Timing, Volatility and Correlation ETF's

Was there any ETF screens that used all 3,Timing, Volatility and Correlation of ETF’s on this message board, and what are opinions of this type of screen.

Was there any ETF screens that used all 3,Timing, Volatility and Correlation of ETF’s on this message board?

Hard to answer that without the specific criteria.
Correlation is included in determining most fixed screen selections, but a variable ETF selection would be difficult.

…and what are opinions of this type of screen?

undecided

GD_

There were some about a year ago that used Timing and Momentum. Volatility could be added as a criteria.

Screen                         CAGR  GSD  Sharpe  SAWR  MDD  AT    From       To
TAA_3xFama_20200919_rgearyiii   25   56    0.73    13   -76  3   19981222  20220107
TAA_20200921_musselmant         15   18    0.84    11   -33  9   19981222  20220107
SP1500EqualWeight               12   24    0.56     8   -60  0   19981222  20220107
TAA_1xFama_20200919_rgearyiii   11   16    0.68     9   -36  2   19981222  20220107
SectorRotation_20170404_tpoto   10   13    0.74     8   -34  3   19981222  20220107
 
TAA_3xFama_20200919_rgearyiii   52   68    1.02    33   -34  3   20210107  20220107
TAA_20200921_musselmant         24   16    1.58    20   -12  10  20210107  20220107
SP1500EqualWeight               23   12    1.89    20   -9   0   20210107  20220107
SectorRotation_20170404_tpoto   22   11    1.96    19   -8   4   20210107  20220107
TAA_1xFama_20200919_rgearyiii   20   19    1.09    16   -13  3   20210107  20220107

https://gtr1.net/2013/?~SectorRotation_20170404_tpoto:h21::g…
https://gtr1.net/2013/?~TAA_1xFama_20200919_rgearyiii:s19261…
https://gtr1.net/2013/?~TAA_20200921_musselmant:h21::gprc%28…
https://gtr1.net/2013/?~TAA_3xFama_20200919_rgearyiii:s19261…
https://gtr1.net/2013/?~SP1500EqualWeight:h63f0.4::pref%28sp…

6 Likes

There were some about a year ago that used Timing and Momentum.

I will also share one that used timing and Mo.

It is a bit outside the norm and has a limited Start date 20101208.
Includes six US Total Market Equal-Weighted ETF’s Top 2 HTD 3.
Held at least 63d, update weekly.

http://gtr1.net/2013/?~QAR-3WAY:s20101208h5n13r13::dspo%281%…

GD_

2 Likes

Thanks to your replies.

etfreplay.com on their website blog, has an example of using all 3.

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Here is a modified version of Generalized Protective Momentum which uses momentum and correlation to move between risk and safe depending on the number of positive sectors.
From 20071015 just before the big 2008 drawdown till present results:


	GPMF	S&P
CAGR	9.86	10.34
SAWR	8.18	7.15
GSD	9.08	18.7
MDD	-15.1	-54.4
UI	2.7	13.2
AT	3.1 	0

http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuz…

I’ve moved most of my portfolio into a blend of 3 different TAA strategies based on different rational (momentum, risk, correlation) each of which backtests well but merged together give better overall results. The Generalized Protective Momentum is one of the 3 blends.

RAM

13 Likes

http://gtr1.net/2013/?~Protective%20Asset%20Allocation%20Fuz…

I’ve moved most of my portfolio into a blend of 3 different TAA strategies based on different rational (momentum, risk, correlation) each of which backtests well but merged together give better overall results. The Generalized Protective Momentum is one of the 3 blends.

RAM
-------------------------------------------------------------------------------------------------------Thanks
Where can I learn the backtester?

2 Likes

RAM: Where can I learn the backtester?

It’s not a quick learn because Robbie has put so much capability and flexibility into it but:

Download WaveDoc’s GTR1 for Dummies:
GTR1 for Dummies v1.0.docx (dropbox.com)
An excellent guide to GTR1, download and first skim over to get a basic understanding. You will use this reference to come back to many times in the future.

Download and install Lohill’s GTR1 Helper program:
PC Version - https://www.dropbox.com/s/0od442tu8lmwoy5/GTR1%20Helper%204
Mac Version - https://www.dropbox.com/s/wd55uj0k429vfhy/GTR1%20Helper%204
This isn’t absolutely necessary but it gives you a lot of tools to quickly run many existing screens, modify, experiment with backtest and save the results in a database. Also save new screens you come up with.

Start with some simple program examples in GTR1 for Dummies, you will get the basics pretty quickly but I don’t know how long it takes to be an expert because I’m not close to that level yet.

RAMc (FLARAM)

12 Likes