ETF Blended Monthly Rebalancing

[RobGiles]

Hi All
Has anyone traded Ken Long’s Core BMR System?

[JulianCohen]

You know Nick is going to be thinking “Test it and see!”

I have thought about testing an ETF portfolio on a momentum system but haven’t got around to it yet.

The tricky thing is choosing the ETFs to be in the universe. Getting ten years of data on some ETFs is tough as a few haven’t been running too long.

If you have a list then I’d be happy to compare results with you.

[RobGiles]

You can run backtests in http://www.etfreplay.com/http://www.etfreplay.com/

The key is selecting which ETF’s to include. I’m still working my way through it.

[SaidBitar]

you can backtest in Amibroker
just select the ETF from filters and run your backtest

if you want to go long and short you need to make sure that your ranking system can be negative otherwise you can not go short

[LeeDanello]

Rob, I’m wondering why you would use that service when the point is to master the capabilities of Amibroker?
An ETF is just another instrument to trade.

[JulianCohen]

I didn’t realise that the ETFs were there in the groups. Nice….I have to go through the database some more.

[RobGiles]

because I was looking at this service before I joined this course and it appears very easy to use. Hopefully if I ever get my head around Amiboker coding, I’ll do it that way. Also forgot the Norgate data would have ETFs as well as just stocks.

[SaidBitar]

i tried yesterday their demo from the site
so you can test on 3 ETFs
and they are using different weights for different look backs
for example for ROC
ROC(60) 40%
ROC(20) 40%
vola(10) 20%
add the three scores and you have one value
then rank the etfs based on the calculated values and thats it

[ScottMcNab]

Anyone tried a similar type of ranking system that Said has described with rotational systems on stocks ?

[SaidBitar]

Not Me

But i will try it now and see if there is any benefit in it
I will test 12 months 3 months and 1 month (40:40:20)

[SaidBitar]

nothing special CAR/MDD ~0.45 (CAR 11.%,MDD -22.%)

[RobGiles]

For what its worth, the ETF’s I’m looking at are:
DIA
EEM
EFA
EPP
EWA
EWJ
ILF
IWM
IYR
MDY
QQQ
SPY
TLT

[Author]

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