backtrader-finstrat

Active Stratefy - momentum based, with tactical asset allocation, pyramid positioning (Bollinger Bands)

Source code - strategy_momentum_gtaa_py_bb_atr_stoploss.py

Monthly checks (beginning of each month)
- if the global market is in a downtrend (< 200SMA), exist equities and buy safe assets.
- If the global market switched to an uptrend (> 200SMA), rebalance back into risky assets, even before the official rebalance.

Reasoning - don't catch a falling knife, however, monthly intervals allow room for the market to recover if briefly touching SMA200.

Daily checks
- Checks trailing high against deviation of scaled average true range ATR(90) of the stock.
  - ATR is more robust than using constant trailing % loss, since it takes into account historical volatility of specific stock.
  - The larger is number of days from trailing high, the more likely price to break the ATR
    - To count that, ATR is scaled by number of days (up-to 6) from the high
  - ATR approach is more sound theoretically and is robust under different universes, as opposed to constant 20%, which was more tuned to the extended universe
  - It is mechanism that backs up the global (monthly) risk management in a robust manner.
Quarterly - if the global market is in a downtrend, don't rebalance and continue holding safe assets.

If stock is in a downtrend at the purchase decision, wait till it reaches the lower limit of its Bollinger Band before allowing the purchase.
If the purchase is enabled, perform pyramid positioning - if the asset's price moved X% above the current target price, buy an asset's proportion and set a new target price.

Profit-taking is happening in 2 cases:

Sell at the rebalance, due to the current asset wasn't picked by the momentum algorithm.
Profit-taking if an asset appreciated 30% compared to its buy price (for any continuous period, not just a quarter)

Source code - strategy_momentum_gtaa_pyramiding.py

Monthly checks (beginning of each month)
- if the global market is in a downtrend (< 200SMA), exist equities and buy safe assets.
- If the global market switched to an uptrend (> 200SMA), rebalance back into risky assets.

Reasoning - don't catch a falling knife, however, monthly intervals allow some room for the market to recover if briefly touching SMA200.

Daily checks
- If individual asset's trailing decline > 25%, close position.
Quarterly - if the global market is in a downtrend, don't rebalance, continue holding safe assets.

Pyramid positioning - if the price of the asset moved X% above starting price, buy a portion of the asset and set a new target price. While absolute returns are a bit lower, the strategy has improved risk-adjusted returns and significantly lower maximum drawdown. Backtested on multiple universes.

Profit-taking is happening in 2 cases:

Sell at the rebalance, because the current asset wasn't picked by the momentum algorithm.
Profit-taking if an asset appreciated 30% compared to its buy price (for any continuous period, not just 3 months)