Tactical Asset Allocation - Wealth Lab Forum

jakem5150

#1

1/10/2013 9:37 PM

HI,

I was wondering if it's possible to set up a code to backtest Mebane Faber's claims of tactical asset rotation that he discusses in his book Ivy Portfolio? Since etfs don't have enough history to backtest, would it be possible to backtest u.s. stocks(s@p), foreign stocks(msci eafe), u.s. bonds(10 year treasuries), commodities(gsci), and real estate(nareit)? Mebane backtests them on price performance and ranks them using a combination of 3, 6, and 12 month returns and chooses the one that performed the best. I would be very interested to know how this performed using the top etf and rotating every month. If there could be some kind of functionality that would let you choose between top 1, top 2 or top 3, that would be great. Thank you very much and I would greatly appreciate your help in this.

Eugene

#2

1/11/2013 3:37 AM

As far as I understood, the task falls into Symbol Rotation group but the idea is to rotate whole asset classes, not within a given group like ETFs? But if you're willing to make things simple, we'll avoid that factor of complexity. I also saw a requirement that the instrument must also be over the 10-month SMA (i.e. roughly 200-day SMA) to be candidates. Here's a quick take on the rules:

CODE:
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As far as I understood, the task falls into Symbol Rotation group but the idea is to rotate whole asset [i]classes[/i], not within a given group like ETFs? But if you're willing to make things simple, we'll avoid that factor of complexity. I also saw a requirement that the instrument must also be over the 10-month SMA (i.e. roughly 200-day SMA) to be candidates. Here's a quick take on the rules:

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
 
namespace WealthLab.Strategies
{	
	public class TacticalAssetRotation : WealthScript, IComparer<iHolder>		
	{
		private StrategyParameter numberOfSymbols;
		private StrategyParameter days2Hold;
		private StrategyParameter paramFilter;

public TacticalAssetRotation()
		{
			numberOfSymbols = CreateParameter("Top n Symbols", 1, 1, 3, 1);
			days2Hold  = CreateParameter("Min.holding time", 30, 10, 60, 5);
			paramFilter  = CreateParameter("Use SMA filter", 0, 0, 1, 1);
		}		
		
		protected override void Execute()
		{
			int days = days2Hold.ValueInt;	
			
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = 200; bar < Bars.Count; bar++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						// Average ROC
						holder.rsi = ( ROC.Series(Bars.Close, 60)[bar] + ROC.Series(Bars.Close, 120)[bar] + ROC.Series(Bars.Close, 200)[bar] ) / 3;
						// 200-day MA
						holder.ma = SMA.Series(Bars.Close, 200)[bar];
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				list.Reverse();
    
				//keep top number only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest N
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = ( bar+1 - p.EntryBar <= days ) ? true : false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;								
							break;
						}
					if (!keepPosition)
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						bool canBuy = paramFilter.ValueInt == 0 ? true : 
							paramFilter.ValueInt == 1 && Close[bar] > holder.ma ? true : false;
						if( canBuy )
							if( BuyAtMarket(bar + 1) != null )
								LastPosition.Priority = holder.rsi;
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
	
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
		internal double ma;
	}
}
[/CODE]

topcat77

#3

1/28/2013 11:56 AM

I managed to install this strategy code onto my WL and it works usefully -with interesting results - except for one quirk.
The Results by Symbol visualiser totals bear no resemblance to the summary Performance sheet or to a summation of individual Trades. am I missing something about the strategy ?

Eugene

#4

1/28/2013 12:05 PM

Actually, the fact you`re seeing this visualizer indicates that you`re incorrectly running it in Multi-Symbol backtest mode. Remember, rotational strategies should be executed in single symbol mode. Then, By Symbol will not appear at all -- and this will be correct.

FAQ: A Rotation strategy isn`t working like it should

On a related note, any rotational systems (or other code that trades with SetContext inside a DataSetSymbols loop) are not compatible with such visualizers as Analysis Series, By Symbol (maybe others).

Lieuallen

#5

2/5/2013 8:23 AM

Excellent code, and an interesting strategy to consider. I tried to put together some broad "indices" (RYMEX, VBMFX, VFINX, VGSIX and VHGEX), but the results weren't what I had hoped. Just for interest's sake, run this code on the Nasdaq 100 data set -- impressive performance, although the drawdown is more than I think I could stomach. And why do so many strategies seem to "peter out" in 2011 and 2012?

RickTg

#6

10/5/2015 5:02 PM

I have read

FAQ: A Rotation strategy isn`t working like it should

but it does not answer my questions.

After opening the strategy in my workspace, I clicked on a single symbol in the appropriate dataset and all I got was a plot but the test results that I got for net profit was the same as return on cash.

How do I activate a single symbol backtest for a rotation strategy? And how does the strategy know that the backtest is for all the symbols in the dataset?

Eugene

#7

10/5/2015 5:06 PM

You've already "activated" it so to speak by clicking on a single symbol. Look for such things as the number of skipped trades (check position sizing) and potentially insufficient data loading settings (at least 200 daily bars are required just to get the ball rolling). If still no go, please provide more details:

1. Is Strategy code unmodified?
2. Symbol(s) and Data provider
3. Which symbol did you click?
4. Position Sizing and Data Loading settings
5. Describe the problem in detail. What does it mean "no test results"? To clarify explanations, you might want to attach a screen shot in PNG format.

RickTg

#8

10/5/2015 5:09 PM

Sorry - our posts crossed paths.

Strategy code is unmodified.

BND DBC GSG RWX TIP VB VEU VNQ VTI VWO from Yahoo

I clicked the first symbol in the list.

Position sizing 33% of equity. On demand data updates.

What I got was a plot of the clicked symbol and the performance indicated no trades with a net profit which was the same as return on cash.

RickTg

#9

10/5/2015 5:24 PM

I reran the strategy using a daily timeframe and it appeared to work. However, it is a monthly strategy, so 200 bars minimum would mean a start of at most 16.6 years ago.

I examined the code in more detail and I now see why it requires at least 200 bars to get the ball rolling.

I apologize for wasting your time.

Thanks

Rick

Eugene

#10

10/6/2015 2:13 AM

Rick,

No problem. Glad you got it sorted.

You might also want to disable "Min.holding time" by making the following changes to the code because this logic is working incorrectly:

CODE:
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P.S. Here's a design pattern shared by LenMoz that incorporates "Minimum holding period" without triggering the bug: click here.

PFNikolai

#11

3/27/2016 6:21 PM

Eugene: Thanks for adding the TAA strategy to the pre-made Explore & Backtest section--very helpful for us newbs...

For other newbs: To download all new pre-made strategies click Home > Explore & Backtest > Download > Begin Download and they will be added to the folders in the Explore & Backtest section.

rbryant

#12

1/14/2018 1:31 AM

Hi
I wanted to add two filters to this rotation strategy: I added MACD>0, and CCI>0. I have two questions:

1. Have I added the filters correctly? I don't understand the use of holder.[ ].
2. How do I call the values of MACD and CCI at an entry bar in the PrintDebug() function to check they are above 0?

Thank you very much in advance
Regards
Rod

CODE:
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Hi
I wanted to add two filters to this rotation strategy: I added MACD>0, and CCI>0. I have two questions:

1. Have I added the filters correctly? I don't understand the use of holder.[ ].
2. How do I call the values of MACD and CCI at an entry bar in the PrintDebug() function to check they are above 0?

Thank you very much in advance
Regards
Rod

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

//source: https://www.wealth-lab.com/Forum/Posts/Tactical-Asset-Allocation-32930

namespace WealthLab.Strategies
{   
	public class TacticalAssetRotation : WealthScript, IComparer<iHolder>      
	{

StrategyParameter numberOfSymbols;
		StrategyParameter days2Hold;
		StrategyParameter paramFilter;
		StrategyParameter strategyParameter5;
		public TacticalAssetRotation()
		{
			numberOfSymbols = CreateParameter("Top n Symbols", 3, 1, 4, 1);
			days2Hold = CreateParameter("Min.holding time", 30, 10, 60, 5);
			paramFilter = CreateParameter("Use SMA filter", 1, 0, 1, 1);
		}      
      
		protected override void Execute()
		{
			int days = days2Hold.ValueInt;   
         	DataSeries atr = ATR.Series(Bars,30);  
			
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			HideVolume();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = 200; bar < Bars.Count; bar++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						// Average ROC
						holder.rsi = ( ROC.Series(Bars.Close, 60)[bar] + ROC.Series(Bars.Close, 120)[bar] + ROC.Series(Bars.Close, 220)[bar] ) / 3;
						
						holder.ma = SMA.Series(Bars.Close, 200)[bar];
						holder.macd = MACD.Series( Bars.Close )[bar];
						holder.cci = CCI.Series( Bars, 30)[bar];  
						holder.roc = ROC.Series( Bars.Close, 5)[bar];
						
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				list.Reverse();
    
				//keep top number only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest N
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = ( bar+1 - p.EntryBar <= days ) ? true : false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;                        
							break;
						}
					if (!keepPosition)
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						bool canBuy = paramFilter.ValueInt == 0 ? true : 
							paramFilter.ValueInt == 1 && Close[bar] > holder.ma ? true : false;
							
							//added		
						canBuy = holder.macd > 0 ? true : false;
						canBuy = holder.cci >0 ? true : false; 
						
						if( canBuy )
						{
							RiskStopLevel = ( Close[bar]-3*atr[bar]);
							if( BuyAtMarket(bar + 1) != null )
					//			PrintDebug();	
					
								LastPosition.Priority = holder.rsi;
						}
						
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
   
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
		internal double ma;
		internal double macd;
		internal double cci;
		internal double roc;
		
	}
}[/code]

Eugene

#13

1/14/2018 6:36 AM

Hi Rod,

Corrected your new CCI/MACD filter and the usage of RiskStopLevel. (The ATR should be defined inside a holder, not the way you did.) Made a couple more fixes i.e. added GetTradingLoopStartBar with a proper starting period. Also added a PrintDebug as requested:

CODE:
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Hi Rod,

Corrected your new CCI/MACD filter and the usage of RiskStopLevel. (The ATR should be defined inside a holder, not the way you did.) Made a couple more fixes i.e. added [i]GetTradingLoopStartBar[/i] with a proper starting period. Also added a [i]PrintDebug [/i]as requested:

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

//source: https://www.wealth-lab.com/Forum/Posts/Tactical-Asset-Allocation-32930
namespace WealthLab.Strategies
{   
	public class TacticalAssetRotation : WealthScript, IComparer<iHolder>      
	{
		StrategyParameter numberOfSymbols;
		StrategyParameter days2Hold;
		StrategyParameter paramFilterSMA;
		StrategyParameter paramFilterOther;

public TacticalAssetRotation()
		{
			numberOfSymbols = CreateParameter("Top n Symbols", 3, 1, 4, 1);
			days2Hold = CreateParameter("Min.holding time", 30, 10, 60, 5);
			paramFilterSMA = CreateParameter("Use SMA filter", 1, 0, 1, 1);
			paramFilterOther = CreateParameter("Use MACD/CCI filter", 1, 0, 1, 1);			
		}      
      
		protected override void Execute()
		{
			int days = days2Hold.ValueInt;   
			bool useSMAFilter = paramFilterSMA.ValueInt == 1;
			bool useOtherFilter = paramFilterOther.ValueInt == 1;
         
			//Clear cached symbol list so they can be re-requested with synchronization
			ClearExternalSymbols();
			int number = numberOfSymbols.ValueInt;
			HideVolume();
			ClearDebug();
   
			//Execute rotation strategy
			List<iHolder> list = new List<iHolder>();
			for(int bar = GetTradingLoopStartBar(220); bar < Bars.Count; bar++)
			{
				//Identify the Top-N symbols that have the lowest ROC
				list.Clear();
				foreach(string symbol in DataSetSymbols)
				{
					SetContext(symbol, true);
					if (Bars.FirstActualBar < bar)
					{
						iHolder holder = new iHolder();
						holder.symbol = symbol;
						// Average ROC
						holder.rsi = ( ROC.Series(Bars.Close, 60)[bar] + ROC.Series(Bars.Close, 120)[bar] + ROC.Series(Bars.Close, 220)[bar] ) / 3;
                  
						holder.ma = SMA.Series(Bars.Close, 200)[bar];
						holder.macd = MACD.Series( Bars.Close )[bar];
						holder.cci = CCI.Series( Bars, 30)[bar];  
						holder.roc = ROC.Series( Bars.Close, 5)[bar];
						holder.atr = ATR.Series(Bars,30)[bar];
                  
						list.Add(holder);
					}
					RestoreContext();
				}
				list.Sort(this);
				// Instead of Bottom-N, deal with Top-N stocks:
				list.Reverse();
    
				//keep top number only
				int c = list.Count;
				for(int i = c - 1; i >= number; i--)
					list.RemoveAt(i);
    
				//Close positions that are not in the new lowest N
				for(int pos = ActivePositions.Count - 1; pos >= 0; pos--)
				{
					Position p = ActivePositions[pos];
					bool keepPosition = ( bar+1 - p.EntryBar <= days ) ? true : false;
					foreach(iHolder holder in list)
						if( holder.symbol == p.Bars.Symbol )
						{
							keepPosition = true;                        
							break;
						}
					if (!keepPosition)
						SellAtMarket(bar + 1, p);           
				}
    
				//Buy new positions
				foreach(iHolder holder in list)
				{
					bool buyPosition = ( ActivePositions.Count == number ) ? false : true;
					foreach(Position p in ActivePositions)
						if (p.Bars.Symbol == holder.symbol)
						{
							buyPosition = false;
							break;
						}
					if (buyPosition)
					{
						SetContext(holder.symbol, true);
						bool canBuy = true;
						
						//bool primary = !useSMAFilter ? true : false;
						bool sma = !useSMAFilter ? true : (Close[bar] > holder.ma) ? true : false;
						bool cci_macd = !useOtherFilter ? true : ((holder.macd > 0) && (holder.cci > 0)) ? true : false;
                  
						canBuy = canBuy && sma && cci_macd;
						
						if( canBuy )
						{
							RiskStopLevel = ( Close[bar]-3*holder.atr);
							if( BuyAtMarket(bar + 1) != null )
							{
								if(cci_macd)
									PrintDebug( "CCI:\t" + Bars.FormatValue(holder.cci) + "\tMACD:\t" + Bars.FormatValue(holder.macd));
								
								LastPosition.Priority = holder.rsi;
							}
						}
                  
						RestoreContext();
					}
				}
			}
		}
  
		public int Compare(iHolder item1, iHolder item2)
		{
			return item1.rsi.CompareTo(item2.rsi);
		}
	}
   
	public class iHolder
	{
		internal string symbol;
		internal double rsi;
		internal double ma;
		internal double macd;
		internal double cci;
		internal double roc;
		internal double atr;      
	}
}[/code]