Annual Perfromance

Transition Map

Last 20 Trades

Download Report Download Data

This application demonstrates how to back-test a ETF Sector strategy using Shiny framework and Systematic Investor Toolbox . This example is based on the Multi-Asset Backtest : Rotational Trading Strategies post.

The Sector Rotation strategy selects top N funds (i.e. 2 funds) based on the momentum (i.e 6 month returns) and adjusts the holdings only if these funds drop their momentum rank below a threshold (i.e. replace all holdings with momentum rank greater than 6). This study is based on the ETF Sector Strategy post by ETF Screen


Author

Michael Kapler Systematic Investor Blog


Code

Original source code for this application at GitHub


References