I used ETFReplay and recently started using Portfolio123.
I am trying to replicate the ETFReplay model to Portfolio 123. However, I found the results in ETFReplay backtesting quite different from Portfolio123.
In ETFReplay, I have a portfolio with four ETF (IMW, MDY,QQQ, SPY). I picked the top performer based on past 3 months return on a month rebalance, with a cash filter. This means, that whenever the top performer’s 3 month returns are worse than that of the cash (based on “SHY”), SHY will be bought instead of the top performer.
Based on ETFReplay, the cumulative return from 31 Oct 2002 to 16 Feb 2018 is 654.2% with volatility of 15.5%.
I tried to replicate this in Portfolio 123 with the following portfolio:
Universe: IMW, MDY, QQQ, SPY
Ranking: close(0)/close(90), the higher the better
Buy rules: rankpos=1 and close(0)/close(90)-1 > close(0,getseries(“SHY”))/close(90,getseries(“SHY”))-1.
Sell Rules: rankpos>1
Portfolio123 shows a return of 106.49% with a maximum drawdown of -54.7%.
The result of Portfolio123 is so much different from that in ETFReplay while the two models are almost the same (with one difference that the Portfolio123 model’s cash is in cash, not in SHY).
- Did i do anything wrong in my portfolio123 model?
- How can I replicate the ETFReplay model in the Portfolio123?
many thanks
B