noooob

13612W

This script is a 13612W momentum filter used in the Vigilant Asset Allocation (VAA) and Defensive Asset Allocation (DAA) created by Wouter J. Keller and Jan Willem Keuning.

This asset allocation strategy was uploaded to SSRN in 2017 and 2018.

13612W Calculation Method

(Profitability in Last 1 months * 12 +
Profitability in Last 3 months * 4 +
Profitability in Last 6 months * 2 +
Profitability in Last 12 months)/4


Let me briefly explain one of the VAAs, VAA-G4.
The VAA-G4 has an annualized return of 17.7%, a Sharpe ratio of 1.07% and Max Drawdown of 16.1%.
(It's too long and complicated to describe all VAA, DAA strategies. Above all, the translator performance is not good.)


VAA Global 4 Universe: SPY , EFA , EEM , AGG
Cash Universe: SHY , IEF , LQD

If 13612W of VAA Global 4 Universe is negative at least one
>> 100% of assets hold one of the highest 13612W of Cash Universe

If all 13612W of VAA Global 4 Universe are positive
>> 100% of assets hold one of the highest 13612W of VAA Global 4 Universe

Rebalancing is done every month according to this method.
릴리즈 노트: December 31, 2020 Content Added

The script has been updated more legibly than before.

Include either IEFA or VEA in the VAA Global 4 Universe instead of EFA
The commission fee for both ETFs is lower than EFA.
And the difference between the two ETFs is that some countries are included differently.
View the list of countries you include and add what you want.
I chose VEA.

And include either IEMG or VWO in the VAA Global 4 Universe instead of EEM.
Likewise, the two ETFs have lower commission fees than EFA.
It's the same to include some countries differently.
I chose VWO.
오픈 소스 스크립트

진정한 TradingView의 정신에 따라, 이 스크립트의 작성자는 스크립트를 오픈소스로 게시했기에 거래자들이 이해하고 확인할 수 있습니다. 작가님께 건배! 스크립트를 무료로 사용할 수 있지만, 게시물에서 이 코드를 재사용하는 것은 하우스룰을 따릅니다. 당신은 스크립트를 차트에 사용하기 위해 그것을 즐겨찾기 할 수 있습니다.

차트에 이 스크립트를 사용하시겠습니까?

코멘트

Hi, does this script present the pick for the current month ? SPY is for December?
+1 응답
noooob kwiciak
@kwiciak,

Please understand that grammar is weird because of the translator.

On December 1, VAA Global 4 Universe had no assets below zero at 13612w.
EFA was the largest asset at 13612w.
In other words, according to the VAA strategy, you must buy an EFA on December 1 at 100% of your assets.

Note that EFA and EEM can be replaced by VEA and VWO.
In this case, we need to buy a VEA.
+1 응답
kwiciak noooob
@noooob, grammar is good - all is clear, but seems I don't know how to use the script to pick the right asset

let's say I start today and want to build my portfolio using this strategy - how should I use it then on the daily basis?

many thanks,
kw
응답
noooob kwiciak
@kwiciak, If any of the four offensive assets is below zero, buy the one with the highest indicator of the three defensive assets at 100% weighting.
If not, buy the highest indicator of offensive assets at 100% weighting.
Follow this strategy to trade on the first or last day of each month and then forget for a month
That's all
응답
kwiciak noooob
@noooob, yep, this is perfectly clear
but it's more about how to do it technically on the platform step by step? should I go to each asset seperatly, as per the strategy, and triger the script to compare its values and base on that pick the right one for the month?
응답
kwiciak kwiciak
OK, I got it I guess. I am new to the platform so I just figured how to find where to put your script on the asset graph.
So as per today I can see EEM has the higest value.

Many thanks Mate!
응답