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Hi,
I'm thinking of testing a system trading sector ETF's.
Basically,
in a up trending market, go long the 'Strongest' sector ETF.
in a down trending market, go short the 'Weakest' sector ETF.
That's the principle, but I've got a few questions.
1. Which series?
There seems to be a too many sector ETF's out there.
iShares Dow Jones i.e. IDU
SPDR's i.e. XLU
HOLDRS i.e. UTH
Which to choose? Some of the SPDR's appear to have more volume but
they don't cover all the S&P GICS industry sectors (can't find
telecoms).
2. What would you use to define the 'Strongest' sector (and 'Weakest'
sector)? strength relative to DIA or SPY? What is strength?
Thanks for your thoughts,
Sean
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