Hi all.
I’m working in a hedge, very easy, just this:
Entry Rules (Implicit AND)
(close(0,#unemp)>Close(5,#unemp)) //unemployment rate
Exit Rules (Implicit AND)
(close(0,#unemp)<Close(5,#unemp)) //unemployment rate
But I see my SIM just come into the hedge, and that’s a malfunction I think, because the condition in real world do not meet.
Any ideas???
Thanks.
Monday - UNEMP is a monthly series so your lookback period is 5 months (not days). For your limited screenshot, the hedge will not trigger. If you want a more sensitive version you could shorten the lookback period. For example: close(0,#unemp)>Close(2,#unemp)
It would have triggered in March based on the rate for February. It stayed on in April based on March data. It will go off in May but the data takes awhile to update in P123. The idea is to capture the trend but I came to the conclusion that there are better ways to judge economic conditions and I abandoned this indicator.
What do you use now?
I’ve pretty much gone off hedging. My reasons are explained here: https://seekingalpha.com/article/4234766-market-timing-tactical-asset-allocation-trading-dialogue
However, the following rules, I think, are good. With this, my model was hedged for only a month this year. It was a bad month to be hedged, but no hedging strategy is foolproof.
entry rules: close(0,#unemp) > sma (12,0,#unemp) and close(1,#unemp) > sma(12,1,#unemp) and close(0,$sp500)/sma(210,0,$sp500) < 1
exit rule: close(0,$sp500)/sma(210,0,$sp500) > 1.025
Thanks a lot Yuvaltaylor. Your rules looks very good. I will tried it.
