alun/changelog.md

## changelog.md

      
    Raw
  

              changelog.md
            
          
    v2


added full portfolio rebalance (33% each slice):

when one of the slices (algos) switches the risk on/off mode
one a year


added plotting of the fractions of each slice in portfolio
some minor refactoring

v1


basic no leverage strategy implementation
no rebalancing


## stoken_aca.c
// ZorroTrader implementation of Stoken ACA tactical asset allocation strategy
//
// Read here  for more implementation details
// https://allocatesmartly.com/stokens-active-combined-asset-strategy/

// needs dividend adjusted price history for the following ETFs
#define ASSETS "SPY-US","VNQ-US","GLD-US","IEF-US","TLT-US"

// three algos, one per risk asset
#define ALGOS "SPY","VNQ","GLD"
const var NumAlgos = 3;

// should we reinvest profits?
const bool Reinvest = false;

// set to true if one of slices allocation updated
bool isAllocationUpdated = false;

// initially selected [Asset] for allocation plot
string DefaultAsset;

var portfolioValue() {
	var Profit = ifelse(Reinvest, ProfitTotal, 0);
	return Capital + Profit;
}

// Calcualtes currently required number of lots for current asset
int lotsRequired() {
	return portfolioValue() / NumAlgos / priceC();
}

// Prints debug portfolio info to CSV file (not a real CSV)
void printPortfolio() {
	print(TO_CSV, "\n\nDate: %s",strdate(YMD,0));
	string _algo, _asset;
	while(_algo = of(ALGOS)) {
		algo(_algo);
		while(_asset = of(ASSETS)) {
			asset(_asset);
			for(current_trades) {
				var value = TradeLots * priceC();
				print(TO_CSV, "\n%s:%s %.2f", Asset, Algo, value);
			}
		}
	}
	print(TO_CSV, "\nTotal: %.2f", portfolioValue());
}

// Plots allocation of current capital per algo
void plotAllocation() {
	var total = portfolioValue();

	int maybeNew = NEW;

	string _algo, _asset;
	while(_algo = of(ALGOS)) {
		algo(_algo);
		var algoTotal = 0;

		while(_asset = of(ASSETS)) {
			asset(_asset);
			for(current_trades) {
				algoTotal += TradeLots * priceC();
			}
		}

		int col;
		switch (Algo) {
			case "SPY": col = RED; break;
			case "VNQ": col = GREEN; break;
			case "GLD": col = BLUE; break;
		}

		// plot on the asset chart which was selected in the [Asset]
		//	combo box when test started
		asset(DefaultAsset);
		// print(TO_CSV, "\n %s: %2.f %2.f", "a", algoTotal, total);
		plot(Algo, algoTotal / total, maybeNew|SPLINE, col);
		if (maybeNew == NEW) {
			maybeNew = 0;
		}
	}

}

// Enters risk asset in the begginging
void initEnter(string riskAsset) {
	asset(riskAsset);
	enterLong(lotsRequired());
}

// Rebalance
void rebalance() {
	string _algo, _asset;
	while(_algo = of(ALGOS)) {
		algo(_algo);
		int algoLotsTotal = 0;
		string algoAsset = 0;

		while(_asset = of(ASSETS)) {
			// this should always be risk-on or risk-off asset for the given algo
			// but might have multiple trades due to previous rebalance
			asset(_asset);
			for(current_trades) {
				if (algoAsset == 0) {
					algoAsset = TradeAsset;
				} else if (algoAsset != TradeAsset) {
					printf("Error: unexpected trade asset %s, expecting %s", TradeAsset, algoAsset);
				}
				algoLotsTotal += TradeLots;
			}
		}

		if (algoAsset == 0) {
			printf("Error: unexpected trade asset %s, expecting %s", TradeAsset, algoAsset);
		}
		asset(algoAsset);
		int lotsDelta = algoLotsTotal - lotsRequired();

		if (lotsDelta > 0) {
			// partial close
			exitLong(Algo, 0, lotsDelta);
		} else if (lotsDelta < 0) {
			// grow position
			enterLong(-lotsDelta);
		}
	}
}

// Runs Algo (1 algo per slice)
// each slice is defined by the risk/defensive assets pair
// and upper/lower channel period of the risk asset
void runAlgo(
	string riskAsset,
	string defensiveAsset,
	int riskOnPeriod,
	int riskOffPeriod
) {
	asset(riskAsset);

	vars LagCloses = series(priceC(1));
	var UpperChannel = MaxVal(LagCloses, riskOnPeriod);
	var LowerChannel = MinVal(LagCloses, riskOffPeriod);

	// plot channels - useful for debugging
	plot("Upper", UpperChannel, 0, GREEN);
	plot("Lower", LowerChannel, 0, BLUE);

	if (priceC() > UpperChannel && NumOpenLong == 0) {
		// risk-on

		asset(defensiveAsset);
		exitLong();

		asset(riskAsset);
		enterLong(lotsRequired());
		isAllocationUpdated = true;
	}
	else if (priceC() < LowerChannel) {
		// risk-off

		exitLong();

		asset(defensiveAsset);
		if (NumOpenLong == 0) {
			enterLong(lotsRequired());
			isAllocationUpdated = true;
		}
	}
}

function run() {
	if (is(INITRUN)) {
		set(LOGFILE|PLOTNOW);
		StartDate = 20030101;
		LookBack = 252;
		Capital = 100000;
		BarPeriod = 1440;

		DefaultAsset = Asset;
		string _asset;
		while(_asset = of(ASSETS))
			assetAdd(_asset);
	}

	static bool initBought = false;

	// go risk-on assets
	if (!is(LOOKBACK) && !initBought) {
		while(algo(loop(ALGOS))) {
			if (Algo == "SPY") initEnter("SPY-US");
			else if (Algo == "VNQ") initEnter("VNQ-US");
			else if (Algo == "GLD") initEnter("GLD-US");
		}
		initBought = true;
	}

	isAllocationUpdated = false;

	while(algo(loop(ALGOS))) {
		if (Algo == "SPY") runAlgo("SPY-US", "IEF-US", 126, 252);
		else if (Algo == "VNQ") runAlgo("VNQ-US", "IEF-US", 126, 252);
		else if (Algo == "GLD") runAlgo("GLD-US", "TLT-US", 252, 126);
	}

	if (!is(LOOKBACK)) {
		static int lastYearRebalance = -1;
		if (isAllocationUpdated || year() != lastYearRebalance) {
			rebalance();
			lastYearRebalance = year();
		}

		plotAllocation();

		// only print portfolio on the first day of month
		static int lastMonth = -1;
		if (month() != lastMonth) {
			lastMonth = month();
			printPortfolio();
		}
	}
}

## stoken_aca.txt
Test stoken_aca , Zorro 2.502

Simulated account   AssetsFix
Bar period          24 hours (avg 2088 min)
Total processed     6400 bars
Test period         2006-02-28..2022-09-02 (4157 bars)
Lookback period     252 bars (73 weeks)
Montecarlo cycles   200
Simulation mode     Realistic
Capital invested    100000$

Gross win/loss      164107$-14769$, +195695.8p, lr 154501$
Average profit      9046$/year, 754$/month, 34.79$/day
Max drawdown        -4652$ 3.1% (MAE -20349$ 13.6%)
Total down time     1% (TAE 90%)
Max down time       25 weeks from Jun 2018
Max open margin     50862$
Max open risk       1016$
Trade volume        1117364$ (67681$/year)
Transaction costs   -126$ spr, 109$ slp, 0$ rol
Capital required    21194$

Number of trades    131 (8/year)
Percent winning     81.7%
Max win/loss        11686$ / -3713$
Avg trade profit    1140$ 1493.9p (+2009.8p / -806.4p)
Avg trade slippage  0.83$ 1.1p (+1.6p / -1.3p)
Avg trade bars      333 (+158 / -85)
Max trade bars      2140 (620 weeks)
Time in market      1050%
Max open trades     8
Max loss streak     5 (uncorrelated 3)

Annual growth rate  5.69% (ROI 9.05%)
Profit factor       11.11 (PRR 8.34)
Reward/Risk ratio   32.1
Sharpe ratio        0.75 (Sortino 0.70)
R2 coefficient      0.900
Ulcer index         3.8%
Scholz tax          39388 EUR

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2006       0   3   3  -2  -1   3   1  -1   4   5  -2   +14
2007   4  -1  -1   2   0  -4  -2   1   4   3  -1   2    +7
2008   3   2  -1  -3  -1   2  -0  -1   0  -1   8   6   +13
2009  -5  -1   2  -3  -2  -1   2   4   2  -1   6  -0    +3
2010  -2   3   3   3  -2  -2   2   0   4   3   0   3   +15
2011  -0   3  -0   4  -0  -2   2   0  -6   3  -0  -1    +2
2012   3   0   1   0  -3   1   1   0  -0  -1   0   0    +5
2013   1   1   1   3  -2  -1   1  -2   1   2  -1   0    +4
2014   1   2   0   1   1   1  -0   2  -2   3   2   1   +13
2015   2  -1   0  -1  -0  -2   2  -2   0   2  -0  -0    +0
2016  -0  -0   2   0  -0   3   2  -1  -0  -2  -1   1    +2
2017   0   1  -0   0   0   1   0   1  -0   0   1   0    +6
2018  -0  -1  -0  -0   0  -0   0   1  -1  -2   1  -2    -4
2019   2  -0   2  -0   0   2   0   1   0   1  -0   1   +10
2020   1  -2  -2   1   0   0   2   0  -1  -1   0   2    +1
2021  -1   0   1   2   0   1   2   1  -2   2  -0   2    +9
2022  -2  -1   1  -2  -1  -1   1  -2   2                -5

Portfolio analysis  OptF  ProF  Win/Loss   Wgt%

GLD-US avg          ----  5.96   16/9      22.5
IEF-US avg          ----  40.02   21/3      8.5
SPY-US avg          ----  8.94   25/6      24.3
TLT-US avg          ----  6.63   16/3      10.1
VNQ-US avg          ----  122.57   29/3    34.6

GLD avg             ----  6.15   32/12     32.6
SPY avg             ----  9.49   34/9      27.8
VNQ avg             ----  140.16   41/3    39.6

GLD-US:GLD:L        ----  5.96   16/9      22.5
IEF-US:SPY:L        ----  17.10    9/3      3.5
IEF-US:VNQ:L        ----  ++++   12/0       5.0
SPY-US:SPY:L        ----  8.94   25/6      24.3
TLT-US:GLD:L        ----  6.63   16/3      10.1
VNQ-US:VNQ:L        ----  122.57   29/3    34.6
	// ZorroTrader implementation of Stoken ACA tactical asset allocation strategy
	//
	// Read here for more implementation details
	// https://allocatesmartly.com/stokens-active-combined-asset-strategy/

	// needs dividend adjusted price history for the following ETFs
	#define ASSETS "SPY-US","VNQ-US","GLD-US","IEF-US","TLT-US"

	// three algos, one per risk asset
	#define ALGOS "SPY","VNQ","GLD"
	const var NumAlgos = 3;

	// should we reinvest profits?
	const bool Reinvest = false;

	// set to true if one of slices allocation updated
	bool isAllocationUpdated = false;

	// initially selected [Asset] for allocation plot
	string DefaultAsset;

	var portfolioValue() {
	var Profit = ifelse(Reinvest, ProfitTotal, 0);
	return Capital + Profit;
	}

	// Calcualtes currently required number of lots for current asset
	int lotsRequired() {
	return portfolioValue() / NumAlgos / priceC();
	}

	// Prints debug portfolio info to CSV file (not a real CSV)
	void printPortfolio() {
	print(TO_CSV, "\n\nDate: %s",strdate(YMD,0));
	string _algo, _asset;
	while(_algo = of(ALGOS)) {
	algo(_algo);
	while(_asset = of(ASSETS)) {
	asset(_asset);
	for(current_trades) {
	var value = TradeLots * priceC();
	print(TO_CSV, "\n%s:%s %.2f", Asset, Algo, value);
	}
	}
	}
	print(TO_CSV, "\nTotal: %.2f", portfolioValue());
	}

	// Plots allocation of current capital per algo
	void plotAllocation() {
	var total = portfolioValue();

	int maybeNew = NEW;

	string _algo, _asset;
	while(_algo = of(ALGOS)) {
	algo(_algo);
	var algoTotal = 0;

	while(_asset = of(ASSETS)) {
	asset(_asset);
	for(current_trades) {
	algoTotal += TradeLots * priceC();
	}
	}

	int col;
	switch (Algo) {
	case "SPY": col = RED; break;
	case "VNQ": col = GREEN; break;
	case "GLD": col = BLUE; break;
	}

	// plot on the asset chart which was selected in the [Asset]
	// combo box when test started
	asset(DefaultAsset);
	// print(TO_CSV, "\n %s: %2.f %2.f", "a", algoTotal, total);
	plot(Algo, algoTotal / total, maybeNew\|SPLINE, col);
	if (maybeNew == NEW) {
	maybeNew = 0;
	}
	}

	}

	// Enters risk asset in the begginging
	void initEnter(string riskAsset) {
	asset(riskAsset);
	enterLong(lotsRequired());
	}

	// Rebalance
	void rebalance() {
	string _algo, _asset;
	while(_algo = of(ALGOS)) {
	algo(_algo);
	int algoLotsTotal = 0;
	string algoAsset = 0;

	while(_asset = of(ASSETS)) {
	// this should always be risk-on or risk-off asset for the given algo
	// but might have multiple trades due to previous rebalance
	asset(_asset);
	for(current_trades) {
	if (algoAsset == 0) {
	algoAsset = TradeAsset;
	} else if (algoAsset != TradeAsset) {
	printf("Error: unexpected trade asset %s, expecting %s", TradeAsset, algoAsset);
	}
	algoLotsTotal += TradeLots;
	}
	}

	if (algoAsset == 0) {
	printf("Error: unexpected trade asset %s, expecting %s", TradeAsset, algoAsset);
	}
	asset(algoAsset);
	int lotsDelta = algoLotsTotal - lotsRequired();

	if (lotsDelta > 0) {
	// partial close
	exitLong(Algo, 0, lotsDelta);
	} else if (lotsDelta < 0) {
	// grow position
	enterLong(-lotsDelta);
	}
	}
	}

	// Runs Algo (1 algo per slice)
	// each slice is defined by the risk/defensive assets pair
	// and upper/lower channel period of the risk asset
	void runAlgo(
	string riskAsset,
	string defensiveAsset,
	int riskOnPeriod,
	int riskOffPeriod
	) {
	asset(riskAsset);

	vars LagCloses = series(priceC(1));
	var UpperChannel = MaxVal(LagCloses, riskOnPeriod);
	var LowerChannel = MinVal(LagCloses, riskOffPeriod);

	// plot channels - useful for debugging
	plot("Upper", UpperChannel, 0, GREEN);
	plot("Lower", LowerChannel, 0, BLUE);

	if (priceC() > UpperChannel && NumOpenLong == 0) {
	// risk-on

	asset(defensiveAsset);
	exitLong();

	asset(riskAsset);
	enterLong(lotsRequired());
	isAllocationUpdated = true;
	}
	else if (priceC() < LowerChannel) {
	// risk-off

	exitLong();

	asset(defensiveAsset);
	if (NumOpenLong == 0) {
	enterLong(lotsRequired());
	isAllocationUpdated = true;
	}
	}
	}

	function run() {
	if (is(INITRUN)) {
	set(LOGFILE\|PLOTNOW);
	StartDate = 20030101;
	LookBack = 252;
	Capital = 100000;
	BarPeriod = 1440;

	DefaultAsset = Asset;
	string _asset;
	while(_asset = of(ASSETS))
	assetAdd(_asset);
	}

	static bool initBought = false;

	// go risk-on assets
	if (!is(LOOKBACK) && !initBought) {
	while(algo(loop(ALGOS))) {
	if (Algo == "SPY") initEnter("SPY-US");
	else if (Algo == "VNQ") initEnter("VNQ-US");
	else if (Algo == "GLD") initEnter("GLD-US");
	}
	initBought = true;
	}

	isAllocationUpdated = false;

	while(algo(loop(ALGOS))) {
	if (Algo == "SPY") runAlgo("SPY-US", "IEF-US", 126, 252);
	else if (Algo == "VNQ") runAlgo("VNQ-US", "IEF-US", 126, 252);
	else if (Algo == "GLD") runAlgo("GLD-US", "TLT-US", 252, 126);
	}

	if (!is(LOOKBACK)) {
	static int lastYearRebalance = -1;
	if (isAllocationUpdated \|\| year() != lastYearRebalance) {
	rebalance();
	lastYearRebalance = year();
	}

	plotAllocation();

	// only print portfolio on the first day of month
	static int lastMonth = -1;
	if (month() != lastMonth) {
	lastMonth = month();
	printPortfolio();
	}
	}
	}
	Test stoken_aca , Zorro 2.502

	Simulated account AssetsFix
	Bar period 24 hours (avg 2088 min)
	Total processed 6400 bars
	Test period 2006-02-28..2022-09-02 (4157 bars)
	Lookback period 252 bars (73 weeks)
	Montecarlo cycles 200
	Simulation mode Realistic
	Capital invested 100000$

	Gross win/loss 164107$-14769$, +195695.8p, lr 154501$
	Average profit 9046$/year, 754$/month, 34.79$/day
	Max drawdown -4652$ 3.1% (MAE -20349$ 13.6%)
	Total down time 1% (TAE 90%)
	Max down time 25 weeks from Jun 2018
	Max open margin 50862$
	Max open risk 1016$
	Trade volume 1117364$ (67681$/year)
	Transaction costs -126$ spr, 109$ slp, 0$ rol
	Capital required 21194$

	Number of trades 131 (8/year)
	Percent winning 81.7%
	Max win/loss 11686$ / -3713$
	Avg trade profit 1140$ 1493.9p (+2009.8p / -806.4p)
	Avg trade slippage 0.83$ 1.1p (+1.6p / -1.3p)
	Avg trade bars 333 (+158 / -85)
	Max trade bars 2140 (620 weeks)
	Time in market 1050%
	Max open trades 8
	Max loss streak 5 (uncorrelated 3)

	Annual growth rate 5.69% (ROI 9.05%)
	Profit factor 11.11 (PRR 8.34)
	Reward/Risk ratio 32.1
	Sharpe ratio 0.75 (Sortino 0.70)
	R2 coefficient 0.900
	Ulcer index 3.8%
	Scholz tax 39388 EUR

	Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
	2006 0 3 3 -2 -1 3 1 -1 4 5 -2 +14
	2007 4 -1 -1 2 0 -4 -2 1 4 3 -1 2 +7
	2008 3 2 -1 -3 -1 2 -0 -1 0 -1 8 6 +13
	2009 -5 -1 2 -3 -2 -1 2 4 2 -1 6 -0 +3
	2010 -2 3 3 3 -2 -2 2 0 4 3 0 3 +15
	2011 -0 3 -0 4 -0 -2 2 0 -6 3 -0 -1 +2
	2012 3 0 1 0 -3 1 1 0 -0 -1 0 0 +5
	2013 1 1 1 3 -2 -1 1 -2 1 2 -1 0 +4
	2014 1 2 0 1 1 1 -0 2 -2 3 2 1 +13
	2015 2 -1 0 -1 -0 -2 2 -2 0 2 -0 -0 +0
	2016 -0 -0 2 0 -0 3 2 -1 -0 -2 -1 1 +2
	2017 0 1 -0 0 0 1 0 1 -0 0 1 0 +6
	2018 -0 -1 -0 -0 0 -0 0 1 -1 -2 1 -2 -4
	2019 2 -0 2 -0 0 2 0 1 0 1 -0 1 +10
	2020 1 -2 -2 1 0 0 2 0 -1 -1 0 2 +1
	2021 -1 0 1 2 0 1 2 1 -2 2 -0 2 +9
	2022 -2 -1 1 -2 -1 -1 1 -2 2 -5

	Portfolio analysis OptF ProF Win/Loss Wgt%

	GLD-US avg ---- 5.96 16/9 22.5
	IEF-US avg ---- 40.02 21/3 8.5
	SPY-US avg ---- 8.94 25/6 24.3
	TLT-US avg ---- 6.63 16/3 10.1
	VNQ-US avg ---- 122.57 29/3 34.6

	GLD avg ---- 6.15 32/12 32.6
	SPY avg ---- 9.49 34/9 27.8
	VNQ avg ---- 140.16 41/3 39.6

	GLD-US:GLD:L ---- 5.96 16/9 22.5
	IEF-US:SPY:L ---- 17.10 9/3 3.5
	IEF-US:VNQ:L ---- ++++ 12/0 5.0
	SPY-US:SPY:L ---- 8.94 25/6 24.3
	TLT-US:GLD:L ---- 6.63 16/3 10.1
	VNQ-US:VNQ:L ---- 122.57 29/3 34.6