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Relative Strength Sector Rotation Rate this Topic:
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Hayniet4
Posted : Sunday, May 01, 2016 11:18:05 PM
Gold Customer Gold Customer

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 ?

TBradley
Posted : Saturday, June 11, 2016 9:13:19 AM
Gold Customer Gold Customer

Joined: 1/22/2005
Posts: 72

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

0002ct
Posted : Tuesday, July 05, 2016 2:16:30 PM
Gold Customer Gold Customer

Joined: 11/19/2015
Posts: 172

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. 

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