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Tomyani
Feature Request: Market Exposure or Rank feature that feeds into amount a sim invests

I would like to be able to add a 'book' system that creates a 'weighted market exposure signal' from -100% SPY to +100% SPY. So, this can be done if a book is allowed to invest or be offered in terms of ETF timers. Books are much more conservative with specific ETF timers then single systems and I would feel better offering these.

I would also like to be able to build the following for my own use, and have the resulting value 'flow back' in to the exposure I am seeking on stock selection systems.

What's needed:

a) 10 underlying systems all timing the SP500 - SPY, Cash or SH.
b) Summing / combining these systems in a book.

So, P123 is good so far.
c) Having the book sum these signals to produce a weighted signal.

d) I would like to be able to take the value of this weighted signal and plug into an 'exposure factor' for my general stock systems - and have it vary the amount invested based on this. So, if my weighted system returns 60% long net, I would like that value to drive the exposure I am seeking on my stock systems.

Best,
Tom
View the feature request here .

"Everyone has a plan until they get punched in the face." Mike Tyson
"It's not supposed to be easy. Anyone who finds it (investing) easy, is stupid." Charlie Munger

May 26, 2015 10:08:35 AM       
tkp
Re: Feature Request: Market Exposure or Rank feature that feeds into amount a sim invests

Hi Tom,

I was thinking of similar too. As for combined timers I was planning to experiment to have for example 4 systems in a book each with equal allocation and different market timers. Kind of market timing diversification. When different timers triggers on different time the book gradually moves to hedge. This I think possible right now and you can take whatever number of assets you like until limited by P123. The only problem here each timer bind to specific system. And we still not sure of timers efficiency.

And of cause I am strongly for introducing books into R2G list , I think this will bring us to new level of diversification. So my vote for your request.

Best regards,
Konstantin

May 27, 2015 3:28:44 AM       
Tomyani
Re: Feature Request: Market Exposure or Rank feature that feeds into amount a sim invests

Thanks. In general, I don't know if 'books' will be good for R2G or not, because books of optimized systems are even more distorted (and the correlations of systems with market timing embedded are also likely not very accurate - so interpretation of results gets harder). But, in terms of timers on specific ETF's, I think they will overall be helpful. For personal use, the 'weighted signal' that can be used to either adjust the total amount invested in one portfolio, or as a timer in buy/sell/hedge rules, would be very good for me. The same with 'variable' cash invested in a system based on a 'market exposure' ranking.

"Everyone has a plan until they get punched in the face." Mike Tyson
"It's not supposed to be easy. Anyone who finds it (investing) easy, is stupid." Charlie Munger

May 27, 2015 8:27:30 AM