLT if not the the other ETFs meet the criteria.

CAGR=34.55% MAX DD= -11.46 Worst Year= %5.55 Sharpe Ratio 1.75
Now this strategy was only tested starting in 2016 because of ARKW. Even without ARKW the numbers are pretty good.

The Adaptive Top 4
CAGR=22.14% MAX DD= -9.68 Worst Year= %5.55 Sharpe Ratio 1.59 Worst Year=-6.84
davesaint86
725 posts
msg #156184
- Ignore davesaint86		 3/18/2021 9:43:57 AM

Fetcher[apply to symlist(mdy,qqq,fdn,iwf,arkw,rpv,ief,shy,vgt,gbtc,ETHE,wiz,dude,snug,arkf,arkk,arkq,Snug,slv,gld,bob,arkg,spy,vti,tlt)


draw ma(19)
draw average volumne line at 20

draw Bollinger bands(19,2.0)

Set{ADR15, ATR(20) * 1.50} /* davesaint86 */
Set{ATR1, high 10 day high - ADR15} /* davesaint86 */
Set{Buy1, high 10 day high - ADR15} /* davesaint86 */
draw atrlong on plot
draw atrshort on plot
draw BUY1 on plot price /* buy or hold above; sell or wait below */
Set{atrLong,count(close > buy1 ,1)}
Set{atrShort,count(close < buy1 ,1)}
set{E20,close - buy1}


draw vxvvxx on plot vxxavg
draw eriskon
draw eriskoff

and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00 and draw Slow Stochastic(14,3) Fast %K line at 50.00
draw rsi(14)
draw rsi(14) line at 50

draw rsi(14) line at 20
draw rsi(14) line at 80

set{E30, price above cma(low, 3))}
set{D5Longposition, count(E30 > 0,1)}
set{D5Shortposition, count(E30 < 0,1)}
SET{D5TRIGGER,0}

Set{RS1, csto + c-rsi}
Set{RS, rs1 / 2}
add column rs

set{E10, price above ema(9)}
set{D10Longposition, count(E10 > 0,1)}
set{D10Shortposition, count(E10 < 0,1)}
SET{D10TRIGGER,0}

set{E11, price above ma(19)}
set{D11Longposition, count(E11 > 0,1)}
set{D11Shortposition, count(E11 < 0,1)}
SET{D11TRIGGER,0}

set{E27, price above ma(50)}
set{D20Longposition, count(E27 > 0,1)}
set{D20Shortposition, count(E27 < 0,1)}
SET{D20TRIGGER,0}

set{E25, price above ma(100)}
set{D100Longposition, count(E25 > 0,1)}
set{D100Shortposition, count(E25 < 0,1)}
SET{D100TRIGGER,0}

set{E28, price above ma(200)}
set{D200Longposition, count(E28 > 0,1)}
set{D200Shortposition, count(E28 < 0,1)}
SET{D200TRIGGER,0}
(draw Bollinger Bands(19,2)

set{E31, price above Upper Bollinger Bands(19,2)}
set{ABLongposition, count(E31 > 0,1)}
set{ABShortposition, count(E31 < 0,1)}
SET{ABSTRIGGER,0}
set{E35, price below Lower Bollinger Bands(19,2)}
set{BBLongposition, count(E35 > 0,1)}
set{BBShortposition, count(E35 < 0,1)}
SET{BBSTRIGGER,0}



set{CRS1, rsi(7),1)}
set{CRS2, rsi(14),1)}
set{CRS3, rsi(21),1)}
set{CCRS1, CRS1 + CRS2}
set{CCRS2, CCRS1 + CRS3}
set{CCRS3, CCRS2 /3}

set{CRS4, weekly rsi(7),1)}
set{CRS5, weekly rsi(14),1)}
set{CRS6, weekly rsi(21),1)}

set{WCRS1, CRS4 + CRS5}
set{WCRS2, WCRS1 + CRS6}
set{WCRS3, WCRS2 /3}
set{CWRSI1, CCRS3 + WCRS3}
set{C-RSI, CWRSI1 /2}
set{RSI21, RSI(21) - 50}
set{CRSI_Bar, RSI21}
PlotType{CRSI_Bar,zerobar}

set{RSI14, RSI(14) - 50}
set{RSI14_line, RSI14}
draw RSI14 on plot CRSI_Bar

set{RSI7, RSI(7) - 50}
set{RSI7_line, RSI7}
draw RSI7 on plot CRSI_Bar

set{drsilong1, count(rsi(21) above 1, 1)}
set{drsilong2, count(rsi(7) above rsi(21), 1)}
set{drsilong3, count(rsi(14) above rsi(21), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}


set{wrsi1, weekly rsi(7)}
set{wrsi2, weekly rsi(21)}
set{wrsi3, count(wrsi1 > wrsi2,1)}
set{wrsilong, count(wrsi3 equals 1, 1)}
set{wrsishort, count(wrsi3 less than 1, 1)}


set{TWRSI7, weekly RSI(7)}
set{TWRSI14, weekly RSI(14)}
set{TWRSI21, weekly RSI(21)}
set{TWRSI1, TWRSI7 + TWRSI14}
set{TWRSI2, TWRSI1 + TWRSI21}
set{A-WRSI, TWRSI2 / 3}
set{TDRSI7, RSI(7)}
set{TDRSI14, RSI(14)}
set{TDRSI21, RSI(21)}
set{TDRSI1, TDRSI7 + TDRSI14}
set{TDRSI2, TDRSI1 + TDRSI21}
set{A-DRSI, TDRSI2 / 3}
set{LongRSI21Trend,count(RSI(21) > 49 ,1)}
set{LongRSI,count(RSI7 > RSI14 ,1)}
draw LongRSI on plot
set{LongRSI7,count(RSI7 above the 0 line ,1)}
draw longrsi7 on plot
set{LongRSI14,count(RSI14 above the 0 line ,1)}
draw longrsi14 on plot
set{LongRSI21,count(RSI21 above the 0 line ,1)}
draw longrsi21 on plot

set{CRS21, ROC(21,1)}
set{CRS63, ROC(63,1)}
set{CRS126, ROC(126,1)}
set{CR1, CRS21 + CRS63}
set{LB, CR1 /2}


set{C-RS, CR1 + CRS126}

Set{W21, CRS21 * .33}
Set{W63, CRS63 * .33}
Set{W126, CRS126 * .34}
set{rw1, w21 + w63}
set{rw-c, rw1 + w126}

set{wsto, weekly Slow Stochastics(14,3)}
set{dsto, Slow Stochastics(14,3)}
set{wdsto, wsto + dsto}
set{CSTO, wdsto / 2}

set{vxxc, ind(vxx,close)}
set{vixc, ind(^vix,close)}
set{vxvc, ind(vxv,close)}
set{spyc, ind(spy,close)}
set{spxl, ind(spxl,close)}
set{vix3, ind(^VIX3M,close)}

set{vxvvix, vxvc / vixc}
set{vixavg, cema(vxvvix,7)}
set{vxvvxx, vxvc / vxxc}
set{vxxavg, cema(vxvvxx,7)}

set{eriskon, count(vxvvxx > or = to vxxavg,1)}
set{eriskoff, count(vxvvxx < or = to vxxavg,1)}

set{erisk_on, count(vxvvxx crossed above vxxavg,1)}
set{erisk_off, count(vxvvxx crossed below vxxavg,1)}
set{ervar, vxvvxx - vxxavg}

set{tbxc, ind(tbx,close)}
set{tnxc, ind(^tnx,close)}
set{iefc, ind(ief,close)}
set{ieftnx, iefc / tnx}
set{tnxavg, cema(ieftnx,7)}

set{ieftbx, iefc / tbxc}
set{tbxavg, cema(ieftbx,7)}

set{briskon, count(ieftbx > or = to tbxavg,1)}
set{briskoff, count(ieftbx < or = to tbxavg,1)}
set{brisk_on, count (ieftbx crossed above tbxavg,1)}
set{brisk_off, count(ieftbx crossed below tbxavg,1)}
set{brvar, ieftbx - tbxavg}
draw ieftbx on plot tbxavg

draw briskon
draw briskoff


and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00 and draw Slow Stochastic(14,3) Fast %K line at 50.00

add column separator
add column eriskon {Equities-riskon}
add column separator
add column ervar
add column separator
add column briskon {bonds-riskon}
add column separator
add column brvar
add column separator

add column atrlong {Atr-Long}
add column separator
add column buy1 {atr-Trig}
add column separator

add column e20 {atr-$ Delta}
add column separator

set{e21, e20 / close}
set{e22, e21 *100}
add column e22 {atr-% Delta}
add column separator
add column cma(low,3) {MA3L-Trig}
add column separator
add column ABLongposition{a-u-bb}
add column separator
add column BBShortposition{b-l-bb}
add column separator

add column D11Longposition {MA19}
add column separator
add column D20Longposition {MA50}
add column separator
add column D100Longposition {MA100}
add column separator
add column D200Longposition {MA200}
add column separator
add column longrsi {rsi7/14}
add column separator
add column rw-c
add column separator
add column csto
add column separator
add column c-rsi
add column separator

ADD COLUMN ROC(105,1) {5 mth %}
add column separator
ADD COLUMN ROC(63,1) {3 mth %}
add column separator
ADD COLUMN ROC(21,1) {1 mth %}
add column separator
add column slow Stochastic(14,3) Fast %K {Fast%K}
add column slow Stochastic(14,3) Slow %D {Slow%D}
add column separator
add column slow Stochastic(14,3) Fast %K 2 day ago {Fast%K-2}
add column slow Stochastic(14,3) Slow %D 2 day ago {Slow%D-2}
add column separator
add column slow Stochastic(14,3) Fast %K 3 day ago {Fast%K-3}
add column slow Stochastic(14,3) Slow %D 3 day ago {Slow%D-3}
add column separator


SORT COLUMN 47 desCENDING
CHART-TIME IS 120 days
]
ron22
255 posts
msg #156193
- Ignore ron22		 3/18/2021 2:13:17 PM

@davesaint86, You are the Best! Thank you for your detailed reply and for the awesome filter.
shillllihs
6,047 posts
msg #156194
- Ignore shillllihs
modified		 3/18/2021 4:43:12 PM

And you would have made 6million with just Tqqq and steel ballz.

The other thing to consider is that a 33% drop wipes out Tqqq forever if I understand correctly.
risjr
229 posts
msg #156197
- Ignore risjr		 3/19/2021 12:10:34 AM

here is example to keep things simple!...30% UVXY.....70% UPRO...RE-BALANCE AT 5% GAIN...OR ONCE A MONTH..input is welcome!
risjr
229 posts
msg #156198
- Ignore risjr		 3/19/2021 12:15:15 AM

source tells me 18% per year...going back to 1980s....still doing the number crunching!
nibor100
1,046 posts
msg #156199
- Ignore nibor100		 3/19/2021 4:13:22 AM

@risjr,

I don't believe UVXY has been around much more than 10 years, definitely not in the 80s, so I'm not sure your source is providing you actual info.

Ed S.
davesaint86
725 posts
msg #156200
- Ignore davesaint86		 3/19/2021 7:57:31 AM

https://www.portfoliovisualizer.com/test-market-timing-model?s=y&coreSatellite=false&savedModelList=5-Dual+Mo+VFINX+VINEX&timingModel=6&timePeriod=4&startYear=1985&firstMonth=1&endYear=2021&lastMonth=12&calendarAligned=true&includeYTD=true&initialAmount=100000&periodicAdjustment=0&adjustmentAmount=0&inflationAdjusted=true&adjustmentPercentage=0.0&adjustmentFrequency=4&symbols=VFINX+VINEX&singleAbsoluteMomentum=false&volatilityTarget=9.0&downsideVolatility=false&outOfMarketStartMonth=5&outOfMarketEndMonth=10&outOfMarketAssetType=2&outOfMarketAsset=VUSTX&movingAverageSignal=1&movingAverageType=1&multipleTimingPeriods=true&periodWeighting=2&windowSize=1&windowSizeInDays=105&movingAverageType2=1&windowSize2=10&windowSizeInDays2=105&excludePreviousMonth=false&normalizeReturns=false&volatilityWindowSize=0&volatilityWindowSizeInDays=0&assetsToHold=1&allocationWeights=1&riskControlType=0&riskWindowSize=10&riskWindowSizeInDays=0&rebalancePeriod=1&separateSignalAsset=false&tradeExecution=0&comparedAllocation=0&benchmark=-1&benchmarkSymbol=SPY&timingPeriods%5B0%5D=1&timingUnits%5B0%5D=2&timingWeights%5B0%5D=33&timingPeriods%5B1%5D=3&timingUnits%5B1%5D=2&timingWeights%5B1%5D=33&timingPeriods%5B2%5D=6&timingUnits%5B2%5D=2&timingWeights%5B2%5D=34&timingUnits%5B3%5D=2&timingWeights%5B3%5D=0&timingUnits%5B4%5D=2&timingWeights%5B4%5D=0&volatilityPeriodUnit=2&volatilityPeriodWeight=0
Since 1998 CAGR 20.14, Worst year .15%, Max DD -20.63
risjr
229 posts
msg #156320
- Ignore risjr		 3/30/2021 12:22:16 PM

All set for the dump...let it dump....the bigger...THE BETTER!!!
risjr
229 posts
msg #156322
- Ignore risjr		 3/30/2021 12:51:09 PM

All set for crash!!
StockFetcher Forums · General Discussion · 50%TMF & 50% TQQQ Strategy + ARK funds Questions?<< 1 2 3 >>Post Follow-up

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