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geov
Re: Do you have any suggestions for ETF rotation models?

Jim is also correct that this forum should NOT be used as a vehicle to advertise your subscription services. I would appreciate it if you would remove links to imarketsignals.com from the forum.

I do appreciate the fact that you have helped a lot of users through the forum and that many of your posts contain extremely valuable information. I do not want to discourage you from posting on the forum. I really appreciate your dedication to the P123 community and to its staff as well. You've been enormously helpful to all of us.

But when you post models that rely on post-facto evidence and then advertise your subscription services, you're altering the forum into something it was never intended to be: a marketplace.

Yuval, thank you for your comments and kind words. I have removed the link to my website and replaced it with the link to Seeking Alpha where the same article was published about 3 years ago. I trust that this is OK. I was not aware that linking to one's own website was not allowed by P123 and had no intention to advertise my subscription service on P123, it wont happen again.

Regarding the seasonal effect I encourage you to take any of your trading models and run them for each of the 6-mo periods. You will find that the periods Nov to Apr will provide much higher returns than the periods May to Oct.

Also I want to thank you for posting your ranking system "Yuval's large-cap system". I remember at the time that Marc Gerstein had lots of negative comments about it. I have found it extremely efficient on the Russell 3000 universe. In my opinion there is no better P123 ranking system.

Feb 3, 2022 2:12:33 PM       
geov
Re: Do you have any suggestions for ETF rotation models?

Yuval, to facilitate testing the seasonal effect on the performance of sims you can use my exposure list "winter_out" and "summer_out", in cash from Nov-April or from May-Oct, respectively. The lists are good from 1999 to 2030. Please let us know the results of your test.

Attached are seasonal performances for the same model Robust10 from Russell3000 (no cherry picking here) which confirm that the winter period Nov-April outperforms by far the summer period May-Oct.

"winter_out"
01/04/99 04/25/99
10/25/99 04/23/00
10/30/00 04/29/01
10/29/01 04/28/02
10/28/02 04/27/03
10/27/03 04/25/04
10/25/04 04/24/05
10/24/05 04/23/06
10/30/06 04/29/07
10/29/07 04/27/08
10/27/08 04/26/09
10/26/09 04/25/10
10/25/10 04/24/11
10/24/11 04/29/12
10/29/12 04/28/13
10/28/13 04/27/14
10/27/14 04/26/15
10/26/15 04/24/16
10/24/16 04/23/17
10/30/17 04/29/18
10/29/18 04/28/19
10/28/19 04/26/20
10/26/20 04/25/21
10/25/21 04/24/22
10/24/22 04/23/23
10/30/23 04/28/24
10/28/24 04/27/25
10/27/25 04/26/26
10/26/26 04/25/27
10/25/27 04/23/28
10/30/28 04/29/29
10/29/29 04/28/30

"summer_out"
04/26/99 10/24/99
04/24/00 10/29/00
04/30/01 10/28/01
04/29/02 10/27/02
04/28/03 10/26/03
04/26/04 10/24/04
04/25/05 10/23/05
04/24/06 10/29/06
04/30/07 10/28/07
04/28/08 10/26/08
04/27/09 10/25/09
04/26/10 10/24/10
04/25/11 10/23/11
04/30/12 10/28/12
04/29/13 10/27/13
04/28/14 10/26/14
04/27/15 10/25/15
04/25/16 10/23/16
04/24/17 10/29/17
04/30/18 10/28/18
04/29/19 10/27/19
04/27/20 10/25/20
04/26/21 10/24/21
04/25/22 10/23/22
04/24/23 10/29/23
04/29/24 10/27/24
04/28/25 10/26/25
04/27/26 10/25/26
04/26/27 10/24/27
04/24/28 10/29/28
04/30/29 10/28/29
04/29/30 10/27/30

Attachment Robust10 in cash May-Oct.png (116709 bytes) (Download count: 87)


Attachment Robust10 in cash Nov-Apr.png (142631 bytes) (Download count: 86)


Feb 3, 2022 3:09:38 PM       
Edit 1 times, last edit by geov at Feb 3, 2022 3:29:46 PM
yuvaltaylor
Re: Do you have any suggestions for ETF rotation models?

Hmm. Not much difference. I've been using ranking systems for investing since November 2015. If I'd stayed in cash May through October I'd have made 22% annually. If I'd stayed in cash November through April I'd have made 20% annually. By never going to cash I made 46% annually.

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Feb 5, 2022 9:05:20 AM       
geov
Re: Do you have any suggestions for ETF rotation models?

Yuval, interesting. So there is just a small difference, but still the 6-mo winter period produced the higher return.
Obviously you can add the two 6-mo returns 20% + 22% = 42% for an approximate annual return, close to the 46%.

BTW 46% is a very impressive annualized return from Nov-2015 to Jan-2022. I don't think there is anybody else here at P123 who can match this.

Feb 5, 2022 10:28:47 AM       
yuvaltaylor
Re: Do you have any suggestions for ETF rotation models?

Regarding seasonality in stock markets, here is all the data anyone could ever ask for. If any of you come to any conclusions from it, I'd be curious to know what they are. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3974178

Yuval Taylor
Product Manager, Portfolio123
invest(igations)
Any opinions or recommendations in this message are not opinions or recommendations of Portfolio123 Securities LLC.

Feb 15, 2022 1:53:08 PM       
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