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Dynamic Portfolio Strategy: Simple Beta Baller Signal
Explore the 'Simple Beta Baller Signal' portfolio strategy, which dynamically allocates between bond ETFs and leveraged semiconductor/tech ETFs based on RSI and relative strength comparisons, with an initial value of $10,000.
Aurora: Hello. Do you need help finding some new stocks for your watchlist? Maybe we can find stocks based on their Market Cap or Revenue?
User: 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")])])])])])])])])]))
Aurora: 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).…
User: 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 Share…
User: 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 R…
User: Create a Portfolio with this strategy.
Aurora: **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 imp…
User: try again?
Aurora: **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…
User: Start the portfolio with an initial value of $10,000.