Dec 04, 2017
We have just introduced a new subscription package for investing professionals.
Based on feedback and requests the we've received from advisors and portfolio managers, the new pro subscription adds the following functionality to the regular subscription.:
- All Moving Average, Channel, Ratio and Relative Strength portfolio strategies can be backtested from Dec 31, 1999
- Buy Top limit on all Relative Strength backtests raised to 20
- Number of favorite backtest settings to Save / Load increased to 20 per backtest
- Number of Dashboards increased to 20
- Advanced Relative Strength Pro backtest: test investing the strongest ETFs from up to 4 separate portfolios
- Core-Regime Relative Strength & Core-Regime Portfolios backtests
- Annual fee deduction option on Core-Satellite, Core-Regime RS and Adv RS Pro backtests
- MA Filter on Core-Satellite & Adv RS Pro can be Daily or Monthly MA
Subscribers that would like to upgrade to this new package can do so by going to My Account > Subscription Settings > Upgrade to Pro
Nov 02, 2017
in Backtest
If you would like to test Short-Selling on ETFreplay, use the versatile app called Rel Str - Combine Portfolios.
You can test going short the top or bottom ranking securities in a list.
Oct 06, 2017
in Regime Change
This backtest defines a Regime by comparing the performance of EFA and QQQ, two standard ETFs with plenty of market cap. The backtest then decides to allocate to EFA or QQQ depending on which Regime is in place. SPY is held in either case as a core position:
Sep 27, 2017
in Drawdown
Over the past ~15 years, the bond market has generally had positive single-digit returns and also single-digit calendar year drawdowns. As the gentlemens asset class, bond ETFs generally don't have the anguish associated with the big drawdowns of many equity ETFs.
For a reference point, below is a snapshot of Calendar Year returns and drawdowns for LQD, an investment grade bond ETF:
What is remarkable about this year is the combination of high returns with extremely low drawdown in some traditionally high-vol, high-drawdown segments - such as emerging markets. 2017's max drawdown for emerging markets has actually been less than most BOND market years.
+27% YTD total return near the end of the 3rd quarter of 2017 vs just -3.5% drawdown. Obviously, strong return and Low volatility leads to high rankings in our Relative Strength models. Uptrends can have some violent short-lived corrections but investors can manage such volatility by tilting their portfolios away from the weakest segments.
Link to the tool in this blog (subscribers): ETF Max Drawdown