OPEN-SOURCE SCRIPT
已更新 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.
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.
發行說明
December 31, 2020 Content AddedThe 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.
開源腳本
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這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。
開源腳本
本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。