Newish rotation strategy

Nice work, musselmant. Since BCC is no longer zero (NH-NL is now bullish), people following this rotation strategy would now buy SPY and QQQ in equal amounts.

You can see this if you click Run Screener at the gtr1 link given by musselmant:

Screen Shot 2023-01-13 at 8.52.13 AM

What are people’s thoughts? Are you following this rotation strategy and going long these now?

Musselmant Newish Rotation Strategy
2004-07-01 through 2023-01-12

CAGR 16.0
GSD 16.0
Max Drawdown -25.4
Sharpe 0.98
3 Likes

Not exactly but did push me to make some changes. Like closing some short ETF positions.

GD_

2 Likes

Here is one using 1 sector a month chosen from
{XLB}{XLE}{XLF}{XLI}{XLK}{XLP}{XLU}{XLV}{XLY}
end of 2008 forward, trade monthly

cagr 15.8
gsd 17.5
ldd 10.3
sharpe .95
beta .62
mdd -32.7
2022 28.1

http://gtr1.net/2013/?!!QlpoMTFBWSZTWYerslMAAu5fgBAAIgd!2F8D!2FvS!2BA!2F797hQALK7NlraAwkUCmIj0nqNANAMjR6hk9TQGEo0U0mmp5EaBtQMg0AAHqAYDQAADQAAAAAAqiRNkmmgmUwmjTQZGmmho0yaaW4qnbpNpq1LB7TBq8dGKFJqX1QZgVKP61IIrYkPdxX5mke6ozmtKUkJM4YEMJiIcId8KEJyzjLiDQQbhA66!2B7Rp87!2FWysMuk1x45rKghBeA5XJYUjdw21VhoOBSkWYFeHUYdZXlOUvKwscsVGiSyMsHLSYeooQQ0M7I6QxYvY0V8b6Ko1Eoiy6b9y2HYvomh2bOI2ZlQrrHUXsTJkKmNMeNwQMaaJMKxmNwksTiaHNxLJR!2BVGWEeU2haYZMSxJtyxm5ynlJ2IIi0apP5tqjbzbt1sI7awztQpN9YhQuk4ahC6lxfAXE0ZmkKQ72ANoUwaCrFGbeaYFBiNQUGw2W5E8y8vA0weE6ab!2FJqyb01QkStcJ7iqluWWQdeejlsQbOGxf71o8S2nwMY4IvFkXurCtU5XMylOFJJ9r9wUeNIJHieMLRkc!2BV0XGuCyjUqo6dOkm!2BjGCKYg!2BkOdoYI3fltjMYYnC1!2F1Hf3O!2FAY9yDGVw2!2BX6jJrFm!2FzWYxBnfTTi5vyK0h6nZgbDHivOKHna5FIHV4b4018FS6MsDtRqUYU!2BiEsVZkxGobW!2BOyPvRh0ROOKiZjOGxyRGyOnjcDTsUGasZjjvGO!2B9WMWzpsdEcIejmhk1xZT2G6Iv4RLMlFHqiYq1DnTpSoVNL3Vssxmkt1KaL1IXaHoolqV2UTnd63Xc0Eoou!2B0SMs4Y0HQ641a2vkLNqUrlaE7LbjoNwu5IpwoSEPV2SmA!3D

4 Likes

Or this tested back to start of these sector ETFs, monthly traded
strategy vs. S&P
cagr 12.5 9.7
sharpe .66 .5
beta .5 1.0
mdd -37.6 -60.2
2022 46.3 -11.1
worst of average
years -10.3 -40’

ratio(sma(1,5),tr(1,200)) bottom 2
tr(10,40) top 1

http://gtr1.net/2013/?!!QlpoMTFBWSZTWap7tXwAAtrfgBAAIgd!2F8D!2FvS!2BA!2F797hQAKy7XVlWBwlCk0PSHqaaDQADIAAABJBEKMIZAyaMgA0GmmIAkU1J6j1Jp6mGoaDQaZAeoNNNPUaBJFNMKZqeonkjKYBD1HoQMAJhstbD3mw8vJa22GttJV0nrRTtqMay1R!2BMpCFqdy!2FlwYVQa!2FTgNDvLu47pgyEIywplglmy2D0zEJZGVAZVZjJFnmn27!2BETgsTnOCWFI0BmSYVSAUi6156pEkX5g7qZEJZ7AjdHeG0NoXheFGLnsUSXRvQdNZhqFSCFCZP2huRgRis6GxUjOS5dSsCjMBpYgyLEDfV7KJk8NKIQJk2GTDYOSBjTqaKDOByqV!2BFrd7DEV!2FSqZNXOiK2jhMAoDBDGdxtD1YOAJCmsGDz1yFq3Wgu68V7RGRIkFbCzEAiJQFQJcbEKB2tJNoUgwFk1l2YfHQCoyDOEiyd!2FJa7TLS0CmDTPNXkzZ7cc0h3JfRDtfKVui8Xrs1aU1INWLeX83wjwOKfyMY5ItFiXusJRTzttjHOTB6DagkfckDAbQ2otW!2BGXfhQGBF1VWlWdnZ3dbTdBFbgfKGlQgizcu9I57jOq!2FIDZ6myYFLRBRkAavXwWBpAmZe8yiQVg!2Bim7!2FASdGw4RCwU4oBxI953CdAffyyWiXkSC5YRDvFiORf8iGKEmYKAYgajJcF!2B3I9CalBxmVUWORKy6uMzC2DgVJKoHHACmUCapbqmHQs0fJuRgaVMfmDWlDMYqwMw5sTKRiByjaBnCQaDplMmUYdtbvfAdF158jjGJKzjV!2BhvcgDCcu70wGFUOYDHOj3yhSI1RJEeELnyGA!2Fi7kinChIVT3avgA!3D!3D

3 Likes

Your original rotation that uses SPY, QQQ, TLT and PCRIX has now switched out of QQQ and into PCRIX.

This rotation strategy is up almost 9% since entering QQQ on Jan. 11. The backtest shows a 16% CAGR since 2004, with a max drawdown of 25%. QQQ itself is up 14% YTD after a terrible year last year.

So the strategy now says to sell QQQ and buy PCRIX which is the PIMCO Commodity Real Return Strategy Fund. I have two questions about PCRIX:

  1. It has the word “Commodity” in the name, but the top holdings appear to be regular US T Bills?
  2. It has a dividend yield of 43%? Is that real, and expected to be paid out this year?
3 Likes

This is from their website iand is all I know about it:

The fund seeks to capture the performance potential of commodities through derivative exposure to the broad-based Bloomberg Commodity Index. The fund collateralizes this exposure with a portfolio of TIPS that is designed to serve as an additional source of return and inflation hedge.

Commodities have had a positive correlation with inflation, typically appreciating when inflation spikes… The management team looks to add value by avoiding the inefficiencies of passive commodity indexing, seeking out additional excess return opportunities within commodity markets and actively managing the collateral portfolio… The futures exposures of the benchmark are collateralized by US T-bills. It is not possible to invest directly in an unmanaged index.

DIVIDEND FREQUENCY Quarterly
|Distribution Yield (At Nav) 1 as of 12/31/2022| The quarterly distribution yields are calculated by annualizing actual dividends distributed for the quarterly period ended on the most recent quarterly distribution date and dividing by the net asset value for the same date.
36.49%|
| — | — |
|30-Day SEC Yield‡,2|
|Subsidized as of 01/31/2023| we believe it is attributable to a rise in the inflation rate, and might not be repeated. The SEC yield is an annualized yield based on the most recent 30 day period
1.47%
|Unsubsidized2 as of 01/31/202
|1.43%
|Latest Dividend Distribution ($ Share)3 as of 12/27/2022|
$0.45645
Dividend Distribution (YTD) 4 as of 12/27/2022
$2.26089

3 Likes

Using the original PCRIX bactests from 20030730 with a CAGR of 11.7 SAWR of 8.1% and a low annual turnover of 2
http://gtr1.net/2013/?!!QlpoMTFBWSZTWXwuaNsAAFSfgAIGevAIJH5gPOPeACAAchqEaMgGIGjQ0ZqDRTaR6o9E0ZlNHo0aGikeSifClbeHM9yJmkdP7VrIjh5ejmPqT4dfBkIQAspvkABZa78xUNGggoAGzYNS6Wv2c8hVqczE152eQ5CCoMItS2HFyDzsmpIByHsSqK!2Fwyq!2FxdyRThQkHwuaNsA!3D!3D
Not bad for such a simple approach.
RAMc

3 Likes

Yes, agreed. And the strategy has rotated back to buying QQQ as of yesterday. It’s now up 5.7% YTD compared to 4.4% for the S&P 500.

4 Likes

I got a little lost in the logic/rationale for that screen - help a busy brain out?

  • bottom 2 of (5D SMA / 200D total return) focuses on… what? lower price in relation to 10m return, as a measure of upside potential?
  • of those 2, take the one with the higher 2 month (40d) return (better momentum) as of 10 days ago?

step1: [[Simple Moving Avg of closing g-prices over 5 days; lag=1 days]/[Total Return Multiplier over 200 days; lag=1 days]] Bottom 2
step2: [Total Return Multiplier over 40 days; lag=10 days] Top 1;

For most screens very recent weakness is good because it typically reverses, so it is just a way of getting a screen doing well with recent weakness.
Likewise the next step eliminates the recent weakness period and picks by a medium momentum period after excluding the recent period.
There are many ways of doing the above; I don’t know which is best and didn’t try every permutation. For most of my screens having a weak prior week is a good thing. So you can do it with rsi2 etc.

3 Likes

Yes, this was the same theory made popular by Jon Markman back in the late 90’s, which he called Flareout Growth, and which gave rise to the FOG screens we have today. The FOG formula overweights long term (> 6 mo) momentum, and penalizes short term (< 3 mo) momentum.

6 Likes

Yes, FOG was good in the late 90’s and very early 20’s. Then it failed big time.

Back when I still had a subscription to Portfolio123 I ran a backtest of FOG. Overall it failed in the backtests. Only time it worked good was in the late 90’s tech bull market.

4 Likes

Is anyone generating pics for these? I want to start to follow them. With the GTR down I was looking for someone who might be generating these.

Thanks,

Dusty

1 Like

gtr is down.
I don’t know people posting picks.
However there are so few step you could just generate the pick manually from yahoo or stockfetcher or some other site.

1 Like

Thank you, I will look at that option. I appreciate the reply.

Jerry

So, it appears some picks are being posted here:
www.shrewdm.com

Not sure it is what you are looking for, but also a good place to ask questions.
A lot of this community has moved to that board.

Best,
John

1 Like

Yes I’ve posted there too. Mostly not posting anywhere. But I’m not keeping track of how people are dividing their attention and not thrilled they are.

You can try this one:
step0: [S&P 500 Member; lag=1 days] != null
step1: [Actual closing Price; share_lag=1 days; quote_lag=1 days] Bottom 10
step2: [SI Qtrly Surprise-Prior Qtr-Std. Dev.; lag=1 days] Bottom 5
step3: [Average dollar-volume over 63 days; lag=1 days] Top 4
step4: [1*[Total Return Multiplier over 60 days; lag=5 days] + 1*[Average dollar-volume over 5 days; lag=1 days]] Top 2
step5: [SI Return on Equity Y1; lag=1 days] Bottom 1; Cash When Fewer
Holding period = 21 mkt days
https://gtr1.net/2013/?h21::sp500.a:nenull:aprc(1)bn10:sq2sd.s:bn5:adv(1,63)tn4:linear(1,tr(5,60),1,adv(1,5))tn2:roey1.s:bn1

45% CAGR 20081208 to 20230310
S&P 500 Index Chart, Components, Prices - Barchart.com has ten lowest price of S&P 500 stocks

3 Likes

1 stock monthly from S&P 500 stocks 12/8/2008 to 3/10/2023
cagr 45
gsd 59
ldd 26
mdd -58
sharpe .92
beta 1.46
step0: [S&P 500 Member; lag=1 days] != null
step1: [Actual closing Price; share_lag=1 days; quote_lag=1 days] Bottom 10
step2: [SI Qtrly Surprise-Prior Qtr-Std. Dev.; lag=1 days] Bottom 5
step3: [Average dollar-volume over 63 days; lag=1 days] Top 4
step4: [1*[Total Return Multiplier over 60 days; lag=5 days] + 1*[Average dollar-volume over 5 days; lag=1 days]] Top 2
step5: [SI Return on Equity Y1; lag=1 days] Bottom 1; Cash When Fewer
https://gtr1.net/2013/?sp500.a:nenull:aprc(1)bn10:sq2sd.s:bn5:adv(1,63)tn4:linear(1,tr(5,60),1,adv(1,5))tn2:roey1.s:bn1

3 Likes

Interesting.
Hard to interpret the thinking behind the screen criterion, but interesting.
I think step 4 can be replaced with simply [Average dollar-volume over 5 days; lag=1 days] without changing the results. I suspect you’re summing two numbers that have vastly different magnitudes, e.g. 1.2 (tot rtn) + 500,000,000 (avg dol vol), so the smaller number is immaterial.

Unfortunately, w/ GTR down we can’t see what the pick is :frowning:

1 Like