(If someone has a more accurate name for the strategy, please suggest it!)
I hope this section of the forum is the appropriate place to post this.
This is an incredibly simple strategy you can easily replicate yourself. It has been described by many blog posts, books and so on. The full strategy description has not been approved yet on the c2 strategy page, but here it is:
This is a long only algorithm that only invests in SPY. Its leverage ranges from 0 to 1.
This algorithm rebalances its leverage (from a minimum of 0 to a maximum of 1), weekly, according to these criteria, that you can use to replicate it yourself if you are so inclined:
Leverage starts at 0.
If SMA200 > SMA50, increase leverage by 0.65.
If SMA50 > SMA15, increase leverage by 0.25.
If the return over the last 10 trading days is positive, increase leverage by 0.1.
The hope of this strategy is to decrease drawdowns and volatility when buying and holding SPY, giving up return in exchange. A backtest of this would, for example, lose less money in 2008, but make less money in the bull market we’ve been in the last decade.
As the description explains, it’s easy to replicate yourself by just checking every week those parameters and rebalancing yourself. If you wish to subscribe to the strategy instead, the price is set to $5. It would be free if the subscription to c2 also was
I’ll leave it to more experienced quants and traders to come up with more sophisticated strategies
Have fun trading!