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Tactical Asset Allocation Strategy based on RSI

by QuantShare, 1942 days ago
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This is a simple tactical asset allocation strategy (TAA strategy) based just on the relative strength indicator.
The strategy invests in 10 ETFs:
EDV (Vanguard Extended Duration ETF)
EEM (iShares MSCI Emerging Markets Index (ETF))
EPP (iShares MSCI Pacific ex-Japan Index (ETF))
FEZ (SPDR EURO STOXX 50 ETF)
GLD (SPDR Gold Trust (ETF))
IEV (iShares S+P Europe 350 Index (ETF))
MDY (SPDR S+P MidCap 400 ETF)
SHY (iShares Barclays 1-3 Year Treasury Bnd Fd)
SPY (SPDR S+P 500 ETF)
TLT (iShares Barclays 20+ Yr Treas.Bond (ETF))

The strategy is based on weekly data and invests in the top 4 ETFs based on two ranking factors, both using the RSI indicator with different lookback period.

The trading system backtest was done for the period that spans from 2007 to 2015 and shows an annual return of 14.69%, a drawdown of -9.56 and a Sharpe ratio of 1.213.

More stats:
Sortino Ratio: 1.74
Profit Factor: 1.36
Standard Deviation: 12.11%
Average Monthly Return: 1.19%
Percent Positive Months: 61.62%
Average Bars Held: 1 (one week)


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Type: Trading System

Object ID: 1561


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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.