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There was a post recently about using a
calendar year strategy which got me thinking about an idea I have been wanting
to test but I am not sure how to start as I have run into some problems
trying to think this through. The two strategies are listed below and come
from a money manager that reportedly has some good returns with low volatility.
I would like to verify whether this is potentially true.
Strategy #1
Annually (calendar years) invest 50% of portfolio in best
STYLE index of preceding year (Universe: R2K Gr, R2K Val, SP500 Gr, Sp 500
Val. Invest the other 50% in the previous years worst 3 (absolute
performance)of the 10 S&P Sectors. Rebalance annually on Jan.
1.
Strategy #2
Annually invest 1/3 of the portfolio in
the Momentum Style approach from strategy #1, 1/3 of the portfolio
in the Contrarian Sector approach from strategy #1 and invest the last 1/3 in a
MOMENTUM SECTOR approach where you invest in the BEST 3 SECTORS of the trailing
6 months (this piece is rebalanced quarterly).
My questions are 1.) Can I use rotational
trading if I have a position score that is both good and bad (best & worst
performers?) 2.) Can you combine systems into one backtest? This is probably way
over my head but it seemed to have all of the elements that would make a great
learning example to work through and be a good case study of
concepts.
Any guidance or previous posts that might get
me started is greatly appreciated.
Thanks
David
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