[vc_row el_id=”Intro”][vc_column offset=”vc_col-lg-2 vc_col-md-1″][/vc_column][vc_column offset=”vc_col-lg-8 vc_col-md-10″ css=”.vc_custom_1532967194912{padding-right: 10px !important;padding-left: 10px !important;}”][ultimate_spacer height=”60″ height_on_tabs=”10″ height_on_tabs_portrait=”10″ height_on_mob_landscape=”10″ height_on_mob=”10″][ult_animation_block animation=”zoomIn” animation_duration=”0.6″ animation_delay=”0″ animation_iteration_count=”1″][arrowpress_heading small_heading_title=”Algorithms” big_heading_title=”Actium” tag_heading=”tag-h1″ animation_type=”zoomIn” animation_delay=”500″][/ult_animation_block][ultimate_spacer height=”19″ height_on_tabs_portrait=”0″ height_on_mob_landscape=”40″ height_on_mob=”40″][ult_animation_block animation=”fadeInDown” animation_duration=”0.6″ animation_delay=”0″ animation_iteration_count=”1″][vc_column_text css=”.vc_custom_1549092088998{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}”]

The Actium algorithm captures returns from key sectors in the market, automatically reallocating capital based on calculated criteria. Actium trades a basket of sector exchange traded funds (ETFs), as well as a market hedging bond ETF. The algorithm continually calculates the price differential of each ETF at different time intervals to determine which is a strong performer in the current market environment. A trade is then placed in a certain number of ETFs at one time to capture any additional upside. Systematic risk of the portfolio is contained by an automatic transfer of allocated capital from the sector ETF portfolio to a bond-based ETF when market volatility crosses a certain threshold to help preserve portfolio returns.

Actium automatically re-balances weekly to ensure the allocated sector ETFs are congruent with the current market environment. This helps avoid the whipsaw effect with short trades. Currently the strategy has yielded good preliminary results, but requires further optimization of the parameters, ETF universe, and risk safeguards.

[/vc_column_text][/ult_animation_block][ultimate_spacer height=”30″ height_on_tabs=”10″ height_on_tabs_portrait=”10″ height_on_mob_landscape=”10″ height_on_mob=”10″][ult_animation_block animation=”fadeInDown” animation_duration=”0.6″ animation_delay=”0″ animation_iteration_count=”1″][vc_column_text css=”.vc_custom_1548997024300{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}”]

Current Status

[/vc_column_text][/ult_animation_block][ultimate_spacer height=”10″ height_on_tabs=”5″ height_on_tabs_portrait=”5″ height_on_mob_landscape=”5″ height_on_mob=”5″][vc_single_image image=”1929″ img_size=”full” alignment=”center”][/vc_column][vc_column offset=”vc_col-lg-2 vc_col-md-1″][/vc_column][/vc_row][vc_row el_id=”Algo-Performance”][vc_column][ultimate_spacer height=”35″ height_on_tabs=”15″ height_on_tabs_portrait=”15″ height_on_mob_landscape=”15″ height_on_mob=”15″][ult_animation_block animation=”zoomIn” animation_duration=”0.6″ animation_delay=”0″ animation_iteration_count=”1″][arrowpress_heading big_heading_title=”Algorithm Performance” tag_heading=”tag-h1″ animation_delay=”500″ color_desc=”#ffffff”][/ult_animation_block][ultimate_spacer height=”15″ height_on_tabs=”5″ height_on_tabs_portrait=”5″ height_on_mob_landscape=”5″ height_on_mob=”5″][vc_row_inner][vc_column_inner width=”1/12″][/vc_column_inner][vc_column_inner width=”5/6″][vc_column_text css=”.vc_custom_1602964128262{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}”]

Backtest Parameters

Timeframe: January 1st, 2007 – Sept 14, 2020
Initial Capital: $100,000

[/vc_column_text][ultimate_spacer height=”19″ height_on_tabs_portrait=”0″ height_on_mob_landscape=”40″ height_on_mob=”40″][vc_column_text]

[/vc_column_text][/vc_column_inner][vc_column_inner width=”1/12″][/vc_column_inner][/vc_row_inner][vc_row_inner][vc_column_inner width=”1/6″][/vc_column_inner][vc_column_inner width=”2/3″][ultimate_spacer height=”30″ height_on_tabs_portrait=”0″ height_on_mob_landscape=”15″ height_on_mob=”10″][arrowpress_heading big_heading_title=”Preliminary Results” tag_heading=”tag-h1″ animation_delay=”500″ color_desc=”#ffffff”][vc_column_text][ultimatetables 1 /]

[/vc_column_text][/vc_column_inner][vc_column_inner width=”1/6″][/vc_column_inner][/vc_row_inner][/vc_column][/vc_row][vc_row el_id=”Next-Steps”][vc_column width=”1/6″][/vc_column][vc_column width=”2/3″][ultimate_spacer height=”40″ height_on_tabs=”15″ height_on_tabs_portrait=”15″ height_on_mob_landscape=”15″ height_on_mob=”15″][arrowpress_heading big_heading_title=”Next Steps” tag_heading=”tag-h1″ animation_delay=”500″ color_desc=”#ffffff”][ultimate_spacer height=”15″ height_on_tabs=”5″ height_on_tabs_portrait=”5″ height_on_mob_landscape=”5″ height_on_mob=”5″][vc_column_text css=”.vc_custom_1549093583083{margin-top: 0px !important;margin-bottom: 0px !important;padding-top: 0px !important;padding-bottom: 0px !important;}”]

The preliminary results above are a good start. However, this algorithm requires further testing and optimization before it can proceed to final back-testing and walk-forward testing.  A careful approach needs to be taken to avoid curve-fitting and introduction of bias. Testing over different time periods with different amounts of starting capital combined with walk-forward testing with out-of-sample data will help guard against these issues.

The posted backtest resulted in some encouraging outcomes such as a high average win and low average loss, a higher win rate than loss rate, and overall large compounded annual return. Some concerning results that require improvement is the large drawdown percentage and the sharpe ratio below one. Improvements will be implemented and careful analysis of the resulting tests will determine if Actium will be suitable for live deployment with capital in the future.

[/vc_column_text][ultimate_spacer height=”20″ height_on_tabs=”5″ height_on_tabs_portrait=”5″ height_on_mob_landscape=”5″ height_on_mob=”5″][vc_btn title=”Return to Home” shape=”square” color=”blue” align=”center” i_icon_fontawesome=”fa fa-arrow-left” add_icon=”true” link=”url:https%3A%2F%2Fquantumdensity.com|||”][ultimate_spacer height=”60″ height_on_tabs_portrait=”10″ height_on_mob_landscape=”10″ height_on_mob=”10″][/vc_column][vc_column width=”1/6″][/vc_column][/vc_row]