Category: Relative Strength

Sequential Relative Strength Stock and ETF Backtesting

Note: during the launch of our new application called Sequential Relative Strength, we are allowing all accounts to create portfolios using individual stocks. This app module is able to expand on the core Portfolio Relative Strength and add a 2nd stage to help improve entry points.

The idea behind this module is to more easily combine intermediate-term relative strength with short-term mean reversion. Short term weakness within a strong long-term trend is normal. Try running your backtest with this mean-reversion added and then compare it to a model which does the opposite. Analyze the results. Think about the volatility of the resulting equity curve. Look at sub-periods. Are the results highly lumpy? Were the results achieved in earlier years but fade in recent years? These are some of the things ETFreplay was created to do -- not just look at the return of a strategy -- but to decompose it and analyze it to try to find something that is more robust. #STUDY

to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen. Use the settings icon to change to 1080 quality if it seems at all blurry

Layering 2 ETF Backtest Strategies For Enhancing Return

Layering 2 strategies on top of each other for better return -- and importantly this can improve the consistency on a year-to-year basis. The mean reversion strategies tend to add more return when things are volatile -- but less relative to the benchmark when the market is rising on low volatility. That said, low volatility uptrends are often an excellent environment for absolute gains anyway and you will naturally participate in such a market because mean-reversion has zero market timing associated with it.  That is, sometimes you will just track rather than outperform a low-volatility uptrend.... and that is a good thing.

to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

ETF Advanced Relative Strength Backtest Discussion Video

An updated video for the Advanced Relative Strength Backtest (and we simultaneously provide a brief overview of ETFreplay as well in the beginning of this video). The public video below uses the following subscriber-only backtest Advanced Relative Strength Backtest

 

to expand video on screen, click the '4 expanding arrows' icon in the bottom right corner of the video screen

 

Core-Satellite: Combining 2 ETF strategies Into a Single Unified Module

In this video we demonstrate how to build 2 individual strategies and then easily combine them using the Core-Satellite backtest module. The public video below uses the following subscriber-only backtest ETFreplay Core - Satellite Backtest

 

to expand video on screen, click the '4& expanding arrows' icon in the bottom right corner of the video screen

 

Example of the Core - Regime Relative Strength ETF Backtest

A video with a demonstration of the new Core-Regime RS Backtest module. The public video below uses the following subscriber-only backtest ETFreplay Core - Regime Relative Strength Backtest

 

to expand video on screen, click the ' 4 expanding arrows' icon in the bottom right corner of the video screen

 

12345