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?
1 Reply
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
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