Strategy 9, meet Strategy 6
It ain't a match made in heaven, but its a good example of adding some short exposure to a long-only rotational strategy like 9. Spoiler, it helps increase returns and lower drawdown.
This article has been updated from it’s original. The updates are just after the code section (for paid subscribers). For free subscribers or window shoppers, you can ignore the results of this strategy. It’s results do not hold up when the changes are made.
This is going to be brief, I am just dropping the some results and then the code. I decided to check out this combination of strategies after a subscriber messaged me with some questions about 6 and implementing it with long strategies as short exposure. So, if you have any questions or ever want to work through anything I am usually available to on the chat during the normal trading hours. Feel free to DM me or jump into my morning chat that I have been experimenting with lately (I’m talking to myself currently).
First, check out the summary results for Strategy 9, Strategy 6, and then S906 (the combined variation).
It seems like adding the short exposure from 6 lowered the drawdown and increased returns. Nice.
Let’s look at the summary report and the yearly returns:
If you check out the strategy 9 results from the original report, you will see it helped with the two years with negative returns, 2008 and 2022.
Strategy 9 already had a decent drawdown, but adding that short exposure still seems to help it. The links for Strategy 9 and 6 are below:
