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.)
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
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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.
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.
kwiciak
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@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
noooob
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@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
kwiciak
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@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?
kwiciak
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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!
nexxtrade
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good day. thank you for the script.
can i check, the momentum score formula i saw on some of the blog reads as follows
Momentum Score = (12*(p0/p1)) + (4*(p0/p3)) + (2*(p0/p6)) + (p0/p12) – 19 p0 = today’s price, p1 = price at close of last month, etc…
would that make a different to the momentum reading as compared to your formula.
Also, basis your formula. I can just reader to 1D time frame and check the indicator on the last day of the month / 1st day of the new month. If its positive / negative right ?
Thank you !
noooob
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@smellypipi, Both formulas are the same 1. (12*(p0/p1)) + (4*(p0/p3)) + (2*(p0/p6)) + (p0/p12) – 19 2. (12*(p0/p1-1)) + (4*(p0/p3-1)) + (2*(p0/p6-1)) + (p0/p12-1)
12 + 4 + 2 + 1 = 19
Divide by 4 is just my preference. (I wanted to see the average of the four returns. It won't affect the choice of stocks.)
In fact, if you trade on the same day every month, you can trade on any day of the star.
However, I recommend it because the back test results showed the highest return at the end of the month and the beginning of the month.
nexxtrade
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@noooob, hello thank you for your reply and sorry that i was slow to realized the formula is actually the same.
so for the VAA strategy
1) do i use this indicator with on the monthly time frame with close of the monthly candle to check the indicator if its positive or negative 2) or do i use this indicator with the daily time frame and close of the candle on the last day of the trading month on daily time frame
i just want to know how to pair this indicator correctly with the VAA strategy with which time frame to use on trading view.
Thank you for the awesome work !
noooob
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@smellypipi, I made this indicator to see in the daily time frame.