Part 1
Part 2
Part 3
In Part 3, we examined the effect of weighting two different RSI lengths, and using those weights to rank ETFs. After backtesting, the resulting statistics and equity curve appeared to be curve fit, and I acknowledged that the weights chosen were optimal. I ended part 3 by noting that the next step [...]
Read Part 1 and Part 2…
In the comments of Part 2, Jeff Pietsch suggested running the system over the Fidelity Select Fund portfolio used in this series of tests to gain some insight on how the system would perform over a longer time frame. Not a bad idea, and simple to test. Long story short, [...]
Well its time to take a look at how this thing actually performs.
But if you are new to this series, you might want to take a look at Part 1.
To recap:
System Specifics
The system will calculate the momentum/strength of each ETF in the portfolio, and then based on that metric, rank the ETFs. Version V1.0 will [...]
For history on how we got here…
Thinking About a 4 Factor ETF Rotational System
More Thinking About Factors
Proposed ETF Portfolio for Rotational System
The first runs will test a very basic system as I want to be able to see if adding any more complexity to the system improves it (and how it improves it) in any [...]
I have to say that I’m very thankful that I asked for the collective wisdom of the blogosphere. The comments were very helpful and have absolutely solidified my thinking in how to approach this next ETF rotational system.
Okay, so the final step before we jump into this system is to decide the portfolio of ETFs [...]
Thinking about what kind of ETF rotational system I would like to trade prompted me to ruminate a while upon which factors ( constituent or element that brings about certain effects or results) should be included. I want to keep things simple, which for me means not using more than four factors.
For an ETF system, [...]
