Easy way to hedge portfolio during bear markets?

Easy way to hedge portfolio during bear markets?

Kiran
2015-04-26 17:48:54

How do i specify in the Strategy script to buy TLT upon Bear market signal and sell upon Bull signals?
My trading system is a simple market timer with 1 symbol (SPY) as follows -

bear_signal = <some breadth indicator condition>;
bull_signal = <some other breadth indicator condition>;

buy = bull_signal;
sell = bear_signal;

Now, how do i specify to buy TLT upon bear signal and sell it upon Bull signal?

Note - The hedging money management script in http://www.quantshare.com/item-488-hedge-a-portfolio-strategy holds a constant hedge position throughout, doesn't adjust for bull/bear markets.

thanks
Kiran

QuantShare
2015-04-27 03:54:33

- You need to create a long/short trading system
- Create the "short" and "cover" variables (like the buy/sell)
- Use "stringequal" function to know which symbol is analyzed

Example:
isTLT = stringequal(name(), "tlt");
short = iff(isTLT, bear_signal, 0);
cover = iff(isTLT, bull_signal, 0);

Kiran
2015-04-27 12:58:54

The logic is Buy TLT (not Short) during Bear markets. I tried the following simple system (with symbols SPY and TLT) but it holds SPY throughout - doesn't execute the Buy/Sell. Is there something wrong in having 2 Buy statements in the same script?
What could be the issue?

rsiUp = comp(1, "count", 1, rsi(close,14)>70,"SP500");
rsiDn = comp(1, "count", 1, rsi(close,14)<30,"SP500");

bull = rsiUp>rsiDn;
bear = rsiDn>rsiUp;
isSPY = stringequal(name(), "SPY");
isTLT = stringequal(name(), "TLT");

buy = iff(isTLT,bear,0);
buy = iff(isSPY,bull,0);
sell = iff(isSPY,bear,0);
sell = iff(isTLT,bull,0);

QuantShare
2015-04-28 03:27:49

This was just an example.

In your formula, you are overriding the "buy" and "sell" rules.
Plot them on a chart to see (without using the "comp" function).

It should be:
buy = iff(isTLT,bear,0);
buy = iff(isSPY,bull,buy);
sell = iff(isSPY,bear,0);
sell = iff(isTLT,bull,sell);

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