Systems as of
9/22/2023 06:11:06 EDT
Systems are an effective way to organize and manage different strategies in a more efficient manner. By allocating a specific sum of money to a system, the expectation is that the group of strategies within the system will be more effective in terms of reducing risk and limiting drawdowns.
These systems are created by combining different strategies in an arbitrary manner, without using risk parity or inverse volatility measures. The specific ratios of each strategy within a system are outlined on the system’s page.
It is important to note that while the ratio of each strategy within a system is specified, the actual amount or size assigned to each asset may be less than what the system ratio calls for. This is a money management technique known as partial commitment, which holds back a portion of the funds to reduce risk and increase flexibility. This technique is a simple yet effective way to manage funds and ensure that the system is able to achieve its desired goals.
|AutoCorrelation||AutoSOXL, AutoTQQQ, AutoSPXL, AutoTECL||1.20||1.77||30.51%||-12.33%||2.47||EOD|
|Volatility||VRatio, VRP-SPX, VRP-NDX||1.59||2.04||55.81%||-15.09%||3.70||EOD|
|IOSplines||OSplineNDX, OSplineSPX, OSplineTNA||1.21||1.73||50.27%||-17.07%||2.94||EOD|
|ISplines||SplineNDX, SplineSPX, SplineTNA||1.16||1.50||30.41%||-11.79%||2.58||EOD|
|VSplines||SplineSVXY, SplineVXX, SplineUVXY||1.47||1.87||25.49%||-9.06%||2.81||EOD|
|AllWeather||Factor, FX, GrayBeard||0.83||1.04||15.99%||-11.71%||1.37||EOM|
From the above table, a system is a group of one or more strategies.
A specific strategy decides what to invest in, while an indicator simply recommends either RiskOn or RiskOff
APR is the average annual percent return, ADD is average drawdown seen
TimeFrame indicates the frequency of the data being used for the strategy,
EOD - EndOfDay,
EOM - EndOfMonth