Hi Vandan,
Sure thanks that was a good overview of the Clenow performance characteristics. I was just curious with all the chatter about it. The books of the last few years have all been in the same range for Rotational, relative momentum and absolute momentum. Seems like a book a day comes out with the same or similar content.
Thanks again.
-S
From: amibroker@yahoogroups.com [mailto:amibroker@yahoogroups.com]
Sent: Tuesday, June 28, 2016 8:15 PM
To: amibroker@yahoogroups.com
Subject: RE: [amibroker] Re: code for Clenow book
Hi Sean:
Strategy:
1. Russell 1000 universe. Worse rank help: 250
2. point-in-time components ( using IsIndexConstituent("$RUI") fundction of PDU)
3. date range of 1/1/2002 to 6/28/2006,
4. Move to bond etfs (SHY, IEF, or TLT - based on positionscore) when SPY 20 day ema is below 200 day ema
5. Mostly Clenow strategy
A: Risk parity position sizing (1.5 * buyprice / (3*ATR))
CAR: 22.33%; Trades: 731; %winner: 59.1% ; Avg Bars held = 35.22; MDD = 29.32% (in Q3 2010)
B: Risk parity position sizing (1.5 * buyprice / (ATR))
CAR: 29.59%; Trades: 374; %winner: 60.4% ; Avg Bars held = 36.29; MDD = 48.1% (in Q4 2014) (`30% in Q3 2010)
C. 1/N sizing using to 12
CAR: 18.18%; Trades: 1037; %winner: 56.8%; Avg Bars held = 35.72; MDD = 28.61% (in Q3 2010)
Vandan
(I think this is what you were asking for)
Posted by: "Sean ONeill" <ONeillSeanP@verizon.net>
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