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Universal Investment Strategy (UIS)

https://logical-invest.com/universal-investment-strategy/

From my tests I think that he's cherrypicked the data a bit to puff up his returns, and I hate that he included a graph showing 2000%+ returns by shorting SPXS and TMV... but I may have done something wrong in my calculations that are making mine seem worse. Over a longer backtest (2004-2017) it's really just been "meh" but someone might find some value in it so I'm posting it here.

There is room for improvements by adding a stop, making it itterate between different lookback periods and picking the highest sharpe ratio, or by increasing rebalance frequency but I wasn't really impressed with any of that so I didn't include the code here. This is just his raw strategy as far as I can tell, unless someone can spot where I went wrong.

Clone Algorithm
37
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Backtest from to with initial capital
Total Returns
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Alpha
--
Beta
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Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 592841adc199186e9061285d
There was a runtime error.
3 responses

Longer backtest. Something to note: As soon as he made his post about the strategy in early 2015 the excess return has been completely nullified. In the 5 years leading up to his post the strategy performed best. This is pretty indicative ofheavy overfitting bias (p-hacking) or market compensation.

Clone Algorithm
37
Loading...
Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 592840e53878c44e3293927a
There was a runtime error.

Very briefly looked at original. Looks like simple minvar optimised to Sharpe. Ecclesiastes: Nothing new under the sun?

See recent article I wrote on minvar. Looks very like a trend following system.