Category Archives for "ETFs"
August 23, 2017
- in ETFs , Trend Following by Cesar Alvarez
Sector trading using the 200-day moving average – Part 2
Several readers asked for additional tests to be done on the strategy on Sector trading using the 200-day moving average. We will be testing allocated 11% per ETF instead of 10%, using asymmetric number of days and adding IEF to the SPY MA200 10 day test.
August 2, 2017
- in ETFs , Trend Following by Cesar Alvarez
Sector trading using the 200-day moving average
A user commented on ETF Sector Rotation post about a simple idea for trading the sector ETFs, which I can’t believe I have never tried. I like keeping things simple just like my Brazilian Jiu-Jitsu game.
February 22, 2017
- in ETFs , Rotation by Cesar Alvarez
Country ETF Rotation – Reader’s Suggestions
My last post on Country ETF Rotation generated several ideas of what to test to improve the results. See the original post for the list ETFs being traded. One important test I left out from the original post was a baseline case. An idea applied to all the tests was trading more ETFS. For all tests, I will be showing results of trading (2,5,8) ETFs in the spreadsheet. Testing is from 1/1/2007 to 12/31/2016.
January 25, 2017
- in ETFs , Rotation by Cesar Alvarez
Country ETF Rotation
My recent research has been focused on finding strategies that are not highly correlated with the S&P500 index. One of my most popular posts is ETF Sector Rotation. The idea for this post is to apply those concepts to a list of country ETFs. Would this produce decent returns that were not highly correlated to the S&P500 index? I would like to see the correlation under .50. What about adding a filter to not enter an ETF when it is highly correlated with the S&P 500?
November 16, 2016
- in Data , ETFs by Cesar Alvarez
Is synthetic XIV/VXX data safe to use?
I have done several posts about trading XIV & VXX. In these posts (here, here and here) I refer to using synthetic data before these ETFs started trading. I supported the use of the data due to the very high correlation of daily returns during the overlap period. With a correlation of .97, I thought great the data should be good to use for backtesting.
February 10, 2016
- in ETFs , Mean Reversion , Stocks by Cesar Alvarez
Double 7’s Strategy
In the book, Short Term Trading Strategies that Work, which Larry Connors and I published in early 2008, we wrote about a simple strategy called “Double 7’s Strategy.” Through the years people often ask about this strategy. Does something that simple really work? How does it do in a portfolio? Does the concept work on stocks? Today, we will be answering these questions.
November 23, 2015
- in ETFs , Rotation by Cesar Alvarez
Five ETF Monthly Rotation Strategy
I was working on another blog post when I saw this post Inferences From Backtest Results Are False Before Proven True on Price Action Lab. Mike has a challenge to replicate a very simple test. I often get email from people trying to replicate results from one of my blog posts and thought this would be fun to do. I cover some of this topic on my post Backtesting is Hard.
July 22, 2015
- in ETFs , Rotation by Cesar Alvarez
Multiple Time Frames for Scoring ETF Rotational Strategies
Today we have a guest post from David Weilmuenster who I worked with while at Connors Research.
A widely applied technique for scoring assets in rotational systems is to rank those assets by their price momentum, or return, over a given historical window and to rotate into the assets with higher momentum. This approach seeks to capitalize on the well-demonstrated tendency for price momentum to persist. But, it begs some questions:
- “What is an appropriate historical period for measuring price momentum?” Clearly, the momentum of a given asset can rank quite differently compared to the tradable universe over 1 month, 3 months, or 6 months.
- “Is one historical period sufficient?” If relative momentum can vary widely depending on the historical window, would it be better to consider multiple slices of history?
- Is higher momentum always preferable to lower momentum, especially if the system rules filter the tradable universe before scoring the ETFs for rotation?
July 8, 2015
- in ETFs , Trend Following by Cesar Alvarez
XIV a heart attack waiting to happen
A research friend recently sent me a link to The #1 Stock In The World. Besides being a blatant title to get one’s attention (and it worked on me), I found the idea interesting along with my research friends. I have been trying to add either XIV or VXX to my trading in some small way. The article is only doing a buy and hold on XIV but it peaked my interest to try some other ideas.
June 24, 2015
- in ETFs , Rotation by Cesar Alvarez
Mutual Fund Sector Rotation – Ideas from readers
The post ETF Sector Rotation generated good ideas on what to try differently. This post will research two ideas using Fidelity sector mutual funds. The previous post focused on two ideas on the Select Sector SPDR ETFs.
