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, [...]
This post serves primarily to serve as one link point for this series of posts, but I have included some additional testing results.
Part 1
Part 2
Part 3
Part 4
In Part 4, it was suggested in the comments section that it might be helpful to perform an analysis on the effect of start date on system performance. I [...]
In Part 3 we determined that penalizing volatility smoothed the equity curve, but drawdowns were still a serious concern.
Let me cut to the chase here folks. After all, there’s only so much birthin’ of the baby one can stand before he wants to hold it!
I knew from messing around with the system that it performed [...]
Read Part 1 or Part 2.
This article, the third part of the series, will begin to implement some of the tweaks to the system as described by John from Fundztrader.
In Part 2 the system is showing a decent return of 11.65%, but the equity curve is ugly and the drawdowns are vomit inducing.
In an effort [...]
Read Part 1…
One of the benefits of blogging is that it offers opportunities to discuss ideas with some talented folks. After seeing I had linked to his site, John from Fundztrader left a very detailed comment concerning the FSF Rotation Strategy. His links provide ideas on how to improve a FSF rotation strategy. These ideas [...]
This is the first in a series of tests on rotational systems. Read Part 2.
As described in the jumping-off post, this is a test of the strategy presented in this article: Sector Rotation Strategy: Simple Rotation Trades Just One Fund a Month.
The bottom line is that my results show that the strategy above loses money. [...]
In this previous post, Dave in Philly recommended an interesting rotational system which would use Fidelity funds.
This system interests me in two ways. The first reason is that I am going to delve into some rotational systems in an attempt to find a system with a longer time horizon and lower trading fees, and this [...]
