Hello
does someone try to code the Harry Brown strategy with ETF ?
I’am very interessed in it
Thanks
Emmanuel
Bonjour
je vous le traduis en Français pour les non englophones
Je cherche à coder la stratégie de Harry Brown ou une équivalent avec des ETF ?
Quelqu’un a-t-il déjà réalisé cela ?
merci
You opened a topic in the English forum, please speak English.
In order to understand what your query is all about, please provide at least link(s) or description with screenshots (preferred), thanks in advance. Are we talking about coding a screener or an automated trading strategy?
Hello Nicolas
the resume of Harry Brown strategy is to have 4 axes of investment : shares/gold/bonds/cash. At the beginning is 25% for each and every month a balancing could happen if one of the part goes below 20% or higher than 35%. In this case the strategy rebalance the total capital to the initial repartition 25%/25%/25%/25%
If any of shares/gold/bond/cash goes below 20% or higher than 35%, the strategy says to wait to the next month.
The aim of my question is to code a strategy for that. That means that the strategy has to be balanced between 3 different ETF and cash.
Many thanks
That’s an easy and interesting rebalancing system. Unfortunately, it is not possible to build a multi instrument (such as a portfolio) strategy with ProOrder for automatic trading. So the best solution would be to build individual strategy for each of the 3 ETF with a manual selection made with ProScreener. If the strategy gain 10% or loose 5%, it quits.
But how do you select your ETF?
Hello thanks for reply
I will choose ETF according to performance history (you can check it in Morningstar Website).
http://tools.morningstar.fr/fr/etfquickrank/default.aspx?Site=FR&Universe=ETEXG%24XPAR&tab=2&sortby=ReturnM60&LanguageId=fr-FR
for example for gold I will try with GOEX and for Share I will try with Amundi ETF MSCI France UCITS ETF | CF1 or another one
I will make tests with some and come back to you.
Hello
attached is a first test made this weekend with GOEX/Cash/ETF LEV CAC40 LYXOR from 1/1/2015 to today.
I adapt the repartition as followed 33/33/33 and 40/20/40.
I also put the Wheat ETF and will make some test with it. It decreases since 2015 but maybe will soon grows up.
At the moment the best result is with 40/20/40. It wins 53% during 3 years and 2 month ie 17% per year (without any overheads)
Thanks for the Excel file.
This is the strategy you can use to buy and hold the ETF until it gains 10% or loose 5%:
defparam cumulateorders=false
capital = 2000 //capital at start
amount = 25 //cash amount in %
BUY round((amount/100)*capital) CASH AT MARKET
floatingprofit = (((close-positionprice)*pointvalue)*countofposition)/pointsize
if floatingprofit>=capital*0.10 or floatingprofit<=-capital*0.05 then
quit
endif
//graph floatingprofit
