tag:blogger.com,1999:blog-5375291312433129989.post2963788085172177151..comments2023-06-03T05:06:58.216-04:00Comments on The Lazy Trader: ETF Rotation Systems to beat the Market - SPY + IWM + EEM + EFA + TLT + TLH + DBC + GLD + ICF + RWXHenrikhttp://www.blogger.com/profile/05792195649092816606noreply@blogger.comBlogger28125tag:blogger.com,1999:blog-5375291312433129989.post-66352687734322316642015-05-18T15:15:35.353-04:002015-05-18T15:15:35.353-04:00Absolutely. Here are the returns 2010 - 2014:
201...Absolutely. Here are the returns 2010 - 2014:<br /><br />2010: +26.3%<br />2011: +35.5%<br />2012: +8.5%<br />2013: +8.7%<br />2014: +7.9%<br /><br />Summing up, it outperformed the SPX in 2010 and 2011.<br />It underperformed the market in 2012, 2013 and 2014.<br /><br />Overall, in the five year period, it out performed the market<br /><br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-25888181419543816492015-05-18T15:08:43.041-04:002015-05-18T15:08:43.041-04:00Hi LT, have you tried backtesting the system from ...Hi LT, have you tried backtesting the system from 2010 (not 2004)?<br />By the way, TD Ameritrade has over 100 commission free ETFs. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-83795350508616233482015-05-13T10:22:46.929-04:002015-05-13T10:22:46.929-04:00Absolutely man.
Shoot me a private at traderlazy@g...Absolutely man.<br />Shoot me a private at traderlazy@gmail.com so I can send you the explanations. I avoided them in these articles as it would have made them too lengthy.<br /><br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-41075677192956745952015-05-13T09:54:14.914-04:002015-05-13T09:54:14.914-04:00Excellent series Henrik. I'm interested in set...Excellent series Henrik. I'm interested in setting it up in TOS (paperTrade) and I'm stuck at setting up the formulas. Do you know how the original author set up the formulas(s) and what tools he used? Like I mentioned, I use TOS so any guidance on how to "scan for" or set a watchlist to lay out these parameters would be greatly appreciated. "Sorry for the n00b question".<br /><br />Thanks Henrik!frankblack5https://www.blogger.com/profile/10530203839738696623noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-553285705570831812015-05-12T20:26:04.593-04:002015-05-12T20:26:04.593-04:00The beauty is that you can select any ETF you want...The beauty is that you can select any ETF you want. Of course you want to prioritize those with low management fees, and those that pay a higher dividend.<br />In this case, among other things I went with because of its popularity and because it has a past history that allows me to go back several years and perform meaningful back tests.<br /><br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-54393346333231356172015-05-12T20:14:28.654-04:002015-05-12T20:14:28.654-04:00Dear Henrik,
Thanks.
Another question :: Why EEM? ...Dear Henrik,<br />Thanks.<br />Another question :: Why EEM? Why not small caps international. SCZ for example? If we use IWM, for domestic,Doesn't SCZ make sense for International?<br />I have registered with my e-mail jayalagia@gmail.com You can send me added research you have done if you wish.<br />-Jayantilal<br /><br />Jayantilalhttps://www.blogger.com/profile/04472736735733886002noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-18262523395946158902015-05-05T17:26:07.683-04:002015-05-05T17:26:07.683-04:00Hi Jayantilal,
Sorry, I didn't see your email...Hi Jayantilal,<br /><br />Sorry, I didn't see your email I just checked again and didn't find anything.<br />As for providing ETF of my choice for a fee, I wouldn't feel like it is fair. 1- Because I don't invest this way yet due to lack of capital. 2- because it is simple for people to do it themselves by purchasing an ETFReplay subscription for $35 a month or you can follow thetatrend.com for example who does it for free. He recently talked about making it a subscription based service for $14.95 per month which is good value.<br /><br />Hope those things help.<br />Regards,<br />Henrik<br /><br /><br />The Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-77483652939154565882015-05-05T14:33:28.422-04:002015-05-05T14:33:28.422-04:00LT,
I sent you e-mail at private but did not get r...LT,<br />I sent you e-mail at private but did not get response.<br />Can you provide us with ETFs of your choice every month for a fee?<br />If they do not change, we will pay for the no change advice as well.<br />-JayantilalJayantilalhttps://www.blogger.com/profile/04472736735733886002noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-38758336335791449202015-04-20T17:25:37.609-04:002015-04-20T17:25:37.609-04:00I do. shoot me a private at traderlazy at gmail do...I do. shoot me a private at traderlazy at gmail dot com and I'll send you the data. It would be an unformatted mess if I tried to add it to this comments box.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-90164694680903247752015-04-20T17:23:00.846-04:002015-04-20T17:23:00.846-04:00P.S. I see that you have posted annual results.
-J...P.S. I see that you have posted annual results.<br />-JJayantilalhttps://www.blogger.com/profile/04472736735733886002noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-9992031672962660052015-04-20T17:05:57.331-04:002015-04-20T17:05:57.331-04:00Thanks, LT. More questions:: Do you have year by y...Thanks, LT. More questions:: Do you have year by year comparison of the backtested strategy with SPY?<br />I want to know the odds of it winning in any year and odds of it winning any 3, 5 and 10 years.Also have you considered backtesting Fidelity select sector funds? They go back 20 years.<br />-JayantilalJayantilalhttps://www.blogger.com/profile/04472736735733886002noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-90173508153449491332015-04-13T19:35:04.184-04:002015-04-13T19:35:04.184-04:00Hi Ray,
I did it all through etfreplay.com which c...Hi Ray,<br />I did it all through etfreplay.com which cost $35 per month.<br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-46060209384407985552015-04-13T17:39:37.867-04:002015-04-13T17:39:37.867-04:00I would like to know how you do your back testing....I would like to know how you do your back testing. Is there a service that does that for a fee?<br />-Jay AlagiaJayantilalhttps://www.blogger.com/profile/04472736735733886002noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-60338943243210782092015-03-07T21:09:28.505-05:002015-03-07T21:09:28.505-05:00Great questions Ryan,
1. Stop Losses only tend to...Great questions Ryan,<br /><br />1. Stop Losses only tend to degrade the performance of ETF Rotation systems. Keep in mind that even if SPY has corrected more than 50% in the past, it doesn't do it in a single month. The system would be out of it much earlier. Also, the system invests in 3 ETFs at the same time. So, if one of them falls 10%, it would only be a 3.33% fall for the overall portfolio. Plus the portfolio is invested in non-correlated assets, so chances are, some other ETF will mitigate that. The worst month in the back test was -8.14% which happened on April 2004 while invested in EFA, ICF and TLT. No single month was worse than -8.14%.<br /><br />2. No. Positions are held for an entire month.<br /><br />3. I haven't heard of benefits. I know one drawback is that you will spend more money in commissions. Unfortunately ETFReplay doesn't allow to go below one month cycles. At least as of this writing.<br /><br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-88113549249286641852015-03-07T11:16:30.548-05:002015-03-07T11:16:30.548-05:00Great articles! Couple of questions:
1. Do you u...Great articles! Couple of questions:<br /><br />1. Do you use a Stop Loss on any of the positions that you are invested in for the month?<br />2. Do you move a position you are invested in mid month if it falls below it's month moving average during the month?<br />3. Any benefit that you have heard of to evaluating on a more frequent basis?<br /><br />Thanks!<br /><br />RyanAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-68024424430182002572015-02-10T06:57:35.345-05:002015-02-10T06:57:35.345-05:00I didn't really investigate this topic thoroug...I didn't really investigate this topic thoroughly, however I would like to refer to two papers:<br />1. Profitable Momentum Trading Strategies for Individual Investors by Bryan Foltice and Thomas Langer.<br />2. Are Momentum Strategies Profitable? Evidence from Singapore by Vikash Ramiaha, Tony Naughtonb and Madhu Veeraraghavanc.<br />Although these papers deal with stocks and not ETFs, they address the issues I mentioned (and the ones I didn't mention) in my previous post, such as: number of positions, trade frequency, portfolio size, volatility, commissions, shorting. You can google them online for free.<br />My ideas from the papers (but not only):<br />1. Portfolio size of 5 to 8 - discussed in paper 1. <br />2. No need to include volatility in the formula to pick the ETFs. If you use not highly correlated ETFs to build the portfolio (with at least 5 ETFs), the volatility takes care of itself (just a feeling, I don't have proof of that). Also, from paper 1, trading frequency addresses volatility.<br />3. Could be useful to include shorting (or buying inverse). Relevant data is shown in paper 2 (dollar neutral approach gives higher returns).<br />Would be nice to hear your thoughts on that.<br />Regards.<br />Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-8062771329189481532015-02-05T07:21:05.209-05:002015-02-05T07:21:05.209-05:00Thanks for the question.
I don't trade ETF Rot...Thanks for the question.<br />I don't trade ETF Rotation systems. At least not right not. I would say a portfolio of 20K at least where my projected commissions per year are less than 1% of the portfolio. That would be a start.<br /><br />1. No final list of ETFs. I shared 5 simple systems,it's up to the reader to come up with his own.<br />2. Hold 2 or 3 positions. Never 1. <br />3. Special rules for entry and exits? No. Just the mathematical formula discussed in chapter 1.<br />4. No shorting nor buying inverse ETFs<br /><br />Cheers,<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-30457401931091259122015-02-05T07:04:21.432-05:002015-02-05T07:04:21.432-05:00Great work. What would be your bottom line, for po...Great work. What would be your bottom line, for portfolio with enough money, where commissions are not an issue?<br />1. What is the final list of ETF's?<br />2. How many positions to hold?<br />3. Special rules for entry/exit?<br />4. Shorting under-performing ETF's (or buying inverse ones)?<br />Thanks. Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-67172537202983568092015-01-23T08:54:09.429-05:002015-01-23T08:54:09.429-05:00Thanks frankblack5.
Agreed. Too much hype and too ...Thanks frankblack5.<br />Agreed. Too much hype and too many scams out there.<br />I'm always looking to finding new no BS, valuable sites. So, if you see anything interesting out there, I'd appreciate your letting me know.<br />Thanks for dropping by!<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-6652644326600774022015-01-23T08:13:20.948-05:002015-01-23T08:13:20.948-05:00This is one of the reasons I appreciate sites like...This is one of the reasons I appreciate sites like yours LT; "curation". There is so much noise regarding self directed investing, it's great to find a place to pick up new, "non-gimmick" related information. Thanks for your efforts in providing this blog.<br /><br />Take care LTfrankblack5https://www.blogger.com/profile/10530203839738696623noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-84747644066285857732015-01-20T12:40:21.330-05:002015-01-20T12:40:21.330-05:00Thanks Chris,
Glad you liked it. Doing my best ove...Thanks Chris,<br />Glad you liked it. Doing my best over here to get us all out of poverty.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-21701393132954608852015-01-20T10:50:41.556-05:002015-01-20T10:50:41.556-05:00Great articles, thanks very much for posting. Reg...Great articles, thanks very much for posting. Regards,Chrisnoreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-83882208092159476272015-01-20T08:02:30.093-05:002015-01-20T08:02:30.093-05:00No problem Jonathan. I do think that when you have...No problem Jonathan. I do think that when you have a significant amount of capital, whatever that means to you, you should diversify into other strategies and not be a one trick pony. Hence my approaches to passive investing & automated Forex trading. ETF Rotations in particular are a great vehicle because it is incredibly scalable and I wouldn't be afraid to put a good chunk of money there.<br />Good luck on your research and let me know how it all goes.<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-63366221575457990332015-01-20T07:58:51.976-05:002015-01-20T07:58:51.976-05:00Thanks Rick,
I have thought of doing what you sugg...Thanks Rick,<br />I have thought of doing what you suggest. Let's see how I accommodate the space to clearly reflect the results of all the strategies without too much clutter. I mentioned the possibility of not tracking the dividend investments because there will be life changing events this year in my life (Move to the US). I won't be allowed to work for a few months possibly 6, but maybe a year. For that reason I am accumulating money but will inevitably have to refrain from investing this year as I will need liquidity. I imagined, that tracking investments in an account with zero activity the entire year offers no value. At least not until I resume activity there.<br />What do you think?<br />LTThe Lazy Traderhttps://www.blogger.com/profile/08598866019359750526noreply@blogger.comtag:blogger.com,1999:blog-5375291312433129989.post-77274805765905886852015-01-19T23:48:35.111-05:002015-01-19T23:48:35.111-05:00Thanks LT. As you know, I am primarily a credit sp...Thanks LT. As you know, I am primarily a credit spread trader but I need to diversify my trading strategies into something that is conservative, consistently profitable and low maintenance. I believe this ETF rotation system fits that criteria nicely. I will be doing my own research into this strategy this year. After my research and backtesting, I will use real money to test it out. Thanks again for letting us know about this very interesting strategy. Jonathanhttps://www.blogger.com/profile/14635010979050643513noreply@blogger.com