Question: Filter Rules for Asset Allocation in a ETF portfolio

Models
1

Hello!

I am trying to create a portfolio of ETFs with an specific asset allocation.
I would like to change the wieghts based on some sules with a filter.

Lets put an example:
if VIX below 20 → SPY 50% TLT 50%
if Vix above 20 → SPY 30% TLT 70%

I understand that for the AA ETF portfolios I need to use “books”.

Is there any way to do what I want within P123?
I know that with an excel is easy, but this is only an example. I try to build some complex models.

Any help will be very appreciated.

Thank you very much in advance!

2

I would do it with one strategy and two static positions in a book.

The first static position is SPY, the second is TLT.

The strategy would be fully in SPY except when the VIX is above 20, when it would be fully in TLT. That buy rule is:

Eval(Close(0,$vix)>20,Ticker("SPY"),Ticker("TLT"))

Your sell rule would be

True

The weights would then be SPY 30, TLT 50, and the strategy 20.

3

You don’t need a book for this.

Sim rules:
Buy: ticker(“spy,tlt”)
Ideal Number of Positions = 2
Position Weight Formula: Eval($VIX<20, 5Ticker(“spy”)+5Ticker(“tlt”), 3Ticker(“spy”) +7Ticker(“tlt”))
Sell: 1

4

Bear in mind that, by reason of the EU regulation of ‘PRIIPS’, if you are a retail investor resident in Spain you will not be able to invest in US domiciled ETFs.

5

Thank you very much for your answers!!
I’ll try to implement them and if I have any questions i’ll be back.

have a nice weekend! :slight_smile: