I am going to share some of my trading system, this one is weekly trading system. Asset class considered for this system are - eem
efa
gld
gsg
ief
SPY
vnq
I will post a backtested result for this strategy.
Result 1 - With fixed position size of 100000 , i get a CAR of about 10 % percent, drawdown is just 6 %.
Main reason for lower drawdown is because of this 2 filter
1. MAFilter2 = (MA(Foreign("SPY","C"),50) > MA(Foreign("SPY","C"),200)) AND (MA(Foreign("SPY","C"),20) > MA(Foreign("SPY","C"),50));
2. a weekly vix filter -
RestorePriceArrays();
SetForeign("^VIX");
//Vix_value=12;
Vix_value=Optimize("Vix_value",4,3,14,1);
TimeFrameSet(inWeekly);
RSI14_vix = RSI(Vix_value);
TimeFrameRestore();
RSI14_vix = TimeFrameExpand( RSI14_vix , inWeekly );
RSIVix_value=Optimize("RSIVix_value",50,40,90,2);
MAFilter = RSI14_vix < RSIVix_value ;
RestorePriceArrays();
This strategy can be also traded with rydex funds. For rydex funds we have use a filter of RSI(5) < 40 along with MAFilter2 = ROC(Foreign("SPY","C"),200) > 0 ;
I hav used following funds for rydex -RYAVX
RYAWX
RYAZX
RYBHX
RYBIX
RYCIX
ryeix
ryepx
ryeux
ryfix
rygbx
ryghx
ryhgx
RYHIX
RYHRX
ryihx
RYIIX
ryjhx
ryjux
RYKIX
RYLIX
RYMBX
RYMIX
rymlx
RYNVX
RYOCX
RYOIX
RYPIX
rypmx
ryrhx
RYRIX
rysbx
RYSIX
RYSPX
RYTIX
RYUIX
RYVIX
RYWAX
rywbx
RYZAX
This is way more than what we need in next step i will trim it down to only ones which we would need to mirror the actual ETF system.
