Adding Rotation Options For Backtesting ETFs

Jun 29, 2017 in Backtest

We have added a new backtest rotation option, which we think delivers some useful flexibility.

Previously Relative Strength strategies could be rotated quarterly, monthly or semi-monthly.   Now you can choose a different schedule in the 'Relative Strength - Combine Portfolios' backtest module utilizing a useful feature we call Skip Rotation:

 

 

This way you can set for example a 3-month (quarterly) or a semi-annual rotation but not necessarily on CALENDAR quarter ends.  So for example, you could offset a quarterly rotation by 1 month and choose Jan, Apr, Jul, Oct.  Or you could choose 'every other month' such as in the example below:

 

Then below we reverse it so now it skips the opposite months as the above example and instead test an earlier 7-year period:

 

Separately, we can actually use this same structure to do some basic seasonality testing.   In the test below, we test going long Small & Midcap stocks for the period November to April and then invest simply in the benchmark S&P 500 from May to the end of October.  We do this by using checkmarks to move to the cash security (set to SPY) for May, June, July, Aug, Sep & Oct:

 

The green question mark icon next to 'Skip Rotation' will, when clicked, produce a pop-up help note with more information about the function. However,  if you have any further questions, please contact us

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