Video: Find Relative Strength Ideas -- Then Integrate Ideas Into A Portfolio

Apr 20, 2010 in Backtest | Screener | Video


4 minute video going over a few recent examples:



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Comments (2) -

Apr 20, 2010 06:04 #


What do you look for as a buy signal or sell signal   how do you define stops and exits

Ben Herle United States

Apr 20, 2010 20:16 #

The real idea is to see how money is flowing into and out of market segments over time and to use the information to observe larger themes in the marketplace  -- all through watching how the indexes are interacting with each other.  To the extent you feel confident that a shift is occuring, then that is when you should change positions accordingly.

But in our statistical backtesting, you have to have rules.  As in -- automatic rule which re-balances to X ETF's at the top of the list on each Friday, or on last day of month -- or on last day of each quarter.   In general, the monthly re-balance is significantly better than weekly.  Bottom line on a testing rule; we use a simple re-balance on the close of the last day of the month and hold for 1 month and then look to see if new things have developed at the end of the next month.   Sometimes the model won't change for many months -- sometimes the rotation will be significant.

There are hundreds of variations on all of this -- including how many securities to pick off the top and which filtered list to run etc...  

Whether you use ETF's in your process or not -- the ETF represents an underlying segmented index --- and it is very important information to understand how money is flowing into and out of broader categories.

hope this helps,

ETFreplay United States

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