quantopian meetup vancouver - presentation

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Jan 10, 2017 Vancouver Algorithmic Trading ETF Models François Lucas, Founder Sponsored by Quantopian

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Page 1: Quantopian Meetup Vancouver - Presentation

Jan 10, 2017

Vancouver Algorithmic Trading

ETF Models

François Lucas, Founder

Sponsored by Quantopian

Page 2: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 2/15Jan 10, 2017

Page 3: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 3/15Jan 10, 2017

SPY4ALL ETF Model

Uber simple Rules:

● At the end of the month, if SP500 price is below its

SMA-8,9,10,11,12 (5 SMA): allocate 0% SPY, 100% AGG (or cash)

● At the end of the month, if SP500 price is above its

SMA-8: allocate 20% SPY, 80% AGG (or cash)

SMA-8,9: allocate 40% SPY, 60% AGG (or cash)

SMA-8,9,10: allocate 60% SPY, 40% AGG (or cash)

SMA-8,9,10,11: allocate 80% SPY, 20% AGG (or cash)

SMA-8,9,10,11,12: allocate 100% SPY, 0% AGG (or cash)

SPY = SP500 ETF (same as VFINX, IVV, VOO, VSP.TO, XSP.TO, ...)

AGG = US Aggregate Bonds ETF (same as VBMFX, BND, VBU.TO, ...)

Page 4: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 4/15Jan 10, 2017

SMA-8,9,10,11,12 applied on SPY since 2004 (monthly data, non-adjusted)

Page 5: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 5/15Jan 10, 2017

SMA-8,9,10,11,12 applied on SPY since Sept 2015 (monthly, non-adjusted)

Page 6: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 6/15Jan 10, 2017

VFINX = SPY

SPY4ALL w/ Cash (blue) vs. SPY4ALL w/ Bonds (red) vs. Buy&Hold (orange)

Both reduced MaxDD and increased MAR since 1986

Bonds have been in a bull market for 30 years

Page 7: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 7/15Jan 10, 2017

MaxDD = Maximum DrawDowns = Puke Factor

Buy&Hold (red) = -50.97% since 1986

SPY4ALL (blue) = -23.51% (-24.92% with Cash)

Page 8: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 8/15Jan 10, 2017

VFINX = SPY

With SPY4ALL model, SP500 Allocation went to 0% (i.e. 100% bondsor cash) in bear markets and reduced MaxDD since 1986

Page 9: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 9/15Jan 10, 2017

SPY4ALL (blue) applied on the TSX Index (red) since 1980

Reduced MaxDD by almost 20% (less puke)

Increased both CAGR and MAR in this case

Page 10: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 10/15Jan 10, 2017

SPY4ALL (blue) applied on the SP500 Index (red) since 1950

Reduced MaxDD by almost 23% (less puke)

Decreased CAGR, Increased MAR in this case

Page 11: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 11/15Jan 10, 2017

SPY4ALL (blue) applied on the Nikkei 225 Index (red) since 1984

Reduced MaxDD by almost 34% (more puke)

Increased both CAGR and MAR in this case

Page 12: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 12/15Jan 10, 2017

SMA-50d/100d/200d applied on <GuessWhat> since 2011

Reduced MaxDD by almost 15% (still a lot more puke)

Increased both CAGR and MAR in these cases

Page 13: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 13/15Jan 10, 2017

Plan / Execute / Get Punched / Survive / Learn / Repeat

Thank You!

Page 14: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 14/15Jan 10, 2017

DEFINITION of 'MAR Ratio'

The MAR Ratio = Compound Annual Growth Rate (CAGR) / Max DrawDown (MaxDD)

The higher the ratio, the better the risk-adjusted returns

The MAR Ratio gets its name from the Managed Accounts Report newsletter

BREAKING DOWN 'MAR Ratio'

Fund A: CAGR = 30%, MaxDD =15%, then MAR = 2

Fund B: CAGR = 35%, MaxDD =20%, then MAR = 1.75

Fund A would be deemed to be superior because of its higher MAR Ratio

Source: Investopedia

Page 15: Quantopian Meetup Vancouver - Presentation

www.thespysurfer.com / [email protected] 15/15Jan 10, 2017

Simple Moving Average - SMA