SaaS Tech - Trade the SaaS microsector, using a volatilty harvesting strategy. This strategy 's parameters inclue weekly rebalancing, a 10% asset portfolio exposure limit, along with a 70-30 percent long/short portfolio mixture.
The research step for this strategy is done by hand, by talking with our client about SaaS stocks, and by considering the existing the gross performance of SaaS-like indices (EMCLOUD, SKYY, PSJ) .( See blog post:
The Backtesting and paper/live connection to your broker account is done with HCA's zipline-broker release, which is an extension of zipline-live2.
The Live trading of this strategy is done, using the HCA Chili Trader engine, which drives zipline-broker, and trades through an IB-Gateway or IB-TWS account.
We call this micro-sector universe SaaSTech, and have run a backtest using the last few years.
The results of the backtest have been analyzed by the Pyfolio tool.
The full backtest report is linked to below.
A few charts from the Pyfolio backtest analysis tear sheet are displayed here, for your easy access.
Below is the full tearsheet for this strategy.
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