quantopian meetup vancouver - presentation

Download Quantopian Meetup Vancouver - Presentation

Post on 24-Jan-2017

16 views

Category:

Economy & Finance

3 download

Embed Size (px)

TRANSCRIPT

  • Jan 10, 2017

    Vancouver Algorithmic Trading

    ETF Models

    Franois Lucas, Founder

    Sponsored by Quantopian

  • www.thespysurfer.com / info@thespysurfer.com 2/15Jan 10, 2017

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 3/15Jan 10, 2017

    SPY4ALL ETF ModelUber simple Rules:

    At the end of the month, if SP500 price is below its SMA-8,9,10,11,12 (5 SMA): allocate 0% SPY, 100% AGG (or cash)

    At the end of the month, if SP500 price is above its SMA-8: allocate 20% SPY, 80% AGG (or cash)SMA-8,9: allocate 40% SPY, 60% AGG (or cash)SMA-8,9,10: allocate 60% SPY, 40% AGG (or cash)SMA-8,9,10,11: allocate 80% SPY, 20% AGG (or cash)SMA-8,9,10,11,12: allocate 100% SPY, 0% AGG (or cash)

    SPY = SP500 ETF (same as VFINX, IVV, VOO, VSP.TO, XSP.TO, ...)AGG = US Aggregate Bonds ETF (same as VBMFX, BND, VBU.TO, ...)

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 4/15Jan 10, 2017

    SMA-8,9,10,11,12 applied on SPY since 2004 (monthly data, non-adjusted)

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 5/15Jan 10, 2017

    SMA-8,9,10,11,12 applied on SPY since Sept 2015 (monthly, non-adjusted)

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 6/15Jan 10, 2017

    VFINX = SPYSPY4ALL w/ Cash (blue) vs. SPY4ALL w/ Bonds (red) vs. Buy&Hold (orange)

    Both reduced MaxDD and increased MAR since 1986Bonds have been in a bull market for 30 years

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 7/15Jan 10, 2017

    MaxDD = Maximum DrawDowns = Puke Factor

    Buy&Hold (red) = -50.97% since 1986

    SPY4ALL (blue) = -23.51% (-24.92% with Cash)

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 8/15Jan 10, 2017

    VFINX = SPYWith SPY4ALL model, SP500 Allocation went to 0% (i.e. 100% bonds

    or cash) in bear markets and reduced MaxDD since 1986

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 9/15Jan 10, 2017

    SPY4ALL (blue) applied on the TSX Index (red) since 1980

    Reduced MaxDD by almost 20% (less puke)

    Increased both CAGR and MAR in this case

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 10/15Jan 10, 2017

    SPY4ALL (blue) applied on the SP500 Index (red) since 1950

    Reduced MaxDD by almost 23% (less puke)

    Decreased CAGR, Increased MAR in this case

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 11/15Jan 10, 2017

    SPY4ALL (blue) applied on the Nikkei 225 Index (red) since 1984

    Reduced MaxDD by almost 34% (more puke)

    Increased both CAGR and MAR in this case

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 12/15Jan 10, 2017

    SMA-50d/100d/200d applied on since 2011

    Reduced MaxDD by almost 15% (still a lot more puke)

    Increased both CAGR and MAR in these cases

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 13/15Jan 10, 2017

    Plan / Execute / Get Punched / Survive / Learn / Repeat

    Thank You!

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 14/15Jan 10, 2017

    DEFINITION of 'MAR Ratio'

    The MAR Ratio = Compound Annual Growth Rate (CAGR) / Max DrawDown (MaxDD)

    The higher the ratio, the better the risk-adjusted returns

    The MAR Ratio gets its name from the Managed Accounts Report newsletter

    BREAKING DOWN 'MAR Ratio'

    Fund A: CAGR = 30%, MaxDD =15%, then MAR = 2

    Fund B: CAGR = 35%, MaxDD =20%, then MAR = 1.75

    Fund A would be deemed to be superior because of its higher MAR Ratio

    Source: Investopedia

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

  • www.thespysurfer.com / info@thespysurfer.com 15/15Jan 10, 2017

    Simple Moving Average - SMA

    http://www.thespysurfer.com/mailto:info@thespysurfer.com

    Slide 1Slide 2Slide 3Slide 4Slide 5Slide 6Slide 7Slide 8Slide 9Slide 10Slide 11Slide 12Slide 13Slide 14Slide 15