Global Market Rotation Strategy V1.4

V1.4:
-Added 5 day smoother to ROC calculation to avoid date picking
-Cleaned up and simplified coding a bit
-Top2/3 approach does not add value, decreases performance drastically
-Changed everything to daily period, basically same performance as monthly period
-Added short term negative volatility ranking as additional option, but not stable over parameters
-Tried several options for %u201Ctrading equity line%u201D and %u201Cvolatility based leverage%u201D, but none really adds value at Sharpe or CAGR level. Only benefit is to free up some cash as exposure decreases, so might be useful if we manage capital across strategies. Seems that basic strategy with Correlation based cash exit is already optimized.
-Full backtest and updated heatmaps, quite stable over parameters without advanced stuff at AMM level.


V1.2:
- On daily timeframe now the volatility, max dd and sharpe looks much more real, maxDD needs work
- Performance little below of previous version, guess this comes from missing cash protection
- Maybe someone finds a way to get ranking and correlation running also on daily mode, e.g. without timeframe compression

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 Mar 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).

Technical Analysis

• Trading System based on the Previous Week SPY Return
• Weekly Entry
• Number of Stocks Making a new 52-Week High - Market Indicator
• SafeZone Stop
• NYSE Index Closes
• Relative Momentum Index
• Coppock - VLT Momentum Indicator
• Beta
• Formula & Symbol Switcher
• Commitments of Traders
• More trading objects...

Fundamental Analysis

• Dividend per share, Dividend Yield and Historical Dividend Growth
• Two Consecutive and Positive Earnings Surprises
• Analyst Previous Rating
• Announced Stock Earnings
• Plot Economic Indicators on a Chart
• Market cap, ROE, ROA and Forward PE for U.S. Stocks - Fundamental Data from Yahoo
• Next Split Ex-Date In Days
• Consumer Credit Historical Data
• Earnings Surprise Strategy
• Ratio of Stocks Outperforming/Underperforming Their Industry
• More trading objects...