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V1.1:
- Added optimization items (heatmaps for parameter stability on google drive tbd)
- Risk free rate to 3%, comissions to $0.05 per trade
- extend backtest from Jan 03 to May 2014
- included synthetic synSSO and synEDV ticker (as per Marc Cohn to extend with MDY, TLT respectively), need to import from 2) Strategies - Playground\003_V1.00_Grossmann - Global market rotation_AH\Synthetic SSO EDV prices (Clonex and me working on composite ticker to extend ticker automatically, anyone can support coding?
Result w default parameter: CAGR 44.84%, Sharpe 1.79, MaxDD 16%, Winners 67%
V1.0:
This trading system tries to reproduce the Global Market Rotation Strategy (GMR) developed by Frank Grossmann (http://www.logical-invest.com/). The strategy switches, on a monthly basis, between 6 different ETFs:
EEM (iShares MSCI Emerging Markets Indx (ETF))
EPP (iShares MSCI Pacific ex-Japan Idx (ETF))
IEV (iShares S+P Europe 350 Index (ETF))
ILF (iShares S+P Latin America 40 Index (ETF))
MDY (SPDR S+P MidCap 400 ETF)
EDV (Vanguard Extended Duration ETF)
During market corrections, the strategy invests in SHY (iShares Barclays 1-3 Year Treasry Bnd Fd)
The strategy was backtested for the 2003-2013 period and it has an annual return of 40.48%, a maximum drawdown of -15.16% and a Sharpe ratio of 1.58 (63.64% of trades are profitable).
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
