Adding Rotation Options For Backtesting ETFs
Jun 29, 2017
in Backtest
We have added a new backtest rotation option, which we think delivers some useful flexibility.
Previously Relative Strength strategies could be rotated quarterly, monthly or semi-monthly. Now you can choose a different schedule in the 'Relative Strength - Combine Portfolios' backtest module utilizing a useful feature we call Skip Rotation:
This way you can set for example a 3-month (quarterly) or a semi-annual rotation but not necessarily on CALENDAR quarter ends. So for example, you could offset a quarterly rotation by 1 month and choose Jan, Apr, Jul, Oct. Or you could choose 'every other month' such as in the example below:
Then below we reverse it so now it skips the opposite months as the above example and instead test an earlier 7-year period:
Separately, we can actually use this same structure to do some basic seasonality testing. In the test below, we test going long Small and Midcap stocks for the period November to April and then invest simply in the benchmark S&P-500 from May to the end of October. We do this by using checkmarks to move to the cash security (set to SPY) for May, June, July, Aug, Sep and Oct:
The green question mark icon next to 'Skip Rotation' will, when clicked, produce a pop-up help note with more information about the function. However, if you have any further questions, please contact us.
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