Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
4.1.2Exchange-traded fundsBacktest
Dual-momentum sector rotation
Combine relative momentum (which sectors are strongest) with absolute momentum (is the market trending up?). In a downtrend, move everything into Treasuries.
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
AssetsLoading…
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 4.1.2 · Exchange-traded funds
- Asset class
- ETFs
- In the lab
- Full backtest
Dual-momentum sector rotation (4.1.2)
Combine relative momentum (which sectors are strongest) with absolute momentum (is the market trending up?). In a downtrend, move everything into Treasuries.
Key equation
Lab formula
momentum = close / delay(close, 252) - 1
sector = 1 - is("SPY") - is("IEF")
picks = 3
chosen = top(sector * momentum - (1 - sector) * 1000, picks)
risk_on = of("SPY", close > sma(close, 200))
risk_on * chosen / picks + (1 - risk_on) * is("IEF")How the backtest works
The formula is evaluated for every asset on every day. Its values become positions at that day’s close, using the portfolio rule you pick, and earn the next day’s close-to-close return. Costs are charged in basis points on the amount traded. Everything runs in your browser on daily data from Yahoo Finance, adjusted for splits and dividends.
More in Exchange-traded funds
- 4.1 Sector momentum rotation
- 4.1.1 Sector momentum rotation with MA filter
- 4.2 Alpha rotation
- 4.3 R-squared
- 4.4 Mean reversion (IBS)
- 4.5 Leveraged ETFs
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.