Improving the Simple ETF Rotational Trading Model

About the Author Jeff Swanson

Jeff is the founder of System Trader Success - a website and mission to empowering the retail trader with the proper knowledge and tools to become a profitable trader the world of quantitative/automated trading.

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  • Dan Neagoy says:

    Cool stuff Jeff!

    There are definitely some simple modifications you can make to the Excel ETF Rotation system to improve the performance and make it more tradeable. Personally, I like systems that have low drawdowns even if that comes at the expense of slightly lower returns. The modifications you made via ETFReplay definitely make the system more comfortable to trade. Thanks for elaborating on the post.

    Best,
    Dan

  • Mark says:

    I’ve noted this concern before but a while back, someone I regard as a reliable source (could be wrong) suggested ETF Replay has a future leak in its backtesting algorithm and therefore shows better results than would actually be seen. A way to test this would be to download the data yourself (e.g. Yahoo! Finance) and do some backtesting to see if the results matched. There might be issues with “adjusted close,” though, which was the subject of my comment on the previous post to which Dan has yet to respond). This issue aside, though, the reliability of ETF Replay remains a lingering curiosity of mine.

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