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Filter Exchange · Permanent Portfolio
davesaint86
msg #156635
4/16/2021 11:55:16 AM

Added dividend yield.

Fetcher[apply to symlist(wmt,dltr,rost,mcd,rol,azo,bf.b,bmy,mkc,hrl,chd,iau,cost,gild,v,clx,sjm,ief,shy,mnro,nflx,nee,mo,awk,BIP)

draw ma(19)
draw average volumne line at 20

draw Bollinger bands(19,2.0)

Set{ADR15, ATR(20) * 1.50} /* davesaint86 */
Set{ATR1, high 10 day high - ADR15} /* davesaint86 */
Set{Buy1, high 10 day high - ADR15} /* davesaint86 */
draw atrlong on plot
draw atrshort on plot
draw BUY1 on plot price /* buy or hold above; sell or wait below */
Set{atrLong,count(close > buy1 ,1)}
Set{atrShort,count(close < buy1 ,1)}
set{E20,close - buy1}


draw vxvvxx on plot vxxavg
draw eriskon
draw eriskoff

and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00 and draw Slow Stochastic(14,3) Fast %K line at 50.00
draw rsi(14)
draw rsi(14) line at 50

draw rsi(14) line at 20
draw rsi(14) line at 80

set{E30, price above cma(low, 3))}
set{D5Longposition, count(E30 > 0,1)}
set{D5Shortposition, count(E30 < 0,1)}
SET{D5TRIGGER,0}

Set{RS1, csto + c-rsi}
Set{RS, rs1 / 2}
add column rs

set{E10, price above ema(9)}
set{D10Longposition, count(E10 > 0,1)}
set{D10Shortposition, count(E10 < 0,1)}
SET{D10TRIGGER,0}

set{E11, price above ma(19)}
set{D11Longposition, count(E11 > 0,1)}
set{D11Shortposition, count(E11 < 0,1)}
SET{D11TRIGGER,0}

set{E27, price above ma(50)}
set{D20Longposition, count(E27 > 0,1)}
set{D20Shortposition, count(E27 < 0,1)}
SET{D20TRIGGER,0}

set{E25, price above ma(100)}
set{D100Longposition, count(E25 > 0,1)}
set{D100Shortposition, count(E25 < 0,1)}
SET{D100TRIGGER,0}

set{E28, price above ma(200)}
set{D200Longposition, count(E28 > 0,1)}
set{D200Shortposition, count(E28 < 0,1)}
SET{D200TRIGGER,0}
(draw Bollinger Bands(19,2)

set{E31, price above Upper Bollinger Bands(19,2)}
set{ABLongposition, count(E31 > 0,1)}
set{ABShortposition, count(E31 < 0,1)}
SET{ABSTRIGGER,0}
set{E35, price below Lower Bollinger Bands(19,2)}
set{BBLongposition, count(E35 > 0,1)}
set{BBShortposition, count(E35 < 0,1)}
SET{BBSTRIGGER,0}



set{CRS1, rsi(7),1)}
set{CRS2, rsi(14),1)}
set{CRS3, rsi(21),1)}
set{CCRS1, CRS1 + CRS2}
set{CCRS2, CCRS1 + CRS3}
set{CCRS3, CCRS2 /3}

set{CRS4, weekly rsi(7),1)}
set{CRS5, weekly rsi(14),1)}
set{CRS6, weekly rsi(21),1)}

set{WCRS1, CRS4 + CRS5}
set{WCRS2, WCRS1 + CRS6}
set{WCRS3, WCRS2 /3}
set{CWRSI1, CCRS3 + WCRS3}
set{C-RSI, CWRSI1 /2}
set{RSI21, RSI(21) - 50}
set{CRSI_Bar, RSI21}
PlotType{CRSI_Bar,zerobar}

set{RSI14, RSI(14) - 50}
set{RSI14_line, RSI14}
draw RSI14 on plot CRSI_Bar

set{RSI7, RSI(7) - 50}
set{RSI7_line, RSI7}
draw RSI7 on plot CRSI_Bar

set{drsilong1, count(rsi(21) above 1, 1)}
set{drsilong2, count(rsi(7) above rsi(21), 1)}
set{drsilong3, count(rsi(14) above rsi(21), 1)}
set{drsilong4, drsilong1 + drsilong2}
set{drsilong5, drsilong4 + drsilong3}
set{drsilong, count(drsilong5 equals 3, 1)}
set{drsishort, count(drsilong5 less than 3, 1)}
SET{DRSITRIGGER,0}


set{wrsi1, weekly rsi(7)}
set{wrsi2, weekly rsi(21)}
set{wrsi3, count(wrsi1 > wrsi2,1)}
set{wrsilong, count(wrsi3 equals 1, 1)}
set{wrsishort, count(wrsi3 less than 1, 1)}


set{TWRSI7, weekly RSI(7)}
set{TWRSI14, weekly RSI(14)}
set{TWRSI21, weekly RSI(21)}
set{TWRSI1, TWRSI7 + TWRSI14}
set{TWRSI2, TWRSI1 + TWRSI21}
set{A-WRSI, TWRSI2 / 3}
set{TDRSI7, RSI(7)}
set{TDRSI14, RSI(14)}
set{TDRSI21, RSI(21)}
set{TDRSI1, TDRSI7 + TDRSI14}
set{TDRSI2, TDRSI1 + TDRSI21}
set{A-DRSI, TDRSI2 / 3}
set{LongRSI21Trend,count(RSI(21) > 49 ,1)}
set{LongRSI,count(RSI7 > RSI14 ,1)}
draw LongRSI on plot
set{LongRSI7,count(RSI7 above the 0 line ,1)}
draw longrsi7 on plot
set{LongRSI14,count(RSI14 above the 0 line ,1)}
draw longrsi14 on plot
set{LongRSI21,count(RSI21 above the 0 line ,1)}
draw longrsi21 on plot

set{CRS21, ROC(21,1)}
set{CRS63, ROC(63,1)}
set{CRS126, ROC(126,1)}
set{CR1, CRS21 + CRS63}
set{LB, CR1 /2}


set{C-RS, CR1 + CRS126}

Set{W21, CRS21 * .33}
Set{W63, CRS63 * .33}
Set{W126, CRS126 * .34}
set{rw1, w21 + w63}
set{rw-c, rw1 + w126}

set{wsto, weekly Slow Stochastics(14,3)}
set{dsto, Slow Stochastics(14,3)}
set{wdsto, wsto + dsto}
set{CSTO, wdsto / 2}

set{vxxc, ind(vxx,close)}
set{vixc, ind(^vix,close)}
set{vxvc, ind(vxv,close)}
set{spyc, ind(spy,close)}
set{spxl, ind(spxl,close)}
set{vix3, ind(^VIX3M,close)}

set{vxvvix, vxvc / vixc}
set{vixavg, cema(vxvvix,7)}
set{vxvvxx, vxvc / vxxc}
set{vxxavg, cema(vxvvxx,7)}

set{eriskon, count(vxvvxx > or = to vxxavg,1)}
set{eriskoff, count(vxvvxx < or = to vxxavg,1)}

set{erisk_on, count(vxvvxx crossed above vxxavg,1)}
set{erisk_off, count(vxvvxx crossed below vxxavg,1)}
set{ervar, vxvvxx - vxxavg}

set{tbxc, ind(tbx,close)}
set{tnxc, ind(^tnx,close)}
set{iefc, ind(ief,close)}
set{ieftnx, iefc / tnx}
set{tnxavg, cema(ieftnx,7)}

set{ieftbx, iefc / tbxc}
set{tbxavg, cema(ieftbx,7)}

set{briskon, count(ieftbx > or = to tbxavg,1)}
set{briskoff, count(ieftbx < or = to tbxavg,1)}
set{brisk_on, count (ieftbx crossed above tbxavg,1)}
set{brisk_off, count(ieftbx crossed below tbxavg,1)}
set{brvar, ieftbx - tbxavg}
draw ieftbx on plot tbxavg

draw briskon
draw briskoff


and draw Slow Stochastic(14,3) Fast %K line at 20.00 and draw Slow Stochastic(14,3) Fast %K line at 80.00 and draw Slow Stochastic(14,3) Fast %K line at 50.00

add column separator
add column eriskon {Equities-riskon}
add column separator
add column ervar
add column separator
add column briskon {bonds-riskon}
add column separator
add column brvar
add column separator

add column atrlong {Atr-Long}
add column separator
add column buy1 {atr-Trig}
add column separator

add column e20 {atr-$ Delta}
add column separator

set{e21, e20 / close}
set{e22, e21 *100}
add column e22 {atr-% Delta}
add column separator
add column cma(low,3) {MA3L-Trig}
add column separator
add column ABLongposition{a-u-bb}
add column separator
add column BBShortposition{b-l-bb}
add column separator

add column D11Longposition {MA19}
add column separator
add column D20Longposition {MA50}
add column separator
add column D100Longposition {MA100}
add column separator
add column D200Longposition {MA200}
add column separator
add column longrsi {rsi7/14}
add column separator
add column rw-c
add column separator
add column csto
add column separator
add column c-rsi
add column separator

ADD COLUMN ROC(105,1) {5 mth %}
add column separator
ADD COLUMN ROC(63,1) {3 mth %}
add column separator
ADD COLUMN ROC(21,1) {1 mth %}
add column separator
add column dividend yield {DIV-Y}
add column separator
add column slow Stochastic(14,3) Fast %K {Fast%K}
add column slow Stochastic(14,3) Slow %D {Slow%D}
add column separator
add column slow Stochastic(14,3) Fast %K 2 day ago {Fast%K-2}
add column slow Stochastic(14,3) Slow %D 2 day ago {Slow%D-2}
add column separator
add column slow Stochastic(14,3) Fast %K 3 day ago {Fast%K-3}
add column slow Stochastic(14,3) Slow %D 3 day ago {Slow%D-3}
add column separator


SORT COLUMN 47 desCENDING
CHART-TIME IS 120 days
]



Filter Exchange · Permanent Portfolio
davesaint86
msg #156634
4/16/2021 11:50:56 AM

https://www.portfoliovisualizer.com/optimize-portfolio?s=y&targetAnnualVolatility=10&constrained=false&lastMonth=12&startYear=2006&historicalReturns=true&targetAnnualReturn=15&firstMonth=1&goal=9&symbol10=BMY&symbol13=CHD&symbol14=IAU&symbol11=MKC&symbol12=HRL&symbol18=clx&benchmark=VFINX&symbol15=COST&symbol16=GILD&symbol20=sjm&symbol21=NEE&symbol24=V&symbol25=BIP&symbol22=MO&symbol23=awk&symbol19=NFLX&symbol4=MCD&historicalVolatility=true&symbol7=HRB&symbol6=ROL&symbol1=WMT&endYear=2021&symbol3=ROST&symbol2=DLTR&mode=2&comparedAllocation=1&symbol9=BF.B&symbol8=AZO&timePeriod=4&robustOptimization=false&historicalCorrelations=true&groupConstraints=false

Filter Exchange · Permanent Portfolio
davesaint86
msg #156630
4/16/2021 9:33:51 AM

https://www.portfoliovisualizer.com/optimize-portfolio?s=y&goal=9&symbol10=BMY&symbol13=CHD&symbol14=IAU&symbol11=MKC&symbol12=HRL&symbol18=clx&benchmark=VFINX&symbol15=COST&symbol16=GILD&symbol20=sjm&symbol19=V&targetAnnualVolatility=10&constrained=false&symbol4=MCD&lastMonth=12&historicalVolatility=true&symbol7=HRB&symbol6=ROL&symbol1=WMT&endYear=2021&symbol3=ROST&symbol2=DLTR&mode=2&comparedAllocation=1&startYear=2006&symbol9=BF.B&symbol8=AZO&timePeriod=4&historicalReturns=true&robustOptimization=false&targetAnnualReturn=15&historicalCorrelations=true&firstMonth=1&groupConstraints=false

Risk Parity - Added more risk-adverse stocks.

Filter Exchange · Permanent Portfolio
davesaint86
msg #156629
modified
4/16/2021 8:09:06 AM

Good find Olathegolf. I took V out because I wanted to see what this strategy did in 2008. Going back to 2006 the strategy never went to VUSTX once. Also, adding COST to the mix improves it.

Davesaint

General Discussion · The Money flow trading system
davesaint86
msg #156611
4/15/2021 11:10:58 AM

https://www.tradingview.com/x/JILGSWvX/

Filter Exchange · Permanent Portfolio
davesaint86
msg #156610
modified
4/15/2021 10:50:12 AM

Thanks SafeTrade. All I did was add two more uncorrelated ETFs to the mix. I watched a video where they were allocated:

66% TQQQ
19% COPX
10% UVXY
5% GBTC

Filter Exchange · Permanent Portfolio
davesaint86
msg #156602
4/14/2021 5:47:41 PM

Fetcher[symlist(tqqq,uvxy,copx,gbtc)
draw ma(10)
set{psar, Parabolic SAR(0.05,0.5)}
set{buy, count(close crossed above psar,1)}
set{sell, count(close crossed below psar,1)}
draw psar on plot price
draw buy
]



Filter Exchange · Permanent Portfolio
davesaint86
msg #156595
4/14/2021 9:47:55 AM

https://www.volatilitytradingstrategies.com/


General Discussion · The Money flow trading system
davesaint86
msg #156594
4/14/2021 9:44:25 AM

Mac,

How is his trading strategy different Stan Weinstein's trading strategy? Is it basically a faster version of it?

Davesaint

Filter Exchange · Permanent Portfolio
davesaint86
msg #156583
4/13/2021 4:56:06 PM

A 43% QLD 57% TYD allocation seems to be the best for a maximized sharpe ratio. 23% CAGR. MAX DD 11.54%

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