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• 02/18/2018 at 9:32 AM #63016
  epeter

  Hello

  does someone try to code the Harry Brown strategy with ETF ?

  I’am very interessed in it

   

  Thanks

   

  Emmanuel

  

  epeter

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  02/18/2018 at 4:05 PM #63043
  epeter

  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

  

  epeter

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  02/19/2018 at 8:12 AM #63089
  Nicolas

  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?

  

  Nicolas

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  02/19/2018 at 10:47 AM #63118
  epeter

  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

  

  epeter

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  02/19/2018 at 1:55 PM #63153
  Nicolas

  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?

  

  Nicolas

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  02/19/2018 at 4:56 PM #63191
  epeter

  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.

  

  epeter

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  02/19/2018 at 6:19 PM #63198
  epeter

  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)

  

  epeter

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  02/20/2018 at 9:26 AM #63263
  Nicolas

  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

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  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

   

  

  Nicolas

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