[Do Or Die]

Hi,

This follows from: List of ETFs for Sector Rotation. Testing is done on SPDRs (XLB, XLY, XLP, XLE, XLF, XLV, XLI, XLK, XLU).

Rules:

1. Track the monthly changes and past 10 day changes
2. Trades are made only once each month
3. Using past month data, buy the ETF with largest gain and short the ETF with largest loss
4. Do not buy an ETF if it is overextended on the upside- has been advancing for each of the past 6 months
5. Do not buy/short an ETF if it is over extended in short-term- past 10 days change is more than 10% (refer here for mean reversion)
6. You maintain a market neutral portfolio- keep a long and short position

Performance:

Profit= 123.96%, CAR= 12.96%, Winners= 56.14%, Losers= 43.86%

I'm posting the code here so that people can test or improve it. Immediate improvement could be avoiding long positions when market is extremely bearish and avoiding short positions when it is extremely bullish. Also, a stop-loss should be maintained for each position.

For comparison, see here the Fidelity Sector Rotation strategy.





Posting a comment will only take you 2 minutes, but it will be the strongest motivation for me to share something better.

Statistics:

Statistics 
  All trades Long trades Short trades 
Initial capital 10000.00 10000.00 10000.00 
Ending capital 22395.72 16685.38 15710.34 
Net Profit 12395.72 6685.38 5710.34 
Net Profit % 123.96 % 66.85 % 57.10 % 
Exposure % 98.92 % 58.59 % 40.33 % 
Net Risk Adjusted Return % 125.31 % 114.11 % 141.57 % 
Annual Return % 12.96 % 8.04 % 7.07 % 
Risk Adjusted Return % 13.10 % 13.73 % 17.52 % 

--------------------------------------------------------------------------------
 
All trades 114 66 (57.89 %) 48 (42.11 %) 
 Avg. Profit/Loss 108.73 101.29 118.97 
 Avg. Profit/Loss % 1.62 % 1.24 % 2.13 % 
 Avg. Bars Held 30.04 30.70 29.13 

--------------------------------------------------------------------------------
 
Winners 64 (56.14 %) 43 (37.72 %) 21 (18.42 %) 
 Total Profit 27585.36 14455.14 13130.22 
 Avg. Profit 431.02 336.17 625.25 
 Avg. Profit % 6.28 % 4.66 % 9.59 % 
 Avg. Bars Held 35.28 35.30 35.24 
 Max. Consecutive 7 9 3 
 Largest win 2358.63 1855.25 2358.63 
 # bars in largest win 64 64 64 

--------------------------------------------------------------------------------
 
Losers 50 (43.86 %) 23 (20.18 %) 27 (23.68 %) 
 Total Loss -15189.64 -7769.76 -7419.88 
 Avg. Loss -303.79 -337.82 -274.81 
 Avg. Loss % -4.35 % -5.14 % -3.67 % 
 Avg. Bars Held 23.32 22.09 24.37 
 Max. Consecutive 6 4 5 
 Largest loss -1177.85 -1089.78 -1177.85 
 # bars in largest loss 23 23 23

Amibroker Code:

SetBacktestMode(backtestRotational);
SetTradeDelays(1,1,1,1); 
// everything delayed 1 day
SetOption("UsePrevBarEquityForPosSizing", True);
SetOption("MinShares", 1);
SetOption("AllowPositionShrinking",True);
SetOption("AccountMargin",100);
Totalpositions = 2;
SetOption("WorstRankHeld", Totalpositions + 1);
SetOption("MaxOpenPositions", Totalpositions );
SetOption("SeparateLongShortRank", True ); 
SetOption("MaxOpenLong", 2);
SetOption("MaxOpenLong", 2);
perf= TimeFrameGetPrice( "C", inMonthly, -1 );
perf1= TimeFrameGetPrice( "C", inMonthly, -2 );
score= 100*((perf- perf1)/perf1);
score= IIf(TimeFrameGetPrice("C",inMonthly,-1)>TimeFrameGetPrice("O",inMonthly,-2)AND
TimeFrameGetPrice("C",inMonthly,-2)>TimeFrameGetPrice("O",inMonthly,-3)AND
TimeFrameGetPrice("C",inMonthly,-3)>TimeFrameGetPrice("O",inMonthly,-4)AND
TimeFrameGetPrice("C",inMonthly,-4)>TimeFrameGetPrice("O",inMonthly,-5)AND
TimeFrameGetPrice("C",inMonthly,-5)>TimeFrameGetPrice("O",inMonthly,-6), 0, score);
score= IIf(abs(100*(C-Ref(O,-10))/Ref(C,-10))>10,0,score);
PositionScore = score;
PositionSize = -100/Totalpositions;
m = Month();
newMonth = m != Ref( m, -1);
PositionScore = IIf(newMonth, PositionScore, scoreNoRotate);

[livernik]

it looks very interesting, although I did not understand in details the idea.
Perhaps you could express your idea in other words and give an example of winning and another of losing .Thank you.