Strategy Rotation

The Strategy Rotation tool allows you to select as many Tranquility Trading strategies to have in your trading stable. Pick how you want to rank them. Then at the beginning of each quarter, the tool will rank them and select the top N to trade for the quarter.

Parameters:

# OF STRATEGIES: This should be less than the number of strategies selected.

RANKING PERIODS: This is how the strategy score is computed. It takes the Length1 month return multiplies it by the weight and adds the Length2 month return and multiplies it by the weight. For example if you have selected 1 month 60% and 6 month 40%. The the score for a strategy is 1_month_return*.60 + 6_month_return*.40.

NO-DATA SLOT: This is how to handle if there is no data yet for the strategy. HOLD CASH, simply holds has for that slot. For example, if you had selected to trade 4 strategies and if one did not have data, then it would be 25% cash. FULL WEIGHT in this example would then trade 33% for each of the strategies.

VOLATILITY SIZE REDUCTION: Reduces the quarter-start allocation to ShadowVega and VTT strategies (which trade volatility instruments) by the specified percentage, redistributing the freed weight equally among the other held strategies. For example, if you have four strategies traded including a volatility strategy, if the VOLATILITY SIZE REDUCTION percentage is 50%, this means that volatility strategy’s share goes down from 25% to 25*50/100=12.5% and the rest 12.5% is redistributed to the other strategies in equal shares.

Upload Custom Strategy

Add your own strategy data. CSV with any two columns: first column for dates (MM/DD/YYYY), second column for NAV values. The filename will be used as the strategy name.

Questions on usage or feature requests? Add your comments to this post.
To learn more about how Cesar uses strategy rotation see this College presentation, Trading Multiple Strategies.