Monday, April 11, 2016

Momentum Rotation 60 Day ROC System Results

In my last post, Yahoo Data and Momentum Rotation - Analysis of 2015 Data, the big take away was the importance of performing a full download / update of historical data before generating your signals.  This is particularly important when using dividend adjusted data, which is typical for most equities and ETFs.  The dividend adjustments need to be reflected in the entire series for a particular product, not just the most recent few months.

In this post we will look at the current performance of a momentum rotation system for AmiBroker that I showed in an earlier post here.  This momentum rotation system ranks a portfolio of products based on their 60 day rate of change.  The product with the largest positive change in the portfolio is selected for entry.  If all of the products in the portfolio have a negative rate of change...a price today that is lower than the price 60 trading days ago, then the system will move to cash.  The system runs on the last trading day of the month, and executes orders at the close - "market on close" orders in live trading.

This momentum rotation system was run against the products listed below in the March 2015 post.  We will use the same products for this post.

So how has this momentum rotation system performed since last March?  Pretty poorly!  March of 2015 was the high water mark for this system's equity curve.  Since that time, the equity curve has dropped 23.82%.

60 Day Momentum Rotation System Equity Curve 2003 - 2016
(click to enlarge)

60 Day Momentum Rotation System Profit Table 2003 - 2016
(click to enlarge)

The ETFs held by date are shown in the chart below.  Early in the life of this system, it was not uncommon to hold the same ETF for several months.  Trade duration has shortened in last few years.

60 Day Momentum Rotation System - Positions By Date - 2003 - 2016
(click to enlarge)

The score for each ETF by date can be downloaded from Google Docs: Rank By Date.  Note that the score is calculated based on the closing prices the day before the last trading day of the month.  This score is then used to rank the ETSs and determine the trade for the last day of the month (using a market on close order).

The trade log for this system can be downloaded from Google Docs: Trade Log

In my next post, I will review some metrics for this system and how they have changed over the years.

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