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Different market timing stategy
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Topic: Different market timing stategy (Read 14337 times)
burd
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Posts: 23
Different market timing stategy
«
on:
July 16, 2014, 12:12:31 AM »
Hi SSP,
Is it possible to backtest your Momentum portfolios to hold current positions when the MTI turns down but do not buy any new recommendation's? Basically the portfolio will only be rebalanced on Mondays and not buy until the MTI is up on that Monday. When the MTI is up then all the new rec's can be bought. This may improve performance and reduce drawdown by reducing trading costs, slippage costs, and by not buying in a down trending market.
I have been backtesting myself with excel but it is quite time consuming. Also have been testing with a buy rule sma(5)(bench)>=sma(35)(bench) with good results.
Thanks
Burd
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Last Edit: July 16, 2014, 12:35:02 AM by burd
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