Dynamic Portfolio Strategy: Simple Beta Baller Signal

Hello. Do you need help finding some new stocks for your watchlist? Maybe we can find stocks based on their Market Cap or Revenue?

create a new strategy based on the following composer code:
(defsymphony
"Simple Beta Baller Signal | IEF>IBTK (Other IBT*, SPTI ,SCHQ are related) & SHY>SBND (IBTF, ITBG, ITBE are related)"
{:asset-class "EQUITIES", :rebalance-frequency :daily}
(weight-equal
[(group
"Simple Beta Baller Signal | IEF>IBTK (Other IBT*, SPTI ,SCHQ are related) & SHY>SBND (IBTF, ITBG, ITBE are related)"
[(weight-equal
[(if
(< (rsi "BIL" {:window 5}) (rsi "IBTK" {:window 7}))
[(weight-equal
[(if
(> (rsi "SPY" {:window 6}) 75)
[(asset "SHY" "iShares 1-3 Year Treasury Bond ETF")]
[(weight-equal
[(asset
"SOXL"
"Direxion Daily Semiconductor Bull 3x Shares")])])])]
[(group
"Extremely oversold S&P (low RSI). Double check with bond mkt before going long"
[(weight-equal
[(if
(< (rsi "SBND" {:window 10}) (rsi "HIBL" {:window 10}))
[(weight-equal
[(filter
(rsi {:window 7})
(select-bottom 1)
[(asset
"SOXS"
"Direxion Daily Semiconductor Bear 3x Shares")
(asset "SQQQ" "ProShares UltraPro Short QQQ")])])]
[(weight-equal
[(filter
(rsi {:window 7})
(select-bottom 1)
[(asset
"SOXL"
"Direxion Daily Semiconductor Bull 3x Shares")
(asset
"TECL"
"Direxion Daily Technology Bull 3x Shares")])])])])])])])])]))

Okay, I'll create strategies based on the provided Symphony code. This looks like a complex, multi-conditional strategy that involves comparing Relative Strength Index (RSI) values of different assets and then allocating weights to other assets based on those comparisons.
To break this down, I'll need to create several strategies that reflect the different conditions and actions within the code. Since the code uses "weight-equal," I'll interpret that as distributing buying power equally among the selected assets.
Here's how I'll approach it:

1. IEF > IBTK Condition: If the RSI of BIL (using a 5-day window) is less than the RSI of IBTK (using a 7-day window), then proceed to the next condition.
2. SPY RSI Check: If the RSI of SPY (using a 6-day window) is greater than 75, buy SHY (iShares 1-3 Year Treasury Bond ETF).
3. Otherwise: Buy SOXL (Direxion Daily Semiconductor Bull 3x Shares).
4. SHY > SBND Condition: If the RSI of SBND (using a 10-day window) is less than the RSI of HIBL (using a 10-day window), then select the bottom 1 asset based on RSI (using a 7-day window) from SOXS (Direxion Daily Semiconductor Bear 3x Shares) and SQQQ (ProShares UltraPro Short QQQ).
5. Otherwise: Select the bottom 1 asset based on RSI (using a 7-day window) from SOXL (Direxion Daily Semiconductor Bull 3x Shares) and TECL (Direxion Daily Technology Bull 3x Shares).
   Given the complexity and the need to represent this in a series of strategies, I'll make a few assumptions:

• I'll use a fixed percentage of buying power for each buy action.
• I'll represent the "weight-equal" as an equal distribution of buying power among the selected assets.
• I'll create separate strategies for each condition to keep it manageable.
  Here's the JSON representation of these strategies:
  Note: This JSON assumes that you want to allocate 25% of your buying power to each asset when the conditions are met. Also, the conditions are simplified to directly compare RSI values.
  Would you like me to make any adjustments to these strategies? For example, should I use different percentages of buying power, or should I adjust the RSI windows?

combine them all into a single strategy as is the case in the code I shared above, and again below:
(defsymphony
"Simple Beta Baller Signal | IEF>IBTK (Other IBT, SPTI ,SCHQ are related) & SHY>SBND (IBTF, ITBG, ITBE are related)"
{:asset-class "EQUITIES", :rebalance-frequency :daily}
(weight-equal
[(group
"Simple Beta Baller Signal | IEF>IBTK (Other IBT, SPTI ,SCHQ are related) & SHY>SBND (IBTF, ITBG, ITBE are related)"
[(weight-equal
[(if
(< (rsi "BIL" {:window 5}) (rsi "IBTK" {:window 7}))
[(weight-equal
[(if
(> (rsi "SPY" {:window 6}) 75)
[(asset "SHY" "iShares 1-3 Year Treasury Bond ETF")]
[(weight-equal
[(asset
"SOXL"
"Direxion Daily Semiconductor Bull 3x Shares")])])])]
[(group
"Extremely oversold S&P (low RSI). Double check with bond mkt before going long"
[(weight-equal
[(if
(< (rsi "SBND" {:window 10}) (rsi "HIBL" {:window 10}))
[(weight-equal
[(filter
(rsi {:window 7})
(select-bottom 1)
[(asset
"SOXS"
"Direxion Daily Semiconductor Bear 3x Shares")
(asset "SQQQ" "ProShares UltraPro Short QQQ")])])]
[(weight-equal
[(filter
(rsi {:window 7})
(select-bottom 1)
[(asset
"SOXL"
"Direxion Daily Semiconductor Bull 3x Shares")
(asset
"TECL"
"Direxion Daily Technology Bull 3x Shares")])])])])])])])])]))

does this help
Strategy Overview
This strategy dynamically allocates between bond ETFs (SHY, IEF, SBND, IBTK) and leveraged semiconductor and tech ETFs (SOXL, SOXS, TECL, SQQQ) based on relative strength signals and RSI-based oversold/overbought conditions.

The strategy relies on:

Relative Strength Comparisons

If IEF (10-year Treasury bond ETF) is stronger than IBTK, bond ETFs are favored.
If SHY (1-3 Year Treasury Bond ETF) is stronger than SBND, bond ETFs are favored.
RSI-based Entry and Exit Signals

If SPY RSI > 75, favor SHY (defensive allocation).
If SPY RSI < 30, favor high-beta semiconductor ETFs (SOXL).
Oversold Conditions for Leveraged ETFs

If SOXS (bear semiconductor ETF) is overbought, take long positions in SOXL and TECL.
If SQQQ (bear QQQ ETF) is overbought, consider long positions in SOXL and TECL.
Stop-Loss and Take-Profit Considerations

The backtest shows a high return-to-risk ratio, implying a risk-managed exit mechanism.
It is unclear if stop-loss orders or trailing stops are explicitly used, but given the large drawdowns in leveraged ETFs, it's advisable to introduce fixed SL/TP levels (suggested: 5-10% SL, 10-20% TP).
Performance Metrics (From Backtest)
Total Return: +225.4%
Sharpe Ratio: 1.84
Max Drawdown: Unknown (but likely high due to leverage)
Slippage & Fees:
Regulatory Fees: $2,370.78
Total Slippage: $14,768.90
Trading Pass Cost: $840
Observation:

The strategy is highly effective during risk-on market cycles (bullish tech cycles) but may underperform in high-volatility or sideways markets.
Fine-tuning RSI thresholds and incorporating volatility-adjusted position sizing could improve risk-adjusted returns.
Rebuilding Considerations for Aurora Bot
Unknowns / Clarifications Needed
Position Sizing:

Does the strategy allocate equal weight to all positions, or does it scale based on RSI/strength differentials?
Suggested: Adaptive position sizing based on volatility-adjusted ATR or max risk exposure per trade.
Trade Execution Timing:

Is trading executed daily, weekly, or intraday?
Suggested: A daily rebalance is inferred from the backtest description.
Entry & Exit Rules for Bonds vs. Equities:

What conditions explicitly trigger switching from bonds to equities?
Suggested: A rolling relative strength comparison between SHY vs. SBND and IEF vs. IBTK.
Stop-Loss Mechanism:

Are hard stop-losses placed, or is it purely a mean-reversion-based trade?
Suggested: Implement dynamic ATR-based stop-losses.
Handling Market Regimes:

Does the strategy completely shift between defensive and aggressive allocations, or maintain hybrid exposure?
Suggested: Allow partial allocations rather than full shifts to improve stability.

Create a Portfolio with this strategy.

Description:
This portfolio, named "Simple Beta Baller Signal", implements a composite, dynamic allocation strategy that adjusts exposure between bond ETFs and leveraged semiconductor and technology ETFs based on RSI and relative strength comparisons. The strategy works as follows: First, if the 14-day RSI for SPY is above 75 and the 14-day RSI for IEF is stronger than the 7-day RSI for IBTK, this signals a defensive market regime, and the strategy buys 25% of the buying power in SHY (iShares 1-3 Year Treasury Bond ETF). Conversely, if the 14-day SPY RSI is below 30 and the 14-day IEF RSI is below the 7-day IBTK RSI, indicating an aggressive market move, the strategy gradually accumulates a long position by allocating 25% of the buying power in SOXL (Direxion Daily Semiconductor Bull 3x Shares). Additionally, if either the 14-day RSI for SOXS or the 14-day RSI for SQQQ exceeds 70, this suggests that the corresponding bear ETFs are overbought. In that case, the model further allocates 25% of buying power to both SOXL and TECL (Direxion Daily Technology Bull 3x Shares) to take advantage of a potential reversal. The composite strategy also incorporates risk management through implied stop-loss and take-profit thresholds to manage drawdowns typical of leveraged instruments. Overall, the portfolio rebalances daily to adapt to evolving market conditions, switching between defensive bond positions and aggressive equity exposures based on relative strength signals.
JSON:

try again?

Description:
This portfolio, named "Simple Beta Baller Signal", implements a complex, dynamic allocation strategy that rebalances daily between bond ETFs and leveraged semiconductor/tech ETFs using relative strength and RSI comparisons. The composite strategy works as follows:
• First, the strategy compares the 5-day RSI of BIL with the 7-day RSI of IBTK. If BIL’s RSI is lower (indicating relatively weaker performance), then the next check is performed: if SPY’s 6-day RSI is above 75 (indicating overbought conditions in equities), the strategy allocates 25% of the buying power to SHY (iShares 1-3 Year Treasury Bond ETF), favoring a defensive position. Otherwise, it allocates 25% of buying power to SOXL (Direxion Daily Semiconductor Bull 3x Shares) to capture potential upside in semiconductors.
• If, on the other hand, the 5-day RSI of BIL is not lower than the 7-day RSI of IBTK (implying relatively stronger bonds), the strategy then considers oversold conditions in the broader market. It groups this under an “Extremely Oversold S&P” check where the 10-day RSI of SBND is compared with the 10-day RSI of HIBL. If SBND’s RSI is lower, the strategy filters the bottom asset based on a 7-day RSI from the pair {SOXS (Direxion Daily Semiconductor Bear 3x Shares) and SQQQ (ProShares UltraPro Short QQQ)} and allocates 25% buying power to the selected asset. Otherwise, it filters the bottom asset based on a 7-day RSI from the pair {SOXL and TECL (Direxion Daily Technology Bull 3x Shares)} and allocates 25% buying power accordingly.
This composite, single-string strategy captures diverse market signals to dynamically shift between defensive bond holdings and aggressive leveraged equity positions based on current market conditions.

JSON:

{"portfolios":[{"portfolio":{"name":"Simple Beta Baller Signal","initialValue":10000,"strategies":["Composite Strategy: Rebalance daily. If 5-day RSI of BIL is less than 7-day RSI of IBTK, then: if 6-day RSI of SPY is greater than 75, allocate 25% of buying power to SHY; else allocate 25% of buying power to SOXL. Otherwise (if 5-day RSI of BIL is greater than or equal to 7-day RSI of IBTK), then in the 'Extremely Oversold S&P' group: if 10-day RSI of SBND is less than 10-day RSI of HIBL, select the asset with the lowest 7-day RSI from SOXS and SQQQ and allocate 25% of buying power; else select the asset with the lowest 7-day RSI from SOXL and TECL and allocate 25% of buying power."]}}]}

Start the portfolio with an initial value of $10,000.