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Hello everyone and most of all thanks to Vladimir for his fantastic algorithm. I'm here to write because in addition to seeing the beautiful equity lines, first of all I'm interested in understanding the model on which an algorithm creates its performance. I initially read Peter Guether's post on both a quantopian and then in the continued discussion here on quantconnect. The In & Out model appears very clear to me as it reasons on logical economic and sentimental bases. I wanted to ask those of you, including the creator of the ROC + out days algorithm, if it was possible to understand for which logics the intersection of the rate of change of these parameters [GLD> SLV; XLU> XLI; UUP> DBB]. I would like to formalize the model and write a small detailed post, so as to publish it here and make it more understandable even to those who arrived late here on quantconnect or quantopian. If it is possible to have links of papers that support the arguments in using these parameters to move on the bonds. Thank you all.
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Strongs
Chak
Are you asking for everything to be consolidated for you? I don't understand what you're asking.
Jack Whisky
Hello Chak . Welcome to the conversation here. I was simply wondering why the intersection of the ROC of these pairs [GLD> SLV, XLU> XLI, UUP> DDB], gives the signal to exit the stock market and go to bonds. You know it?
Chak
Historically, the former trades higher than its respective latter. Now, just align it with economic and historic data.
Huge caveat here is that commodities and metals changes in flux with the ever changing economy, such as BTC potentially used as an alternate to bonds.
Jack Whisky
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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