Back in the 90s, I susbscribed to a mutual fund database and analysis program called "Investor's FastTrack". That was before and at the very beginning of the advent of ETFs. It was my first exposure to ranking and switching algorithms, and to the research on industry/sector trend and relative strength persistence. Some of those algorithms derived their lookback parameters from backtesting, and these rolling lookback parameters were applied indefinitely. I guess that is what I was referring to as "pre-determined". Another approach was to choose and update the lookback(s) by technical/chart observation. Sounds like you may be using a hybrid of both approaches. By the time I had wrapped my head around the concept and decided that I preferred it to the interpretation of chart constellations, oscillators, trendlines, etc., the dot com party was over and I had missed a larger part of it than I should have by moving in and out of the market WAY too often. I was fortunate to have gone through this phase while the bull dragged me and my naivety along. So, we're definitely using the same general playbook as I see it. I was just curious how you arrived at your method. And by the way, my universe of potential trading options is a lot larger now that I am retired and have more time to indulge my tendency to "piddle". The verdict is still out on whether the extra effort will be compensated.
%% YES, sometimes, sqqq..... like last thur, Friday. But that ,as you may have noticed, was a bull market correction /not a bear trend. I do more tech long etfs than short/inverse. NOT an etf tip; but clix=long online/short stores held up well lately. . Summer rally tends to be weaker than 1st quarter/last quarter...…………………………………………………………………………………………. Most tech etfs have done well this year/past10 years
The way of rating ETFs based on their trend and momentum is based on a method as described in the book "Systematic Trading" by Robert Carver (plus some additional explanations on his blog). The method is in the book applied to futures. The resulting rating for an instrument is in his book used to determine the position size (higher rating results in larger position size). In my industry sector ETF system am I using these ratings to rank the ETFs. If an ETF enters the top 5 the system opens a position. If an ETF drops out of the top 5 is its position closed. The position size is of a fixed value (not adjusted based on its rank). The ratings and ranking are recalculated and reviewed daily.
WOW I googled ETF momentum ranking and the link took me to this post. The website name looks familiar and guess what my early 2000 sign in worked. Nice to see a financial website that didn't go. Remember the go-go 1990's for great financial websites? Since early 2000, I too have traded ETFs more so than stocks. I had used a website that created a matrix for relative strength for ETFs to find momentum. It closed a while back. Then I found a great resource in IBD's forum with a person who created an Excel spreadsheet using the same principles as the defunct website mentioned, but he took it to another level. Sadly, that went to the wayside also. Curious what are you all using for software or websites to track, screen and possibly backtest ETF momentum strategies? There are a few out there that I know of, but they tend to seem to come up a bit short.
%% barchart.com has some good ETFs screens + metals prices; months, years weeks + days ..............................................................
What are you using now? I'm a swing trader, mainly individual stocks, but screening, tracking, etc should be similar.
thanks murray, yeah barchart is great, but it would be great if there was an option for customization of fields. also, do you find these websites keep up with removing etfs not trading anymore or new ones that have come out? i have to update my etf list every six months because of this issue?
hi deaddog, like what murray is stating i am mostly using websites like barchart as well as my broker's software. i wonder if sigue! will chime in or others.
LOL! I have very rarely understood anything Murray has said.%% I use Stockcharts.com to scan for set-ups. Hardly ever look at fundamentalsn as they don't seem to be of much help for short term trading.