25.5월초 기준 자산배분전략

관세로 인한 격동의 4월을 보내고 나니 자산배분전략의 오류가 나타납니다. 저번달에 리밸런싱 날짜를 바꾼것 자체가 휴먼에러이고요. 그것과 더불에 기존 단순추세추종, 변형듀얼모멘텀 전략은 자산군에 대한 변경 필요성이 생겼습니다

손해를 보고나서야 고치게 되니 사람이 참.. ㅠㅠ

저는 LAA, 변형듀얼모멘텀, 단순추세추정 전략을  사용했는데 변형 듀얼모멘텀은 데이터 용으로만 사용하고 LAA, 단순추세추종, SCHD:QQQ 5:5 리밸런싱 전략 3가지를 쓰는 것으로 변경하였습니다.

바꾼이유는 주식의 우상향을 믿고 가급적 안파는 전략으로 수정을 하고자 했습니다. 급락 시점에 자산군을 변경했다가 급등에 참여 못하는게 기회손실이 너무 크네요. 동적으로 자산배분하는 전략은 단순추세추정 하나 정도로 제한하고 LAA, SCHD:QQQ 5:5 같이 최대한 안팔고 버티는 전략을 사용하기로 하였습니다.

그리고 기존 단순추세추종과 변형듀얼모멘텀은 금(GLD)를 자산으로 사용하는게 CAGR, MDD에서 이점이 있어 로직은 그대로 두고 자산을 교체하였습니다.

자산이 더 커지기 전에 오류는 수정할 수 있어서 다행으로 생각하려고 합니다. 

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종합

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LAA전략

타이밍 자산 - SHY

 

Date	SPY주가	SPY200일이동평균	종가>이동평균
2025-03-17	565.449036	568.878022	FALSE
2025-03-18	559.337402	569.077268	FALSE
2025-03-19	565.429077	569.324203	FALSE
2025-03-20	563.794006	569.539462	FALSE
2025-03-21	563.97998	569.753528	FALSE
2025-03-24	574.080017	570.015181	TRUE
2025-03-25	575.460022	570.252729	TRUE
2025-03-26	568.590027	570.455975	FALSE
2025-03-27	567.080017	570.654882	FALSE
2025-03-28	555.659973	570.788541	FALSE
2025-03-31	559.390015	570.934482	FALSE
2025-04-01	560.969971	571.06655	FALSE
2025-04-02	564.52002	571.210986	FALSE
2025-04-03	536.700012	571.214693	FALSE
2025-04-04	505.279999	571.039972	FALSE
2025-04-07	504.380005	570.853887	FALSE
2025-04-08	496.480011	570.63566	FALSE
2025-04-09	548.619995	570.681753	FALSE
2025-04-10	524.580017	570.616413	FALSE
2025-04-11	533.940002	570.587521	FALSE
2025-04-14	539.119995	570.581161	FALSE
2025-04-15	537.609985	570.562991	FALSE
2025-04-16	525.659973	570.49572	FALSE
2025-04-17	526.409973	570.426652	FALSE
2025-04-21	513.880005	570.276755	FALSE
2025-04-22	527.25	570.181574	FALSE
2025-04-23	535.419983	570.111493	FALSE
2025-04-24	546.690002	570.094591	FALSE
2025-04-25	550.640015	570.094764	FALSE
2025-04-28	550.849976	570.068745	FALSE
2025-04-29	554.320007	570.08405	FALSE
2025-04-30	554.539978	570.083069	FALSE

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GLD 단순추세추종 전략

날짜	선택자산	SPY10M수익율(%)	QQQ 평균 모멘텀(%)	GLD 평균 모멘텀(%)	PDBC 평균 모멘텀(%)
2025-02-07	GLD	16.94	13.04	19.29	2.85
2025-02-10	GLD	18.79	13.54	20.52	3.75
2025-02-11	GLD	17.99	13.28	20.57	4.25
2025-02-12	GLD	19.25	13.38	20.89	3.32
2025-02-13	GLD	22.04	14.86	22.75	3.98
2025-02-14	GLD	22.04	15.07	20.87	4.78
2025-02-18	GLD	23.6	13.86	20.21	5.22
2025-02-19	GLD	24.98	13.75	20.08	6.07
2025-02-20	GLD	23.33	13.32	19.93	6.44
2025-02-21	GLD	21.22	10.85	19.7	4.88
2025-02-24	GLD	19.31	8.9	21.28	4.7
2025-02-25	GLD	19.17	8.02	19.64	3.41
2025-02-26	GLD	18.11	8.17	19.78	2.64
2025-02-27	GLD	15.81	5.21	17.88	2.7
2025-02-28	GLD	17.62	6.78	16.88	2.16
2025-03-03	GLD	15.28	4.6	17.34	2.33
2025-03-04	GLD	12.75	3.82	18.3	2.97
2025-03-05	GLD	13.97	5.09	17.93	2.85
2025-03-06	GLD	11.94	2.39	17.15	2.63
2025-03-07	GLD	12.45	2.93	17.61	3.33
2025-03-10	GLD	8.67	-1.09	15.36	2.32
2025-03-11	GLD	7.76	-2.18	16.55	2.28
2025-03-12	GLD	8.33	-1.75	17.18	2.25
2025-03-13	GLD	6.88	-3.93	19.12	1.57
2025-03-14	GLD	8.59	-1.9	19.21	1.77
2025-03-17	GLD	8.16	-1.43	19.91	2.01
2025-03-18	GLD	6.87	-2.36	21.84	1.96
2025-03-19	GLD	8.03	-1.38	21.64	2
2025-03-20	GLD	7.72	-2.02	20.61	2.04
2025-03-21	GLD	7.49	-1.6	20.15	1.78
2025-03-24	GLD	9.81	0.73	19.17	1.66
2025-03-25	GLD	10	1.3	19.98	2.33
2025-03-26	GLD	8.69	-0.73	19.89	2.72
2025-03-27	GLD	8.4	-0.53	21.66	2.77
2025-03-28	GLD	6.21	-3.11	22.6	2.24
2025-03-31	GLD	7.42	-3.12	23.86	3.03
2025-04-01	GLD	7.64	-1.61	22.77	2.75
2025-04-02	GLD	8.32	-0.94	22.61	3
2025-04-03	GLD	2.98	-6.71	21.54	-1.65
2025-04-04	AGG	-3.16	-12.72	18.4	-5.58
2025-04-07	AGG	-4.35	-12.17	15.58	-7.23
2025-04-08	AGG	-6.13	-13.33	16.44	-8.79
2025-04-09	GLD	3.72	-2.88	20.46	-5.14
2025-04-10	AGG	-0.82	-7	23.39	-7.03
2025-04-11	GLD	0.71	-5.13	24.46	-5.9
2025-04-14	GLD	0.59	-4.43	22.97	-5.68
2025-04-15	AGG	-0.48	-4.6	23.23	-5.89
2025-04-16	AGG	-2.7	-7.37	26.38	-4.58
2025-04-17	AGG	-2.56	-6.88	26.13	-3.5
2025-04-21	AGG	-4.73	-9.04	30.46	-3.88
2025-04-22	AGG	-1.93	-7.28	28.32	-3.99
2025-04-23	AGG	-0.41	-5.18	25.54	-4.5
2025-04-24	GLD	1.68	-1.92	27.18	-3.69
2025-04-25	GLD	2.02	-0.18	26.18	-3.36
2025-04-28	GLD	2.18	-0.16	27.04	-3.04
2025-04-29	GLD	2.61	0.35	25.33	-4.5
2025-04-30	GLD	2.65	1.12	24.2	-5.9

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GLD 변형 듀얼모멘텀 전략

날짜	선택자산	SPY수익율(%)	GLD수익율(%)	BIL수익율(%)	현금비중	LQD	IEF	SHY	TLT	TIP	HYG	BWX	EMB
2025-02-07	GLD	16.17	26.98	4.28	0	0	0	0	0	0	0	0	0
2025-02-10	GLD	16.96	29.14	4.29	0	0	0	0	0	0	0	0	0
2025-02-11	GLD	17.05	28.66	4.3	0	0	0	0	0	0	0	0	0
2025-02-12	GLD	16.67	28.8	4.31	0	0	0	0	0	0	0	0	0
2025-02-13	GLD	17.9	30.07	4.34	0	0	0	0	0	0	0	0	0
2025-02-14	GLD	17.9	28.13	4.37	0	0	0	0	0	0	0	0	0
2025-02-18	GLD	18.24	30.26	4.39	0	0	0	0	0	0	0	0	0
2025-02-19	GLD	18.52	30.33	4.4	0	0	0	0	0	0	0	0	0
2025-02-20	GLD	18.03	30.4	4.43	0	0	0	0	0	0	0	0	0
2025-02-21	GLD	16.01	30.28	4.46	0	0	0	0	0	0	0	0	0
2025-02-24	GLD	15.48	30.98	4.47	0	0	0	0	0	0	0	0	0
2025-02-25	GLD	14.91	29.26	4.47	0	0	0	0	0	0	0	0	0
2025-02-26	GLD	14.96	29.45	4.49	0	0	0	0	0	0	0	0	0
2025-02-27	GLD	13.13	27.48	4.51	0	0	0	0	0	0	0	0	0
2025-02-28	GLD	14.9	26.68	4.53	0	0	0	0	0	0	0	0	0
2025-03-03	GLD	12.88	28.35	4.55	0	0	0	0	0	0	0	0	0
2025-03-04	GLD	11.55	29.47	4.55	0	0	0	0	0	0	0	0	0
2025-03-05	GLD	12.75	29.74	4.56	0	0	0	0	0	0	0	0	0
2025-03-06	GLD	10.74	29.08	4.57	0	0	0	0	0	0	0	0	0
2025-03-07	GLD	11.36	29.15	4.62	0	0	0	0	0	0	0	0	0
2025-03-10	GLD	8.4	28.01	4.63	0	0	0	0	0	0	0	0	0
2025-03-11	GLD	7.5	29.52	4.64	0	0	0	0	0	0	0	0	0
2025-03-12	GLD	8.07	30.08	4.65	0	0	0	0	0	0	0	0	0
2025-03-13	GLD	6.63	32.39	4.68	0	0	0	0	0	0	0	0	0
2025-03-14	GLD	8.83	32.44	4.7	0	0	0	0	0	0	0	0	0
2025-03-17	GLD	9.67	33.16	4.72	0	0	0	0	0	0	0	0	0
2025-03-18	GLD	8.48	34.71	4.72	0	0	0	0	0	0	0	0	0
2025-03-19	GLD	9.66	35.27	4.73	0	0	0	0	0	0	0	0	0
2025-03-20	GLD	9.35	35.09	4.76	0	0	0	0	0	0	0	0	0
2025-03-21	GLD	9.38	34.01	4.79	0	0	0	0	0	0	0	0	0
2025-03-24	GLD	11.34	33.41	4.79	0	0	0	0	0	0	0	0	0
2025-03-25	GLD	11.61	34	4.8	0	0	0	0	0	0	0	0	0
2025-03-26	GLD	10.28	33.89	4.81	0	0	0	0	0	0	0	0	0
2025-03-27	GLD	9.98	35.68	4.84	0	0	0	0	0	0	0	0	0
2025-03-28	GLD	7.77	36.69	4.87	0	0	0	0	0	0	0	0	0
2025-03-31	GLD	8.49	38.65	4.87	0	0	0	0	0	0	0	0	0
2025-04-01	GLD	9.5	36.36	4.87	0	0	0	0	0	0	0	0	0
2025-04-02	GLD	10.07	35.45	4.88	0	0	0	0	0	0	0	0	0
2025-04-03	GLD	5.94	35.41	4.85	0	0	0	0	0	0	0	0	0
2025-04-04	BOND	-1.3	30.02	4.86	0	0	33.33	33.33	0	33.33	0	0	0
2025-04-07	BOND	-1.53	26.44	4.86	0	0	33.33	33.33	0	33.33	0	0	0
2025-04-08	BOND	-3.18	26.43	4.87	0	0	33.33	33.33	0	33.33	0	0	0
2025-04-09	GLD	8.07	32.36	4.85	0	0	0	0	0	0	0	0	0
2025-04-10	BOND	2.56	33.01	4.83	0	0	33.33	33.33	0	0	0	33.33	0
2025-04-11	GLD	5.85	37.36	4.86	0	0	0	0	0	0	0	0	0
2025-04-14	GLD	8.23	34.07	4.84	0	0	0	0	0	0	0	0	0
2025-04-15	GLD	8.13	34.61	4.85	0	0	0	0	0	0	0	0	0
2025-04-16	GLD	6.35	40.02	4.85	0	0	0	0	0	0	0	0	0
2025-04-17	GLD	6.72	38.93	4.84	0	0	0	0	0	0	0	0	0
2025-04-21	BOND	4.14	46.4	4.81	0	0	0	33.33	0	33.33	0	33.33	0
2025-04-22	GLD	5.6	44.68	4.8	0	0	0	0	0	0	0	0	0
2025-04-23	GLD	7.29	41.47	4.83	0	0	0	0	0	0	0	0	0
2025-04-24	GLD	9.96	42.68	4.77	0	0	0	0	0	0	0	0	0
2025-04-25	GLD	9.72	40.67	4.81	0	0	0	0	0	0	0	0	0
2025-04-28	GLD	9.37	42.97	4.8	0	0	0	0	0	0	0	0	0
2025-04-29	GLD	11.83	44.46	4.79	0	0	0	0	0	0	0	0	0
2025-04-30	GLD	12.24	42.09	4.78	0	0	0	0	0	0	0	0	0