200MA for Stocks Risk Managed - Cash Allocation question

Hi Ivan,

Please elaborate in more details how and how much the cash allocation will be kicks-in? I understand when market is down, then the strategy will increase cash allocation. The question is how it determines (what's the threshold?), how much it will allocate? 

Hi KK Pang,

The cash allocation is based on the percentage of stocks from a universe of around 150 stocks that are in an uptrend.

If more than 50% of the stocks in the universe are above their 6 month moving average, the strategy is full invested with zero cash allocation. If less than 50% of stocks in the universe are in an uptrend, the strategy will linearly increase its cash allocation from 0% to 100% as the percentage of stocks in an uptrend decrease from 50% to 0%.

For example, if 50% of the stocks in the universe are in an uptrend, the strategy will hold 0% cash and be fully invested. If 25% of the stocks are in an uptrend, the strategy will hold 50% cash and be 50% invested. If 0% of the stocks are in an uptrend, the strategy will hold 100% cash. 

Ivan