New version 18 available now

Download software Tutorial videos
Subscription & data-feed pricing Class schedule

New account application Trading resources
Margin rates Stock & option commissions

Welcome Guest, please sign in to participate in a discussion. Search | Active Topics |

Relative Strength Sector Rotation Rate this Topic:
Previous Topic · Next Topic Watch this topic · Print this topic ·
Posted : Sunday, May 01, 2016 11:18:05 PM
Registered User
Joined: 4/19/2016
Posts: 41

Has anyone played with this?  Farber released a white paper testing this concept with great results.  

Several online signal sellers are selling 23% - 700% gain in past performance.  I read the paper (google Farber White Paper) and understand it is just a rough frame work but I'm not getting those kinds of results at all in basic testing.  Frequently the methods buy the highs and then then next reballance ditches the holding right before it swings back up.  He does talk about a multiple reballance period but i'm not following what he means there.  I know that he 

I'm a Fan of covel's work on Trend following and soon plan to start a trend followng ETF account ona basket of ballanced and uncorrelated ETF's.  I used a simple moving average and it worked well when I followed the plan.  Accumulate in the positive moving average profile and sell all on the cross. Begin accumulating the inverse.


There may be a way to blend the two.  Only hold the items above their moving average from the basket that are also scoring highly in relative strength ?

Posted : Saturday, June 11, 2016 9:13:19 AM
Registered User
Joined: 1/22/2005
Posts: 73

How about a basket of value, deep out of money sector ETF's, a contrarian play...

Posted : Tuesday, July 05, 2016 2:16:30 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 421

Are you meaning Faber (not Farber)? People might not find this if searching.

Yes, I've played with this. I used rate of change versus SPX. 

Users browsing this topic

Forum Jump
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.