For part of my portfolio, trend following, in which I use 24 ETFs, I have a position sizing system based on momentum and linear decay. I classify the ETFs by ROC (90 days) and make 3 groups, to the first group I assign 50% of the capital, to the second 35% and to the third 15%, rebalancing the position monthly.
You take the ETFs from your list and on the last trading day of the month, at the close, you calculate the 90-day ROC of each ETF. You group the ETFs into 3 groups, ordered by ROC, to those with the best ROC YOU ASSIGN 50% of the capital, to the second group 30% of the capital and to the third group the remaining 15%.
I just revisted these nice series of articles, any chance you could also share the RealTest codes for these Portfolios (as you did for the first article)? would be highly appreciated!
Great work, thanks for sharing!
Thank you I appreciate that!
For part of my portfolio, trend following, in which I use 24 ETFs, I have a position sizing system based on momentum and linear decay. I classify the ETFs by ROC (90 days) and make 3 groups, to the first group I assign 50% of the capital, to the second 35% and to the third 15%, rebalancing the position monthly.
Very cool approach. How well does it work? I’ve never tried anything like that
I've been using it for 6 months, the best thing to do would be to do a backtest, you know a lot more about that than I do... hehehe
If you share the rules I can backtest for you. Up to you
A question, when a ETF close below 200 MM , do you wait end of month to exit or in the day that close below you exit?
Wait until the end of the month. It helps reduce noise
You take the ETFs from your list and on the last trading day of the month, at the close, you calculate the 90-day ROC of each ETF. You group the ETFs into 3 groups, ordered by ROC, to those with the best ROC YOU ASSIGN 50% of the capital, to the second group 30% of the capital and to the third group the remaining 15%.
Within the groups is the alloc equal weight
Yes, equal weight
Any news, did you check the system?
I just revisted these nice series of articles, any chance you could also share the RealTest codes for these Portfolios (as you did for the first article)? would be highly appreciated!
Let me dig those up for you and share them!