What is the rbreaker model?

R_Breaker model has many parameters, complex mechanism and lack of reasonable logical relationship explanation between several lines, which basically belongs to curve fitting system. I don't know why I have been circling on the SP trading stage for many years.

R-Breaker and dualthrust are two classic intraday trading models. Their simple logic and stable returns (especially in index futures) make them highly praised by individuals, institutions and CTA. The main details of these two paragraphs are not introduced here. What I want to share with you here is how to integrate the two models to get a smoother capital curve. Most of the analysis is just personal opinions, and the feasibility is open to question:)

The success of multi-strategy combination requires at least two conditions:

1. All sub-strategies are stable systems with positive returns; This requires investors to have a deeper understanding of each model.

2. The superposition of sub-strategies plays a role in hedging risks. This can be analyzed from the correlation of model returns.

So, why can r-Breaker and dualthrust be used as a combination of strategies?

First of all, dualthrust and r-Breaker are both systems with long-term positive income expectation. Below is its capital curve on SPX index futures.

In the case of independent simulation, dualthrust and rbreaker can obtain the sharp ratios of 1.3 1 and 1.40, respectively. The cumulative returns of the backtesting interval are all around 150%, and the maximum retracement is around 8%.

Second, their model income has the function of risk hedging. In fact, as some people know, dualthrust and r-breaker are both typical short-term interval breakthrough models, and their returns depend on short-term market fluctuations. In the years when market fluctuation is relatively small, their income is very limited; However, in a year with great volatility, such as 2008, the benefits of this model will be ideal. By calculating the correlation between double thrust and r-Breaker, we find that the positive correlation is 0.42. I think the correlation of 0.4 should be largely attributed to the common dependence of the model on volatility. In fact, in my personal opinion, for the strategy of the same single asset, the correlation of 0.4 is not high, and the risk can be further controlled through the combination of strategies. The following figure shows the capital curve of dual strategy portfolio in SPX index futures:

At this time, the capital curve becomes smoother, and the Sharp ratio of the combination of the two strategies rises from 1.40 to 1.85438+0 now. Although the total income has decreased, our annualized maximum withdrawal has dropped from 8% to 3.48%, and the standard deviation of income has dropped from 7.29 to 4.38. This is a good improvement:

Ann. Rate of return: 7.90, An. Standard deviation: 4.38, Sharp: 1.8 1

Annual average standard maximum value

1997 -0.72 2.09 0.93

1998 8.22 4.3 1 1.67

1999 6.3 1 3.69 1.77

2000 4.37 4.73 2.92

200 1 1 1.33 4.42 2.36

2002 1 1.92 5.36 1.78

2003 5.86 3.03 2.57

2004 2.00 2.60 2. 13

2005 1.49 2.08 1.94

2006 3. 13 2. 14 1.27