My boy has just finished a baseball tournament (they won the championship) so I have been in the sun all day…Please forgive me if I make this short and to the point.
Version 1: 2.1.12 – 3.30.12
The top three Fidelity sector funds based on Version 1 ranking are FBIOX (Biotech), FSHOX (Construction and Housing), and FDCPX (Computers). Therefore, on Monday’s close, FSHCX will be sold and replaced with FDCPX.
Version 2: 2.1.12 – 3.30.12
The top three Fidelity sector funds based on Version 2 ranking are FSHOX, FDCPX, and FDFAX. Therefore, FDLSX and FDMPX will be sold on Monday’s close and replaced with FDCPX and FDFAX (Consumer Staples).
SPY was up 6.30% over the same time period.
Version 1 has 2 years of real-time, out-of-sample results. I started trading it in my own account on 2.1.12.
More information on version 1.
More information on version 2.
thanks for taking the time to post these
No problem Go2.
Would your results have a statistically different result if the trade date was say, 3rd day of the month instead of first trade day? How about if hold period were 45 or 60 days? I’ve liked systems like yours for a long time, but somehow never had the discipline to stick with ’em. thanks for backtesting…
Tommy, the results would surely be different, but we have to work with the limitations of the Fidelity sector funds, which require a minimum hold of 30 days.
As for trade day of the month, it gets mixed up the longer the system trades. For example, FBIOX and FSHOX met the 30 day hold requirement over a month ago. Therefore they will be sold and replaced the first day that they are not ranked in the top three. That rotation may happen at any point in the month. In fact, FBIOX and FSHOX have been held now for 60 days, and are still ranked in the top 3.
Let me know if this explanation helps or not.
Understand re: FidSel 30 day hold req, and I see your point about trades after position is held more than minimum time. But I guess my concern was more related to the fact that historically, the first trade day(s) of month produce more up moves due to fund flows, etc? If we wait till 5th or 7th trade day to inititate would it make a big difference? Maybe that’s not material anyway, so I’ll go with your results! Tks