Sigma System Overview
A systematic portfolio management tool that integrates the SIG System with a 200 Day Moving Avergae regime filter.
The SIG System
Quarterly Growth Target (QGT):
Quarterly Growth Target (QGT): Quarterly growth rate derived from the historical returns of the user selected Risk On allocation (e.g., 9sig = 9% QGT for TQQQ).
Signal (SIG) Logic:
Is your Risk On Allocation above or below its quarterly growth target? If above, it's a sell signal. If below, it's a buy signal.
If the signal is a Risk On Allocation sell, you will move proceeds of the sale to your Risk Off Allocation in the following order of events: sell an amount of the Risk On Allocation, use that amount to buy more of the Risk Off Allocation. If the signal is a Risk On Allocation buy, you will generate buying power by selling a portion of your Risk Off Allocation, then use the proceeds to buy more of your Risk On Allocation, in the following order of events: sell a portion of the Risk Off Allocation, use the proceeds to buy the Risk On Allocation.
The 200 Day Simple Moving Average (SMA or MA)
A 200 Day SMA is constructed using a simulated index of the user selected Risk On allocation.
- If the 200 Day SMA < Risk On Allocation Index, then buy & hold the Risk On Allocation.
- If the 200 Day SMA > Risk On Allocation Index, then sell & hold the Risk Off Allocation.
Sigma System
- If the 200 Day SMA < Risk On Allocation Index, then the model runs the SIG System as instructed above.
- If the 200 Day SMA > Risk On Allocation Index, then the model allocates all portfolio capital to the Risk Off Allocation.
- When model flips from "Risk Off" to "Risk On", the model refers to the Allocation Tables and resumes the current SIG System weights.