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

Did you actually ever make money as an engineer? I ask because some of these equations don't seem that hard. Maybe you cannot focus on a single subject through a small P123 post?

My one and only point was the AVERAGE RETURN for SPY is higher while the CAGR is lower.
Jim

Jim, you don't have to be rude.

So what if the AVERAGE RETURN for SPY is higher while the CAGR is lower than that of the Combo XLU+XLV+XLP.
Why don't you design a model which makes use of this fact and post it so that we can all benefit from your wisdom.

I note that you have not posted any Designer Models presumably because you don't want to be criticized if your model does not perform well, but do want to have the prerogative to criticize others.

Feb 1, 2022 4:52:46 PM       
Jrinne
Re: Do you have any suggestions for ETF rotation models?

Georg,

It is you who are rude.

No need to fool around with volatility and other useless criteria.

(Georg)

You started it but this quote is the least of it. I find your selling of cherry-picked and overfitted models unethical. I am most offended by your turing this thread into your personal sales pitch.

Marc would have had none of it. He asked you to stop (as he should have).

As I recall he threatened to charge you as a pro if you did not stop. He took offense also. You stopped while he was here. Please expand on that conversation if I got anything wrong.


Unlike your models Marc's median model does not dramatically underperform the benchmark which had a lot to do with his view on unethical selling of useless models, I think. Marc never charged for his models.

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Feb 1, 2022 5:38:26 PM       
Edit 12 times, last edit by Jrinne at Feb 1, 2022 6:25:39 PM
mv388158
Re: Do you have any suggestions for ETF rotation models?

For most of the portfoliodb.co models you can create them yourself using the software quantrader by logica-linvest.com The rules are not the same but the methodology and results are very similar. You can also test out any combination of stocks or ETF. Would love that functionality on P123.

Cheers,
MV

Feb 1, 2022 7:48:12 PM       
nisser
Re: Do you have any suggestions for ETF rotation models?

Georg I've now seen many iterations of your seasonal ETF switching model and it seems every time it's a different set of ETFs. Jrinne came on quite strongly but he has a good point about curve-fitting. Why do the ETF options in the baskets change so frequently?

Feb 1, 2022 8:43:26 PM       
geov
Re: Do you have any suggestions for ETF rotation models?

Georg I've now seen many iterations of your seasonal ETF switching model and it seems every time it's a different set of ETFs. Jrinne came on quite strongly but he has a good point about curve-fitting. Why do the ETF options in the baskets change so frequently?

Please list the the different sets that you have seen me use.

Feb 1, 2022 9:11:22 PM       
geov
Re: Do you have any suggestions for ETF rotation models?

Jim,
You have no response to my challenge to present a strategy that the uses volatility-drag to somehow outperform SPY.
All you can do is to pivot into personally attacking me.

Feb 1, 2022 9:30:55 PM       
Edit 1 times, last edit by geov at Feb 2, 2022 5:36:15 PM
nisser
Re: Do you have any suggestions for ETF rotation models?

Georg I've now seen many iterations of your seasonal ETF switching model and it seems every time it's a different set of ETFs. Jrinne came on quite strongly but he has a good point about curve-fitting. Why do the ETF options in the baskets change so frequently?

Please list the the different sets that you have seen me use.


Other than the one you already posted here, these are the other 2 iterations you've plugged:

Ticker("XLY XLI XLB XLv") vs
Ticker("XLP XLK XLU QQQ")


Ticker("XLY XLI XLB XLK VBR") vs
Ticker("XLP XLV XLU VIG IEI") )

Note the XLK being swapped and playing a defensive role in one iteration and an aggresive role in the other.

Feb 2, 2022 12:00:49 AM       
Whycliffes
Re: Do you have any suggestions for ETF rotation models?

Thank you all for your contributions, albeit I see the argument has gotten somewhat out of hand.

Thank you for linking to the models, Georg, but I, too, am afraid of overfitting, especially in models where I don't know all of the criteria. Having said that, the seasonal effect (Halloween) on sectors is a well-documented phenomena. So, while I agree that it is not overfitting, you also have some other etf that is unknown to use in a seasonal cycle.

By the way, I'm extremely impressed with your timing model results, and I've attempted to understand it. I'm still not sure if it will work out of the backtestperiod. When was this model created?

Jrinne, I agree that a backtest does not always offer much, but it can provide some hints on models that might work. Do you have a link to someone you believe can work and who can be tested on P123?

mv388158, Yes, I attempted to create some of the models in p123. I don't always get the same results, but I keep on trying.

I don't want to trade frequently; once a month is about right, and Im not looking for some extreme returns. Its even enough to have the same as the market but but less drawdown. However, I want to use p123 for an asset class rotation portfolio with a specific hedge function for my stock portfolio. So I'm interested in all of the systems offered on p123 that anyone can recommend. Then its possible to altso test them.

For the time being, I'm looking at these models:

https://allocatesmartly.com/livingstons-muscular-portfolios/
https://allocatesmartly.com/financial-mentors-optimum3-strategy/
https://allocatesmartly.com/taa-strategy-accelerating-dual-momentum/
https://www.cxoadvisory.com/momentum-strategy/

A simple take (start) on theese models:

Papabear:
Buy the top tree
Ticker("VWO VNQ EFA VTV VUG IJT DBC IAU TLT ") // papa
ShowVar(@PAPASCORE,ROC(63)+ROC(126)+ROC(252))

CXO Momentum:
Buy the top tree
Ticker("SHY, TLT, vglt,VNQ, IWM, SPY, GLD, EFA, EEM, DBC voo") // CXO
ShowVar(@CXO,Roc(84))

Dual Momentum:
Buy the one with highest momentum
Ticker("scz,voo,sptl,tip")
ShowVar(@DM,ROC(21)+ROC(63)+ROC(126))
In this model VOO and SCZ has to bee in positive terrain to be bought. If not buy TIP or SPLT with the highest one month momentum

Optimum 3:
Buy 3 of the top 6 based on momentum, but choose the tree that is least correlated
Ticker("SPY, QQQ, VNQ, REM, IEF, TLT, TIP, VGK, EWJ, SCZ, EEM, RWX, GLD, DBC, BWX") // O3
My take on the momentum is the same as PAPABear:
ShowVar(@O3,ROC(63)+ROC(126)+ROC(252))
I have no idea how to program the pick of the least correlated tree og the top 6.

CXO: https://www.portfoliovisualizer.com/test-mark...;volatilityPeriodWeight=0

PAPA: PAPABear

DUAL: DUAL

Feb 2, 2022 12:31:11 AM       
Edit 1 times, last edit by Whycliffes at Feb 2, 2022 1:29:20 AM
Jrinne
Re: Do you have any suggestions for ETF rotation models?

Jim,
You have no response to my challenge to present a strategy that the uses volatility-drag to somehow outperform SPY.
All you can do is to pivot into personally attacking me.

I have not seen in any of your 3552 posts on this forum anything of value that we could use. So my message to you is: "Put up or shut up".

Georg,

I was asleep and have not read all of your posts. Not sure that I will. My apologies if I am not responsive to a good question.

This is not a competition.

It is possible that you might be able to recall that Marchus made the point that strategies with more ETFs do better.

I have agreed with this for a while. Going fully into SPY then to TLT then back fully to SPY simply does not work out-of-sample. Nor do other strategies like that (with too-few ETFs) work out-of-sample.

I simply posted that I agreed and gave 2 reasons why that is true: diversification and reduced volatility-drag which are not really separate reasons. You have better reasons I guess?

XLP, XLV, and XLU just took me literally 15 seconds to find as an example of volatility-drag. This actually occurs pretty commonly even within individual sector ETFs and elsewhere. I stated at the time this is not anything I would use as a strategy to invest in. I specifically used this example because it has nothing to do with any of my models and I assumed people would be able to recognize that.

I also said this at the time:

Showing a backtest of my model would be pure BS seeing as it is a backtest. I could debate how overfitted it is but not whether it is overfitted.


I am not going to start a backtest competition now because you double-dared me. That would be less than meaningless as Marc has pointed out. I think that it is actually unethical--as did Marc--if you are trying to sell a backtested strategy here on P123. Back in the day P123 would have asked you to stop.

Ethical issues aside, one just needs to go to your designer models to see the problem with overfitted backtests. Debating it in this thread will do nothing to change what anyone can find there on their own. What other evidence could one possibly need?

I guess we could pretend that this time is different. Please be my guest everyone. It is fun pretending that you would have known what strategy would have worked best years ago and imagine how rich you would be now.

The real question is why did putting together XLP, XLV and XLU (fixed in equal amounts) after 15 seconds testing--as an example showing that volatility-drag can affect returns--set you off?

Are you okay?

I might see if there are any questions that address the problems that rotation strategies with too-few holdings have later. My appologies if anyone asked a pertinent question of me that I did not answer.

Jim

Great theory, "and yet it moves."
-Quote attributed to Galileo Galilei (1564-1642) gets my personal award for the best real-world use of an indirect proof or reductio ad absurdum.
`

Feb 2, 2022 4:44:09 AM       
Edit 23 times, last edit by Jrinne at Feb 2, 2022 8:53:41 AM
geov
Re: Do you have any suggestions for ETF rotation models?


Ticker("XLY XLI XLB XLV") vs
Ticker("XLP XLK XLU QQQ")


Ticker("XLY XLI XLB XLK VBR") vs
Ticker("XLP XLV XLU VIG IEI") )

With seasonal timing, slippage of 0.1%, and selecting 2 ETFs with P123 ranking system "ETF Rotation - Basic" and backtest period from mid April 1999:
The first set shows an annualized return of 12.2% with a max D/D= -40%.
The second set shows an annualized return of 13.9% with a max D/D= -35%.
The original set as posted earlier in this thread shows an annualized return of 14.9% with a max D/D= -35%.
Over the same period SPY produced an annualized return of 7.6% with a max D/D= -55%.

What is there not to be liked of the Seasonal Timing strategy, AND WHERE IS THE CHERRY PICKING?
So this is my reply to the question of the thread, and I trust that some members may find this of interest.

Feb 2, 2022 8:53:40 AM       
Edit 1 times, last edit by geov at Feb 2, 2022 8:58:06 AM
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