Quote Originally Posted by Rembert View Post
As promised in attachement an update of the test I did on the robot allocation levels.
Thank you Rembert. This is very instructive and helpful.
From our own research, optimal allocations can vary widely depending on the strength of the robot signals. For example, when GDX issues a very strong buy or sell signal, it is better to allocate 100% into GDX and 0% into IWM, whatever the strength of the IWM signal.
But under the same circumstances, with double leveraged IWM, it is best to allocate 50% to TWM/UWM and only 50% to GDX.
So, the use or lack of leverage is of major importance for correct allocation.
This research is still in progress and it tells us that the optimal allocation rules are far from straightforward when the systems like the robots can graduate leverage and the strength of the signals in presence.
Pascal and I will advise in this forum when we clearly see allocation edges based on the research.
Billy