ETFreplay blog | Diversification comes in various forms

Jul 09, 2019 in Backtest Maintaining a well diversified portfolio is a time-tested way to protect against going all-in on what turns out to be a terrible investment.  Diversification can also be employed at the strategy level for the same reason.  An example of this is the core-satellite framework, where a rebalanced core portfolio is mixed with different strategies that focus on Relative Strength and Moving Average trend following etc.  It is also possible to diversify across different versions of a single strategy, to reduce the risk of parameter…

ETFreplay blog | Emerging Markets Lookback Period Fund Backtest Results Array

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ETFreplay blog | Strategy Diversification: Combine a core allocation with regime based portfolio switching

May 07, 2019 in Regime Change Back in 2010 we created our first multiple strategy module, the Advanced Relative Strength backtest, allowing subscribers to combine together different models into an overall portfolio.  To illustrate the backtest, we produced a simple example that employed two sub-strategies; a basic US equity model (MDY, IWM, SPY and QQQ) and an international model using smaller developed country funds (EWA, EWC, EWH and EWS). The example below uses the same ETFs as that original illustration, but this time, rather than running each model concurrently,…

ETFreplay blog | Uptrending Ratio Indicates Relative Strength ETF Backtests QUANTIFY It

Apr 23, 2019   An uptrend is a series of higher highs and higher lows.   Using a ratio between 2 securities shows which is relatively stronger.   A Relative Strength analysis can quantify which security within a list of MORE THAN 2 securities is strongest.   So let’s look at one current situation.    Emerging markets have shown good relative strength on shorter-term basis.  If this continues then a higher low and higher highs situation could develop (vs SP 500).   That said, SPY has continued to be strong — both…