Removing the moving average filter and including the bond funds (in hope they would be picked during bear market phases) only made things worse. Since bond funds are typically less volatile than sector funds, the bond funds out-ranked and replaced sector funds from time to time in the rotation. I would appreciate hearing your thoughts if you think I have missed something, or if you just have a neat idea. ![]() Since I will be trading this on funds meant for retirement, I will be happy with a 10 annual return, and I believe this system will achieve it.įurthermore, it will require very little time to manage, and should have smaller drawdowns than a buy-and-hold strategy. That being said, ROC as a ranking mechanism has been unbelievably stable, as has the sector rotation model. My goal was to choose robust settings that will perform consistently well in the future, and I feel I have done so. Window dressing a system for the public is tempting but is ultimately ridiculous and maybe even reckless. Keep in mind that I can slightly alter a few inputs and make more recent performance look better. ![]() The last decade or so has really been a brutal time to be in the market. Warning: because I have made the ROC adaptable to volatility, simply choosing a ROC length from these graphs and using it is likely to generate a different (but still decent) future performance from this system.
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