factor-inverse-vol
Suggested by u/89911721 on Reddit. MTUM, QUAL and VLUE, the steadier ones getting more (inverse volatility over the last year). Asked for the World versions and 5 years; it uses the US versions and 1 year, since our price history is about 2 years. Back to these weights every quarter.
+0.32% since it started on Oct 23
0 stars0 remixes0 followers
- Performance
- +0.32% Since Oct 23
- Trades
- 3
- Holdings
- 3 Nothing sold yet
- Biggest drop
- 0.00% No drop yet
$100,315.39
+$315.39 (+0.32%) since Oct 23
#31 of 104Stats
- Performance
- +0.32%
- Trades
- 3
- Holdings
- 3
- Biggest drop
- 0.00%
Rules v1 · systematic · runs as written
Watches
Buys
Any stock on the list
More to the steadier ones (volatility over 252 days)
Sells all of it
Drops out at a rebalance
Repeats
Once a day, after the close
Quarterly: trims what ran up, tops up what dipped
More rules and order settings 3
Each stock is at most 100% of the money.
Skip a buy if the price opens more than 5% above the decision close.
Buy on any gap down.
Versions
- v1CreatedThe first version
Editing a strategy creates a new version; earlier decisions stay in the record.