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Miro
Why no market timing hedges in ETF sims?

I have a sector rotation ETF sim that does well in bull markets and poorly in bear markets. See below.

I would like to use market timing to put on a hedge in bear markets. There is a "market timing/hedge" section of the sim just like stock sims, but the feature is turned off. It says it's not available for ETF sims.

I put in a feature request for it. If you want the feature, go vote for it. Thanks.

Attachment Screen Shot 2015-05-03 at 10.11.44 PM.png (137755 bytes) (Download count: 330) (Sector Rotation ETF Sim)




May 3, 2015 10:23:28 PM       
marco
Re: Why no market timing hedges in ETF sims?

I think it wasn't added because you could end up hedging with an ETF that is also a position. Since the code doesn't support that, some brainstorming was required, and the project just sat there.

We can get this done quickly simply by:

1- allowing hedging for ETF system only with indices (the drop-down changes a bit)
2- keep the same interface but throw an error if the hedge is also a position

Thanks

Portfolio123 Staff.

May 8, 2015 12:36:03 PM       
plan_trader
Re: Why no market timing hedges in ETF sims?

That would be very useful

Gary

May 8, 2015 6:29:11 PM       
strader1
Re: Why no market timing hedges in ETF sims?

Marco:

I would prefer the second option.

Bill

May 10, 2015 2:23:20 AM       
quantguru
Re: Why no market timing hedges in ETF sims?

Hi Marco, I'd prefer the second option as well. Thanks for implementing this.

May 10, 2015 6:24:42 AM       
intvalue
Re: Why no market timing hedges in ETF sims?

Marco,

Implementing the second option (preferred) would allow me to backtest and automate an ETF portfolio I have been managing manually for years. Thank you in advance for this – and all the other great additions to p123.

"Bull markets are born on pessimism, grow on skepticism, mature on optimism and die on euphoria."

—Sir John Templeton

May 10, 2015 11:11:14 AM       
intvalue
Re: Why no market timing hedges in ETF sims?

Bump

Marco said: "We can get this done quickly simply by..."

Since Marco said that he could "quickly" implement the hedging module for ETF sims, can the staff please complete this request?

As several responses indicated, the option #2 (error message) would be preferred. This module addition to ETF sims/ports would be extremely beneficial and make it possible to use more sophisticated designs for ETFs. I have several R2G ports I could launch if we had this capability, and I’m sure there are other designers who would also add new models.

I know there are many projects in progress already, but if this is something that can be "done quickly," please do. It would be greatly appreciated. Thank you.

"Bull markets are born on pessimism, grow on skepticism, mature on optimism and die on euphoria."

—Sir John Templeton

May 29, 2015 4:56:45 AM       
Edit 1 times, last edit by IntelligentValue at May 29, 2015 4:58:15 AM
geov
Re: Why no market timing hedges in ETF sims?

We can get this done quickly simply by:
1- allowing hedging for ETF system only with indices (the drop-down changes a bit)
2- keep the same interface but throw an error if the hedge is also a position

Marco,
The above comes from your posting from more than 3 years ago.
This is really something we need.

Thanks.
Georg

Jun 2, 2018 4:54:58 PM       
Jim101
Re: Why no market timing hedges in ETF sims?

I agree - this would be really useful and something we really need.

Thanks.

If you torture the data long enough, it will confess to anything.

Jun 4, 2018 5:46:07 AM       
mv388158
Re: Why no market timing hedges in ETF sims?

Agree.

Thanks,
Mark V.

Jun 5, 2018 12:13:12 PM       
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