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ETF Rotation Strategy from LazyTrader

Hi Everyone,

I have tried to implement a strategy I found on www.the-lazy-trader.com (http://www.the-lazy-trader.com/2015/01/etf-rotation-systems-to-beat-market-spy-efa-icf-ief-gld.html)

It consists of rotating between 5 ETFs:
STRATEGY UNIVERSE
1. EFA: iShares MSCI EAFE (International Equity)
2. GLD: SPDR Gold Trust
3. ICF: iShares Cohen & Steers Realty REIT (Real Estate)
4. IEF: iShares Barclays 7 -10 Yr. Treasury (Medium Term Bonds)
5. SPY: SPDR S & P 500 Index (US Equity)

The ranking happens as follows:

  1. Make three rankings with.
    3-month average returns (40%)
    20-day average return (30%)
    20-day average volatility (30%)

  2. Build final rank with weights indicated in brackets above

  3. Buy top two ETFs

The ranking and corresponding rebalancing happens at the end of each month.

As results I get lower sharpe ratio, higher max drawdown and higher volatility.

Did I implement the strategy correctly?

Clone Algorithm
96
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Backtest from to with initial capital
Total Returns
--
Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
--
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 59f4a7ee2f3b0344eec3a603
There was a runtime error.
5 responses

Whatever happens after 2014 is of absolutely no interest to anyone right :-)?

This might or might not be a shameless plug for the lazy website, i don't know, i haven't clicked the link, i am lazy too;-)

I stand corrected the user is legit. 507 backtests...

Hi Lionel,
I have a "standard test interval" from 1 Sept 2009 to 1 Sept 2017 and just ran it on that. Over that interval, it looks only marginally different from SPY most of the time, and then inferior to SPY since Jan 2016. I guess that means a modern VERY LAZY trader should just B&H the SPY. ;-))
Cheers, best wishes, Tony

Sebastian, there is a Pandas tutorial in your Notebooks that will teach you about .ix. It's a way of indexing into your dataframe.

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Thanks to everyone for your comments. I actually thought .ix comprises iloc and loc? With the first one you can access the index and columns by their names while with the later you can access them by their (index) number? With ix you can do both.

And this strategy is not from me (neither the website), I just wanted to practice implementing some strategies in the quantopian framework.