64 lines
2.0 KiB
Markdown
64 lines
2.0 KiB
Markdown
# ETF Trend System (K<=4, no leverage) - v2
|
|
|
|
This is a daily-signal / daily-rebalance trend-following system on a configurable ETF universe.
|
|
|
|
It is designed for:
|
|
|
|
- K<=4 holdings
|
|
- no leverage (net exposure <= 100%)
|
|
- portfolio vol cap (de-risk only), remainder parked in a rates ETF
|
|
- practical execution hygiene (cooldown / new listing protection / turnover band)
|
|
|
|
## Signals
|
|
|
|
- Trend filter (entry universe): MA(fast) > MA(slow)
|
|
- default: MA5 > MA20
|
|
- Ranking score (higher is better):
|
|
|
|
`score = (0.5*R20 + 0.3*R60 + 0.2*R120) / max(vol20, floor) + 0.5*trend_strength`
|
|
|
|
where `trend_strength = ma_fast/ma_slow - 1`.
|
|
|
|
## Entry
|
|
|
|
On each rebalance day (daily):
|
|
|
|
- Candidate must satisfy:
|
|
- `trend_ok == True` (MA cross)
|
|
- `score >= min_score`
|
|
- `min_history_days` protection (skip too-new series)
|
|
- `cooldown_days` protection (after exit, avoid immediate re-entry)
|
|
|
|
## Position Sizing
|
|
|
|
- Risk parity on `vol20` across selected holdings.
|
|
- Per-asset cap: `max_weight_per_asset` (default 0.50)
|
|
- Portfolio vol cap (no leverage):
|
|
|
|
`scale = min(1, target_ann_vol / port_vol(port_vol_window))`
|
|
|
|
Remaining weight (1 - sum(weights)) is parked in `rates_fallback`.
|
|
|
|
## Exits (checked daily)
|
|
|
|
A position exits if any triggers:
|
|
|
|
- Trend break: MA(fast) < MA(slow)
|
|
- Chandelier stop: close < highest_close - atr_mult*ATR
|
|
- Stop loss from entry: close < entry_price - stop_loss_atr*ATR
|
|
- Take profit from entry: close > entry_price + take_profit_atr*ATR
|
|
|
|
## Trading Hygiene
|
|
|
|
- `rebalance_band`: ignore small weight changes to reduce churn.
|
|
- `min_hold_days`: do not rebalance-sell a very fresh position (risk exits still apply).
|
|
- `new_asset_days/new_asset_max_w`: cap weight of a newly-eligible asset for its first N tradable days after it passes the history gate.
|
|
|
|
## Outputs
|
|
|
|
Backtest runner writes 3 artifacts:
|
|
|
|
- equity curve parquet: `data/etf_trend_equity_*.parquet`
|
|
- weights parquet: `data/etf_trend_equity_*_weights.parquet`
|
|
- trades parquet: `data/etf_trend_equity_*_trades.parquet`
|