Fidelity Sector Funds Rotational Strategy: Performance After 2 Years

1,619 views

It has been almost 2 years since I set out to build/test a rotational strategy to trade the Fidelity Select Sector Funds. Here is a link to all the posts about how the system was developed: Fidelity Select Rotational Strategy.

Because the Fidelity Sector Funds (FSF) do not incur slippage or commissions, the results are as close to actual as they could be without taking the trades and having them audited by a 3rd party.

I’ve run the original code (available in the link above) using the same FSFs listed in the archive posts. The test was run from 1.19.2010 (Date of the final post) to 1.12.2012. The results are below:

The system has achieved 400 basis points of out-performance and reduced the buy and hold drawdown by one-third. I did not account for a return on cash (which would improve the system results slightly). I also did not account for any commissions/slippage for SPY (which would very slightly reduce the buy and hold results).

These out-of-sample results are very encouraging. I am beginning to make some changes to the system which I believe will make it even more robust. Look for a post soon. Assuming I am satisfied with the changes, I plan to begin trading it live at the end of January or early February.

The equity curve for this period is below:

Green means the system was either partially or entirely in cash. Drawdowns are shown in the lower pane.

The system is currently long Construction and Housing; Biotechnology; and Defense and Aerospace.

Can’t Recreate Results from Fidelity Select System

523 views

Here are the posts on the Fidelity Select System.

Try as I might, I cannot replicate the results posted in Part 4. When I run the test now, I get a compound annual rate of ~11% with a final equity of ~$1.2 million. The new equity curve is very similar to the one in Part 4, but with a difference  from previous tests in final equity of over $2 million, there is definitely something strange happening.

Keep in mind, as I have tried to replicate the results, I have consulted the code and settings for all of the previous tests. Every test I run saves the code and the settings for future reference. I am 100% positive that I am using the same code and the same settings.

The only thing that has changed is that I overwrote the original data from yahoo with the same data from yahoo. There was no particular reason for doing this except that I was just playing around with the AmiQuote data downloader. Theoretically, the data should not be different, just overwritten.

At this point, my primary suspicion is that a change was made to the yahoo data, but it is entirely possible that I have changed something and have not discovered it yet.

If anyone else out there has been playing around with this system and using yahoo data, I would be interested in hearing if you have noticed anything similar.

Fidelity Sector Funds Rotational Strategy: Performance After 2 Years

1,619 views

It has been almost 2 years since I set out to build/test a rotational strategy to trade the Fidelity Select Sector Funds. Here is a link to all the posts about how the system was developed: Fidelity Select Rotational Strategy.

Because the Fidelity Sector Funds (FSF) do not incur slippage or commissions, the results are as close to actual as they could be without taking the trades and having them audited by a 3rd party.

I’ve run the original code (available in the link above) using the same FSFs listed in the archive posts. The test was run from 1.19.2010 (Date of the final post) to 1.12.2012. The results are below:

The system has achieved 400 basis points of out-performance and reduced the buy and hold drawdown by one-third. I did not account for a return on cash (which would improve the system results slightly). I also did not account for any commissions/slippage for SPY (which would very slightly reduce the buy and hold results).

These out-of-sample results are very encouraging. I am beginning to make some changes to the system which I believe will make it even more robust. Look for a post soon. Assuming I am satisfied with the changes, I plan to begin trading it live at the end of January or early February.

The equity curve for this period is below:

Green means the system was either partially or entirely in cash. Drawdowns are shown in the lower pane.

The system is currently long Construction and Housing; Biotechnology; and Defense and Aerospace.

Can’t Recreate Results from Fidelity Select System

523 views

Here are the posts on the Fidelity Select System.

Try as I might, I cannot replicate the results posted in Part 4. When I run the test now, I get a compound annual rate of ~11% with a final equity of ~$1.2 million. The new equity curve is very similar to the one in Part 4, but with a difference  from previous tests in final equity of over $2 million, there is definitely something strange happening.

Keep in mind, as I have tried to replicate the results, I have consulted the code and settings for all of the previous tests. Every test I run saves the code and the settings for future reference. I am 100% positive that I am using the same code and the same settings.

The only thing that has changed is that I overwrote the original data from yahoo with the same data from yahoo. There was no particular reason for doing this except that I was just playing around with the AmiQuote data downloader. Theoretically, the data should not be different, just overwritten.

At this point, my primary suspicion is that a change was made to the yahoo data, but it is entirely possible that I have changed something and have not discovered it yet.

If anyone else out there has been playing around with this system and using yahoo data, I would be interested in hearing if you have noticed anything similar.