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.


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

That would be very useful

Marco:

I would prefer the second option.

Bill

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

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.

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.

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

Thanks.
Georg

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

Thanks.

Agree.

Thanks,
Mark V.

P123 Team,
Is there a chance for a hedge module in ETF sims and ports. Marco did not think it would be difficult to implement as per his posting on May 8, 2015 above.

Thanks in advance.

P123 Team,
Now that the maximum backtest period for stock models is limited to the most recent 15 years, it would be good if P123 would compensate for this artificial restriction by implementing a hedge module for ETF models which can still be run from the beginning of 1999.

Marco thought this to be an easy job almost 4 years ago, but we are still waiting.

Wait, we can’t go back to 1999 anymore?

Why not?

IMO the original data should go back to 1995. 1995-99 look nothing like any other period, and would be great for variety.

Miro,
Perhaps your legacy membership still allows you to run sims from 1999 onward, but all the new membership tiers have data restricted to a max period of the most recent 15 years or less. Apparently the data provider forced P123 to do this.