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Industry Rotation Strategy - iShares ETF Dow Jones Stocks

by Tom Huggens, 3070 days ago
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This trading system ranks the 10-bar rate of return of iShares ETFs that represent the top US industries then buys the ETF that have the lowest return. When the ranking system returns another ETF then the strategy sells the previously purchased exchanged traded fund and buys the first ranked one.

The iShares ETFs that was used in this trading system are:
IYM: Basic Materials Industry
IYK: Consumer Goods
IYE: Consumer Services
IYE: Energy
IYF: Financial
IYH: Health Care
IYJ: Industrials
IYW: Technology
IYZ: Telecommunications
IDU: Utilities

The above ETFs track stocks that belong to the corresponding Down Jones industry index.

You can of course select other ETFs, stocks and ranking formula and create any kind of rotation-based strategy (Example: Sector rotation, Country rotation...).

The ETF industry rotation trading system generated an annual return of 17.6%, a Sharpe ratio of 0.5 and a maximum drawdown of -39.62%. The strategy returned positive gains in all years from 2001 to 2011. The backtest shows also that 61.98% of the months were profitable.

During the same simulation period, IYY ETF, which is the ETF that tracks the Dow Jones U.S. Index, had a total return of about 25%, compared to the 405.8% return of the Industry Rotation strategy.


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Type: Trading System

Object ID: 990


Country:
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Market: ETF Market

Style:
Technical Analysis

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