Hello,
I have been reviewing the Tactical Asset Allocation strategy that is one of the published strategies and I believe there is an error.( corrected code below )
The Ivy portfolio strategy should be ranking the avgROC value from highest to lowest and selecting the symbols with highest ROC.
I have been reviewing the Tactical Asset Allocation strategy that is one of the published strategies and I believe there is an error.( corrected code below )
CODE:
//sort the participants by AvgROC value (lowest to highest) // participants.Sort((a, b) => a.UserDataAsDouble.CompareTo(b.UserDataAsDouble)); participants.Sort((a, b) => b.UserDataAsDouble.CompareTo(a.UserDataAsDouble));
The Ivy portfolio strategy should be ranking the avgROC value from highest to lowest and selecting the symbols with highest ROC.
Rename
Thanks, you're right. We'll add a version 2 with the correction in the Sample Strategies.
We'll still need a fact check by someone what has the book, because there are multiple comments in the code that indicate that the lowest average ROC values were actually intended to be selected - although the strategy clearly performs better with the the highest values.
I no longer have a copy of the book but here is a link to the original paper by Faber that he based the book on. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461
The rules are very simple:
The rules in the WLD strategy are not consistent with the rules listed above. The WLD strategy uses an ROC for ranking and the rules from the paper use a binary above/below SMA to determine if etf should be held. And Faber's strategy uses monthly bars, not daily bars.
The rules are very simple:
The rules in the WLD strategy are not consistent with the rules listed above. The WLD strategy uses an ROC for ranking and the rules from the paper use a binary above/below SMA to determine if etf should be held. And Faber's strategy uses monthly bars, not daily bars.
I found a copy of the book and see that it does have a rotational strategy similar to the WLD strategy but it buys on strength, not on weakness. Here are the rules:
Close to the WLD strategy if the symbols are sorted on strength instead of weakness.
Close to the WLD strategy if the symbols are sorted on strength instead of weakness.
Cool. v2 is on the way.
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