Category Archives for "Rotation"
February 20, 2019
- in ETFs , Rotation by Cesar Alvarez
ETF Bond Rotation
In my last post I discussed SPY/TLT rotation strategies. Today, I will be using the same ideas from the post but on a basket of bond ETFs.
January 30, 2019
- in ETFs , Rotation , Trend Following by Cesar Alvarez
SPY TLT Rotation
For my retirement accounts, I like to trade ETF strategies that require little work. One strategy we have all seen is the SPY/TLT strategy. There are many flavors of this concept. Some pick the best one over the last N months. Then there are different ways of allocating a portion of the portfolio to each. I currently don’t trade any SPY/TLT strategy and wanted to see if there was something interesting here.
October 17, 2018
- in Research , Rotation , Stocks by Cesar Alvarez
Backtesting a Dividend Strategy
I was recently at a NWTTA presentation about the “S&P 500 Dividend Aristocrats” and how to trade these stocks. The strategy was part quantitative and part discretionary. It was popular talk with lots of good questions. People always seem interested in dividend stocks but for me they are just another stock with another reason to go up or down. I don’t like to dismiss ideas without testing. The strategy relies on fundamental data that I do not have access to but I have dividend data from Norgate Data. Would that be enough to create a strategy worth trading?
September 19, 2018
- in Rotation , Stocks by Cesar Alvarez
StockCharts Technical Rank (SCTR) Rotation Strategy
My post last week on the analysis of SCTR produced lots of emails and comments with great ideas. One idea that I liked was a simple rotation strategy using SCTR. I mentioned in the post that maybe using SCTR as ranking method would produce different results.
Normally I don’t post this quickly but I wanted to share these new results because they give a different view of SCTR.
November 15, 2017
- in Mean Reversion , Rotation , Stocks by Cesar Alvarez
Weekly Mean Reversion Rotation Strategy on S&P500 Stocks
A reader emailed me about testing a weekly mean reversion rotation strategy on S&P500 stocks. My first thought was, why had I not done this type of test before? The very first strategy that I worked on with Larry Connors was this type of strategy. The strategy I will be testing today is a simpler version and different universe but how well will it hold up?
Basic Rules
Testing period is from 1/1/2007 to 10/31/2017.
Setup
- Stock is a member of the S&P500 index
- Stock is trading above its 200-day moving average
- The SP500 index is trading above its 200-day moving average
Each weekend, take all the stocks that have setup and then rank using one of the mean reversion methods below. Buy top 5 that are most sold off. Hold 1 week and sell. Then buy the ones that are now the most sold off
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 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?
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.