un autre indicateur généré en suivant l’article de Wesley Gray de Alphaarchitect;com
« avoiding the big drawdown with trend following investments strategies ». Il nomme ce modèle le Downside Protection model qui suit 2 règles simples: Time Series Momentum Rules (TMOM) et Simple Moving Average Rule (MA).
Absolute Performance Rule: Time Series Momentum Rule (TMOM)
o Excess return = total return over the past 12 months less return of T-Bills
o If Excess return >0, go long risky assets. Ogherwise, go long alernative assets (T-Bills)
Trending Performance Rule (MA)
o Moving average (12) = average 12- month prices
o If current price minus Moving Average (12) >0, go long risky assets. otherwise, go long alternatives assets (T-Bills)
Combining the 2 rules: trigger one rule, go to cash 50%. Trigger both rule, and go to 100% cash. No rules triggered iplied 100% long risk.
Ci-après le graphe des 2 règles en utilisant l’indice SP&500 (^GSPC) pour le risky asset et l’indice le 3 months rate de la fed (^IRX).
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