1 registered members (AndrewAMD),
816
guests, and 2
spiders. |
Key:
Admin,
Global Mod,
Mod
|
|
|
Re: Z8 & Z9 questions
[Re: DdlV]
#481154
08/07/20 17:10
08/07/20 17:10
|
Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
|
OP
Serious User
Joined: Jun 2013
Posts: 1,609
|
Thanks all!
@jcl: To phrase the 1st question another way, Z9, like Z8 needs assets that are diversified, as much as possible uncorrelated, that each have an increasing history, and are expected go higher than where they are currently, correct?
@jcl, petra: Re. c), how does one select a different "park" asset? I don't see that in the manual...
@jcl, petra: Re. e), for the AR strategies, that don't automatically reinvest, the square root "rule" limits the amount of profits that can be withdrawn in order to minimize the risk of strategy blow up. For the CAGR strategies that reinvest automatically, such as Z8 & Z9, there are statements amongst these strategies that the reinvest is done according to the square root rule, and the amount not reinvested is retained as a buffer. So, the question becomes, can anything be withdrawn safely before completely stopping the strategy? If so, how much? According to what "rule"/formula?
Thanks!
|
|
|
Re: Z8 & Z9 questions
[Re: DdlV]
#481252
08/17/20 17:35
08/17/20 17:35
|
Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
|
OP
Serious User
Joined: Jun 2013
Posts: 1,609
|
Thanks jcl. But I'm still confused...
Re. Reinvest: I'm not sure how "force" entered the conversation. I understand that our accounts are ours to put funds in or take them out. There is, however, the square root "rule" guideline that a prudent investor should follow vis-a-vis withdrawals from the high leverage strategies.
The confusion is being generated by this sentence from the manual's description for Z8: "The backtest reinvests the capital growth to the power of 0.9, and keeps the remaining profit as cash reserve on the account for buffering drawdowns.", this for Z9 "... reinvesting profit to the power of 0.9 ...", and this for Z13 "The system reinvests profits using the square root rule, with the exponent determined from leverage. With no leverage, as on a cash account, profits are linear reinvested.".
When the manual says "[t]he backtest reinvests" does it really mean "[t]he strategy reinvests"?
Bottom line: For Z8 & Z9, can any amount be safely withdrawn, and then simply adjust the Capital slider per the remaining account balance as if starting the strategy new as described in the manual? Or is there some other consideration(s) to take into account?
Re. the Z9 "safe asset": The manual description of Z9 includes "If no sector or index has any positive momentum, the system invests in treasury." Not only is "treasury" a non-specific term, I can't see this in AssetZ9.csv. I see 5 assets in AssetsZ9.csv marked as 1 (bond): AGG, HYG, IGSB, TLT, and VOO. Not all of these are gov't treasuries.
So, bottom line: Which asset in AssetZ9.csv is the specific "treasury" "safe asset"? Or, does "the system invests in treasury" really mean "the system invests in all (some?) assets marked as bond"? If so, in equal amounts? Or some other distribution?
Thanks.
|
|
|
Re: Z8 & Z9 questions
[Re: DdlV]
#481396
09/07/20 23:00
09/07/20 23:00
|
Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
|
OP
Serious User
Joined: Jun 2013
Posts: 1,609
|
Thanks jcl.
So mathematically, if one starts with $1,000 and it grows to $2,000 after the 1st cycle,
- the square root rule would give reinvest of $1,414
- the ".9 rule" gives a reinvest of $1,866, with $134 maintained on account for safety.
Is this the recommended way to trade Z8/Z9? In the example above, the next Trade should be with $1,866 capital, not the account's $2,000 balance?
Or is this just to add a bit of conservatism to the backtest and in Trading one should use $2,000?
Thanks.
|
|
|
Re: Z8 & Z9 questions
[Re: DdlV]
#481565
09/29/20 20:16
09/29/20 20:16
|
Joined: Jun 2013
Posts: 1,609
DdlV
OP
Serious User
|
OP
Serious User
Joined: Jun 2013
Posts: 1,609
|
Hi jcl,
I've run some further Tests of Z9, and have these remaining questions:
a) When Trading live, is it recommended to follow the ".9 rule" for reinvesting, as described above?
b) Various Tests have shown Z9 invest in nothing, only Bonds, or both Bonds and other assets in the list. When in all Bonds, it is (so far) never in equal proportions across the Bond assets, so presumably by the OptF. There are no messages in the Test Log that say "nothing's good - going all bonds", so I wonder about the manual's description: In what way are Bonds treated differently? Or are all 3 asset classes (0, 1, & 2) in reality treated the same?
c) When a class 3 asset is specified, it is traded. I.e., it isn't exclusively used to detect a market crash. There is also no message in the Log like "market crash! doing <whatever>", but having an asset of class 3 obviously affects results since it's traded. So, how can we tell when the class 3 asset sees a crash and what happens specifically because of that? As opposed to Z9 just investing in the class 3 asset as it does all the others?
Thanks.
|
|
|
|