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Z8 clarification
#464267
02/01/17 03:13
02/01/17 03:13
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Joined: Jan 2017
Posts: 64
Jeff1228
OP
Junior Member
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OP
Junior Member
Joined: Jan 2017
Posts: 64
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I have gone through the Financial Hacker's blog "Get rich slowly" and manual about Z8, I am not sure if I understand everything right. Please correct me if anything wrong.
1. Z8 is a buy-hold system. 2. Z8 uses MVO to allocate capital other than 1/N. 3. Z8 does NOT short assets even when the assets can be shorted like stocks. 4. In case of market shock, all assets' returns turn to positive like 2008 or Jan/Feb 2016, Z8 will suffer. 5. Z8's return comes from the asset's long term positive mean return, not trading. 6. Z8 always puts all the capital into positions and won't keep cash. 7. Z8 does not do phantom trade, Z8 does not know which component/asset is profitable or not, so won't suspend any unprofitable assets. 8. Z8 uses distant stop loss.
Thank you
Last edited by Jeff1228; 02/01/17 06:43.
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Re: Z8 clarification
[Re: Jeff1228]
#464295
02/02/17 18:47
02/02/17 18:47
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Joined: May 2016
Posts: 180 Prague
pcz
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Member
Joined: May 2016
Posts: 180
Prague
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Jeff1228: I recommend checking Antonacci's Dual Momentum book for inspiration and for more information on momentum-based trading.
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Re: Z8 clarification
[Re: firecrest]
#464486
02/17/17 17:30
02/17/17 17:30
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Joined: May 2016
Posts: 180 Prague
pcz
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Member
Joined: May 2016
Posts: 180
Prague
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Dear PCZ,
Would you be able to share the script of Dual Momentum Strategy? It is worth looking into it. Maybe collective knowledge may help to improve it.
Regards You can find the implementation along with some comments and results here: http://statsmage.com/dual-momentum-strategy-implementation/It seems that with the selected ETFs I get results quite similar to Antonacci's, although the allocations differ slightly. If you find any errors please let me know.
Last edited by pcz; 02/17/17 17:30.
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