Comparing 2 Ultra-Simple ETF Backtests Side By Side

Jan 15, 2019 in Advanced Relative Strength | Backtest

 The example below is pretty self-explanatory but in a nutshell it compares 2 strategies set side by side in detached browser windows. 

Strategy A on left uses 2 pieces:   1.  50% choose 1 of 3 ETFs using 11-month total return  2.  other 50% using 6-month returns on the same portfolio of ETFs, also choose 1...

Strategy B on right using 1 strategy:  using ONLY 11-month returns.

Rather than only highlight just the overall total return of each,  of high importance is looking at the year by year (Calendar) returns vs a benchmark.   The 100% 11-month strategy has seen years of large outperformance and underperformance.   The blended strategy would have been much easier to stick by and actually achieve the end result - in addition it added return over the period.    We know from many research papers that 3 - 12 month relative strength all have some level of validity long-term.   No matter what the very long-term backtest looks like for these 2 strategies, we cannot know for sure which one is going to do better over the next 10 years.   But we can glean information by studying different types of backtests and help make a judgment about what is happening now.    Indeed, backtests primary function is to help guide you to understand what is happening in the most recent (current) period. 

 

 

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The Nikkei has been flat for a LONG time. Yes so have lots of securities. Example: Micron MU.

Jan 07, 2019 in Channel | Stocks

 A classic argument you hear is that the Nikkei (which went exponential in the 1980's) has been dead for a generation.   Yes, but you could say the same thing about lots of securities.   Here is EWJ (Japan fund) -- flat this century vs a very simple tactical strategy... and Micron (MU), which is actually -16% this century. If the S&P 500 goes into a wide trading range with low Buy & Hold returns, tactical asset allocation can still work. Even when there is no wind ON AVERAGE over the long-run, tactical investing can augment returns with the intermediate-term gusts.

 

 

 

 

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Note that in these examples the backtest is extremely conservative in that it assumes you never earn any return when out of the stock, which can be lengthy periods of time. In reality a bond fund or similar relatively low risk yield fund is very easy to access. Use our Ratio Moving Average backtest and check the results on those. Ratio Moving Average Backtest Module (Members link)

 ETFreplay Summary Page -- Individual Stocks

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Checking In On The MSCI Momentum Index ETF: MTUM

Dec 04, 2018

The MSCI Momentum ETF (MTUM) rebalanced on Nov 30.   In the image below we look at a sampling of the rebalance -- comparing a basket of top buys vs a basket of what it sold out of and compare those for the trailing 12 months.  

The ETF uses a combination of 12-mo and 6-mo momentum as well as a 36-mo volatility factor.   All of these are of course drop-menu choices in all of our Relative Strength backtesting applicaitons.

As you observe the chart of the 2 baskets, it should be clear the difference is in the Buy Baskets (In Green) 6-mo difference -- as the 12-mo returns are not much different. The entire point of using the 2nd time period (6-Mo) as a factor is so that you capture some acceleration and importantly tilt away from decceleration.

 The image below uses the ETFreplay Compare Portfolios Backtest Application Module

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Index Funds & ETFs Are Making Stocks Go Up With Their Senseless Buying? Oh Really?

Nov 11, 2018 in Stocks

Only looking at 4 top index funds that have been strong BUYERS of GE stock ---  to the tune of +223 million shares since 2010.

 

GE_SHARES.pdf (286.44 kb)

 

Started end of 2010 because that is the year VOO (Vanguard S&P 500 ETF) began trading.

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Sector ETF Backtesting -- Tips & Tricks

Oct 30, 2018 in Sectors | Video

A video to address US Sector Backtesting -- straight relative strength is not often the best way to go with regard to sectors. The public video below uses the following subscriber-only backtest ETFreplay Advanced Relative Strength Backtest

 

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

 

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ETF Advanced Relative Strength Backtest Discussion Video

Oct 17, 2018 in Backtest | 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 ETFreplay Advanced Relative Strength Backtest

 

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

 

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

Sep 04, 2018 in Backtest | Video

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

 

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Example of the Core - Regime Relative Strength ETF Backtest Module

Jul 26, 2018 in Regime Change | Video

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

 

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ETF Relative Strength Industry Backtest

Jul 24, 2018

There is a LOT of action in industry ETFs and you don't have to worry about headline risk (news, earnings reports etc...)

  

 

 

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Backtesting more than 25 securities at once on ETFreplay.com

Jun 16, 2018 in Backtest | Relative Strength | Video

A video showing how to backtest more than 25 securities at a time. The public video below uses the following subscriber-only backtest ETFreplay Relative Strength Backtest - Combine Portfolios

 

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

 

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