I want to backtest sector rotation ETF Strategy as described here http://myetfhedgefund.com/strategies/sector-switch
IDU (U.S. Utilities)
IYC (U.S. Consumer Services)
IYE (U.S. Energy Sector)
IYF (U.S. Financials)
IYH (U.S. Healthcare Sector)
IYJ (U.S. Industrial Sector)
IYK (U.S. Consumer Goods)
IYM (U.S. Basic Materials Sector)
IYW (U.S. Technology)
IYZ (U.S. Telecommunications)
- At the end of each month, RANK the 10 ETFs based on their 6-month returns.
- At the close of the 1st trading day of each month, BUY the Top 2 ETFs, except if they closed the previous month below their 6-month moving average. In such case, buy TLT (Long-Term Treasury Bonds) instead.
I donot know how to test sector rotation strategy. Do you have any idea?