Channel Backtest Example -- China A-Shares ETF ASHR

Apr 05, 2019 in Backtest | Channel

Channels are a good, simple supplement that offer an ABSOLUTE look and can be used in conjunction with other RELATIVE studies. Wider channels give your trade room to work. Tighter channels will cause some whipsaw losses. If you are bullish on an ETF based on a range of factors, then running a skewed channel might be a good idea --- ie, run the exit (Sell channel) at 0% but a buy at just 60%... This allows you to get in quickly while still offering room for the investment to work. This study uses a simple 67% / 33% buy/sell trigger with a ~6 month lookback (26-weeks means you will trade usually on a Friday -- if holiday then Thursday). Entries and exits only occur on the close of the last day of the week (Fridays) allowing for easy monitoring. Note that this look has trades that have lasted a while. This is because the sell rules will allow a fair bit of movement before exiting.

Finally, because a channel uses a percentage,  it may be easier to see the trend in the ETF than othewise.   An uptrend is defined by higher lows and higher highs.    A downtrend is defined by lower highs and lower lows.   The channel is a another tool to have to see and understand what is happening in the market.


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Introducing Dashboards - A Way To Help Organize Workflow In Research & ETF Portfolio Backtesting

Mar 05, 2019 in Video | Dashboards

A video to demonstrate one way to use ETFreplay Dashboards -- a new feature on the site to help you monitor your various strategies. We view this as nicely complementary and a useful dimension to add to the site.


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


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New feature: Dashboards

Feb 14, 2019 in Dashboards

We have added Dashboards as a new feature to the website so that subscribers can easily view multiple models and/or markets in one place.

Dashboards can be used in numerous different ways, including:

  • to view market activity from various angles with a mixture of several different models
  • to look at one model applied to several different ETFs / markets - see MGI Report of Jan 17th
  • to monitor different variations of a single model

etc etc.

Most importantly, you have the choice of how to set up your own personal dashboard(s).

To create a dashboard:

  1. From 'My Account' in the top menu, choose 'My Dashboards'
  2. Click 'Add Dashboard' button in the top right corner, enter a name and click save
  3. A dashboard with 6 empty windows will now appear
  4. Click the 'Add Item' button in top right corner of one of the empty windows
  5. Choose between:
    1. 'Screener'
    2. 'Ranks'
    3. 'Ratio Chart'
    4. 'MA Chart'
    5. 'MA List'
  6. Enter the rest of the required details, click 'Save' and the desired chart or table will appear in the window.
  7. Repeat steps 4, 5 and 6 for the other empty windows, up to a total of 6 per dashboard
  8. Items can be edited / removed by clicking 'Edit Item' in the top right corner of the required window
  9. The 'through' date can be changed via the calendar control in the top left corner

Subscribers can create up to 5 dashboards. Pro Subscribers can have up to 20.



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Jan 31, 2019 ETFreplay Market-Generated Information (MGI) Report ETF Backtest

Jan 31, 2019 in Ratio | Regime Change

 Jan 31, 2019  ETFreplay Market-Generated Information (MGI) Report

Focus on using TIPS index as a backtest parameter for Energy Stocks (XLE)

(Click on Image For Link to PDF)


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Jan 23, 2019 ETFreplay Market-Generated Information (MGI) Report

Jan 23, 2019 in Ratio | Stocks

 Jan 23, 2019  ETFreplay Market-Generated Information (MGI) Report

Focus on FedEX (FDX) as a backtest parameter.

(Click on Image For Link to PDF)


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Jan 17, 2019 ETFreplay Market-Generated Information (MGI) Report

Jan 17, 2019 in Stocks | Ratio

Jan 17, 2019  ETFreplay Market-Generated Information Report:  A look at where we stand with some key Financials including a backtest: 

 (Click on Image For Link To PDF)


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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.






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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