Systems
Systems as of 5/27/2022 03:33:34 EDT
This attempts to group strategies in meaningful ways that makes their management easier. By assigning a sum of money to a system, the idea is that the group of participating strategies will be better in some way. Usually, this is simply easier to keep trading, lowering the risk and draw downs being seen. The mixes are somewhat arbitrary, no risk parity or inverse volatility measures are being used.
These mixes are detailed on the actual system pages themselves, assigning a ratio to each strategy. For those adding up the numbers carefully on the signals page, the actual amounts or Size assigned to each asset may be below what the system ratio calls for. This is because some systems never fully commit 100%, holding back a little in a crude but effective money management scheme.
| System | Strategies | Sharpe | Sortino | APR | ADD | APR/ADD | Tick |
|---|---|---|---|---|---|---|---|
| Cycles | Cycler321x, VSlopes | 0.89 | 1.17 | 27.62% | -15.26% | 1.81 | EOD |
| HighLow | HighLowSOXL, HighLowUDOW, HighLowSPXL | 0.70 | 0.88 | 23.82% | -17.82% | 1.34 | EOD |
| ATR | AtrTQQQ, AtrSPXL | 1.14 | 1.46 | 26.78% | -15.24% | 1.76 | EOD |
| CTI | CtiSQQQ, CtiTQQQ, CtiTECL, CtiSOXL, CtiTMF | 0.97 | 1.04 | 152.38% | -32.44% | 4.70 | EOD |
| VolatilitySPX | VRP-SPX | 1.64 | 2.13 | 49.19% | -11.63% | 4.23 | EOD |
| VolatilityNDX | VRP-NDX | 1.48 | 1.85 | 55.01% | -16.45% | 3.34 | EOD |
| Index-d | 3xADM-d, 1xADM-d | 0.85 | 1.13 | 37.29% | -18.20% | 2.05 | EOD |
| General-d | Alvarez-d, GrayBeard-d | 0.77 | 1.00 | 26.03% | -20.68% | 1.26 | EOD |
| Momentum-02 | Hanly, Alvarez | 1.00 | 1.17 | 15.45% | -10.49% | 1.47 | EOM |
| Momentum-03 | 3xADM, 1xADM | 1.04 | 1.32 | 32.57% | -15.35% | 2.12 | EOM |
| SixtyForty | 3xADM, BondYield | 1.06 | 1.30 | 24.13% | -12.39% | 1.95 | EOM |
| AllWeather | Factor, FX, GrayBeard | 0.82 | 0.99 | 16.34% | -10.64% | 1.54 | EOM |
| Momentum-Alt | Alternate, Sector | 0.81 | 0.98 | 20.50% | -14.34% | 1.43 | EOM |
| Indicators | CalendarTrend, DMIndicatorRSP, DMIndicatorMC, DMIndicatorCPI | 0.69 | 0.84 | 5.90% | -7.38% | 0.80 | EOM |
| IndicatorsEOD | SP500Bayes, MC-EOD | 0.65 | 0.81 | 6.47% | -8.72% | 0.74 | EOD |
Notes
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
Tick indicates the frequency of the data being used for the strategy, EOD - EndOfDay, EOM - EndOfMonth