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When I backtest from 1/1/2002 - 12/31/2004, it gave me 8% annual returns, with some good (scary) drawdowns. I also backtested with a money market fund and with a bear fund. The results weren't impressive. It lost money on the bear fund in 2002 !!!. I think weekly rebalancing may improve the results. ( Dayoftheweek command?). I might try to do this in excel over the weekend and see it gives any different results.
I don't have the article in front of me right now. But, I believe it said average of 20 - 30%, when backtested from 1995 or 1997. I don't think IJT & IJS were even listed at that time. He may be using their corresponding index for those times.
Mohan
-------------- Original message --------------
In generally, the way to improve the returns is to use a medium term trendiing signal - one that could be external like the TRADE signals you are probably familiar with. This will put you in or out of the market and reduce drawdown, or also go LONG/SHORT (let the score be negative) since you can short these ETFs. I think rotational trading will handle this approach.
JOE
PS I've misplaced the S&C article. What were the returns noted in that article?
----- Original Message -----
Sent: Wednesday, January 12, 2005 2:01 PM
Subject: [amibroker] Re: Rotational trading with ETFsli
Thanks for your fine efforts in developing the code for this trading
system. We all appreciate what you have done. I have tried out the
system with the ETF's used in the article and came up with "less than
spectacular" results. Using $10,000 as the positon, over the past
year It resulted in a gain of $241.13. There were 8 trades during the
year (3 wins & 5 losses). All of the profit was made with one ETF
held for almost a year (IJS). Drawdown was -12.17%. I also tested
the system with the ETF sectors and lost money ... ditto the PROFund
sectors. Has anyone else tried the system? If so results? Perhaps it
can be improved with some fine tuning ... any ideas?
Dick H.
--- In amibroker@xxxxxxxxxxxxxxx, "mohan_yellayi" <mohany1@xxxx>
wrote:
>
> 1. create a watchlist with the symbols - QQQQ, MDY, SPY, DIA, IWM,
> IJT, IJS
> 2. In the AA window - select filter , then click on define and
> select the watchlist.
> 3. Click on settings -> general tab , select daily
> on report tab - you can either select trade list or detailed
> report
> 4. Click on back test
> 5. click on report
>
> Portfolio trading works in back test mode only.
>
> The strategy listed is not doing exactly what I thought it would
and
> doesn't correlate with what was claimed in the article. It is a
work
> in progress.
>
> Mohan
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dennisandlisa"
> <dennisandlisa@xxxx> wrote:
> > Hi...I'm new to Amibroker...can you please explain how to use
this
> formula...I plugged it onto the Automatic Analysis and nothing
> happens.
> >
> > thank you
> > Dennis
> > ----- Original Message -----
> > From: Mohan Yellayi
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Tuesday, January 11, 2005 5:57 AM
> > Subject: [amibroker] Rotational trading with ETFs
> >
> >
> > Note: cross posting from Amibroker-TS list
> >
> > With TJ's help, I got this working - the system that was
> published in Jan, 2005 issue of TASC, by David Vomund. It may be of
> interest.
> >
> > Mohan
> >
> > /* AIQ's Releative Strength Short-Term - RSR - from Jan 2005
> issue of TASC*/
> >
> >
> >
> > /* Take the data of the last 120 days. Break the data into
> quarters. Calculate the
> >
> > percentage price change for each quarter and average them with
> the latest quarter's weight
> >
> > being twice.
> >
> > At the start of the test, the 2 best performing ETSs are
bought,
> with equal dollar amounts
> >
> > to establish a fully invested portfolio. Two weeks later, RSR
> report was run again.
> >
> > If the current holdings were rated as one of the three best in
> the report, then there were no
> >
> > trades. If a holding fell in the RSR report ranking and was no
> longer in the top 3, then
> >
> > it was soldand the highest rated ETF was purchased ( I assume ,
> the ETF that was bought cannot
> >
> > be the same that is already being held in the portfolio ???).
> >
> >
> >
> > ETFs used:
> >
> > DIA, QQQ, SPY, MDY, IJS, IJT, IWM
> >
> > */
> >
> >
> >
> > q0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > q1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSR = 100* (2*q0 + q1)/3 + 100;
> >
> >
> >
> > Plot(RSR,"AIQ's RSR",colorRed, styleLine);
> >
> > Plot(MA(RSR,20),"ma(20)",colorWhite, styleLine);
> >
> >
> >
> >
> >
> >
> >
> > SetOption("InitialEquity", 20000 );
> >
> > SetTradeDelays(1,1,1,1);
> >
> > RoundLotSize = 1;
> >
> >
> >
> > EnableRotationalTrading(True);
> >
> > SetOption("MaxOpenPositions", 2);
> >
> > SetOption("WorstRankHeld", 3);
> >
> > PositionSize = -50;
> >
> > MonthChange = Month() != Ref( Month(), -1 );
> >
> > Rebalance = MonthChange OR Ref( MonthChange, -12); // rebalance
> twice a month
> >
> > PositionScore = IIf( Rebalance, RSR, scoreNoRotate ); /*
> scoreNoRotate prevents
> >
> > rotation in all days except rebalance days. */
> >
> >
> >
> > /* The rest of the RSR lines */
> >
> > /*
> >
> > a0 = SetForeign("SPY");
> >
> > qa0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qa1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRa = 100* (2*qa0 + qa1)/3 + 100;
> >
> >
> >
> > Plot(RSRa,"AIQ's RSR(SPY)",colorRose, styleLine);
> >
> >
> >
> > b0 = SetForeign("QQQQ");
> >
> > qb0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qb1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRb = 100* (2*qb0 + qb1)/3 + 100;
> >
> >
> >
> > Plot(RSRb,"AIQ's RSR(QQQQ)",colorOrange, styleLine);
> >
> >
> >
> > c0 = SetForeign("MDY");
> >
> > qc0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRc = 100* (2*qc0 + qc1)/3 + 100;
> >
> >
> >
> > Plot(RSRc,"AIQ's RSR(MDY)",colorYellow, styleLine);
> >
> >
> >
> >
> >
> > c0 = SetForeign("IWM");
> >
> > qc0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRc = 100* (2*qc0 + qc1)/3 + 100;
> >
> >
> >
> > Plot(RSRc,"\n AIQ's RSR(IWM)",colorTurquoise, styleLine);
> >
> >
> >
> > c0 = SetForeign("IJS");
> >
> > qc0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRc = 100* (2*qc0 + qc1)/3 + 100;
> >
> >
> >
> > Plot(RSRc,"AIQ's RSR(IJS)",colorTeal, styleLine);
> >
> >
> >
> >
> >
> > c0 = SetForeign("IJT");
> >
> > qc0 = (C - Ref(C,-60))/Ref(C,-60);
> >
> > qc1 = (Ref(C,-60) - Ref(C,-120))/Ref(C,-120);
> >
> > RSRc = 100* (2*qc0 + qc1)/3 + 100;
> >
> >
> >
> > Plot(RSRc,"AIQ's RSR(IJT)",colorBrightGreen, styleLine);
> >
> >
> >
> > */
> >
> >
> >
> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
> > Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> >
> >
> >
> > ------------------------------------------------------------------
-
> -----------
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> >
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> >
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> >
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