Hi,
how do you alocate certain amount of TLT in a sim or portfolio?
I want to permanently allocate 50% of TLT (or other instruments) in one of my three month Systems, how can I do that?
Thank you
Regards
Andreas
One way is to use two ports and then use book to combine them. Another way is to always turn hedge on and use TLT for hedging for 50%.
Andreas
Provided you are satisfied with the available hedging instruments the simplest way is to use a permanent hedge. Simply use an ‘always true’ entry rule like sma(5,0,#bench)>0 then something ‘always false’ like sma(5,0,#bench)<0.
I second the approaches gs3 suggests. I use them for my R2G models as well.
Steve, Andreas: The easiest way to implement the permanent hedge is to use simply one entry rule like “1” (that’s it) and no sell rule.
Best,
fips
Using a book is the best way, in my opinion. You can use the methodology that fips described, and include Ticker(“TLT”) in the buy rule.
You will get different performance results if you use a permanent hedge, due to the cost of leverage, I believe. I would encourage you to try both to see the difference.
I would also suggest using different bond ETFs for comparison, such as IEF or SHY. Some folks are (rightfully) concerned about the duration risk of TLT since rates are forecasted to rise in mid-2015.
Sorry for not geting it.
What would be the exact buy rule to allocate 50% in TLT (or IEF or Shy), thank you!
Andreas,
As fips said, put a 1 in the hedge buy and nothing in the hedge sell. Then set the hedge to 50% and select “% of Total Equity”.
Got it, cool!, thank you!!!
Regards
Andreas
Once again thank you to all helping me.
I played around with it and with my three month System the capital curve Looks like a triangle…
In my jounger days I would think about to leverage TLT by 100% to double the Performance and still have a
nice capital curve (without Timing!) with lower dds.
Regards
Andreas
and here with 100 Stocks (this port I trade by myself with around 306k, just without the TLT permanent Hedge).
Glad you could make it work!
The performance doesn’t look to shabby either.
I am using a constant hedge for the benefits of diversification for my R2Gs as well. I like to see that equity curve smooth and steady 
You must invest quite some time in simply executing your system when your 1-stock-experiment is quite volatile and you are trading another 100 stock (wow!) portfolio.
One of the upcoming projects marco announced as fully automated trading will bring you much relief in terms of spending time.
Happy investing!
Best,
fips
Hi Fips, thank you.
The 3 Months System does not take a lot of work, since it only trades every 3 Months…
The Experiment adds some exitement, do not take it too serious since I constantly can not make it monday…
Regards
Andreas
I notice TLT is a popular addition to sims these days. I would note though that the past decade has been one of interest rate decreases. Should that trend reverse TLT may not do so well, so I would be cautious of my interpretation of sims that rely too much on TLT. It may be a situation akin to one in 2000 where including tech stocks as a significant part of the portfolio is based on the past 10 years performance.
I try to be transparent about it and show my simulations using the intermediate bond etf IEF 
Even though one could argue that at least in terms of diversification, TLT might have smaller degree of correlation to stocks.
Best,
fips