What might seem like a large price swing for IVV or TLT might

Developing A Rotation Strategy https://www.moncleronlineoutlet.com moncler outlet Using Highly Diversified ETFs

moncler outlet canada I have tested such systems on my blog and recently published an article providing analysis of these uk moncler outlet kinds moncler outlet of trading systems. The ETFs in the discount moncler jackets Vector Grader strategy, however, were far more diverse than the systems I had tested previously. moncler outlet canada

moncler coats sale Successful rotation moncler usa strategies on highly diverse ETF groups are difficult to devise because of the differences in the volatilities of the underlying ETFs. However, by applying a volatility compensation factor to these ETFs, I was able to develop a rotation strategy moncler womens jackets that backtested with successful results: moncler coats sale

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The Vector Grader website proposes trading the following ETFs in a monthly rotation strategy:

IWM: iShares Russell 2000 ETF (small cap US equities)

womens moncler jackets IVV: iShares S 500 large cap moncler outlet sale US moncler sale outlet equities) womens moncler jackets

moncler jacket outlet EFA: iShares MSCI EAFE Index (international equities) moncler jacket outlet

moncler outlet ICF: iShares moncler outlet woodbury Cohen Steers Realty Majors (real estate) moncler outlet

DBC: PowerShares DB Commodity (commodities)

moncler coats outlet VWO: Vanguard FTSE Emerging Markets cheap moncler jackets (emerging markets) moncler coats outlet

Official Moncler Outlet IAU: iShares Gold Trust (gold) Official Moncler Outlet

TLT: moncler online store iShares 20+ Treasury (long US bonds)

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discount moncler jackets For the testing described in moncler outlet online this article, the dividend adjusted price data cheap moncler sale for all moncler sale online of these ETFs was downloaded via Yahoo! Finance more info into an Excel spreadsheet. For ease, monthly prices were used. This value varied widely as shown in the table below: discount moncler jackets

A rotation strategy for generating buy signals among these ETFs would have trouble accounting for the wide range of volatilities. What might seem like a large price swing for IVV or TLT might not be unusual moncler outlet store for ICF or VWO. In other words, it is difficult to create a set moncler outlet prices of rules that cheap moncler coats mens applies to all the ETFs in the basket for generating reliable rotation signals.

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moncler outlets uk The volatilities of the underlying ETFs can moncler uk outlet and should be compensated for. The average annual standard deviation of each ETF (ETF volatility) was calculated. The ETF volatilities were all averaged to give a total volatility. By dividing the total volatility by the ETF volatility of each ETF, a respective “volatility compensation factor” was calculated for each ETF. moncler outlets uk

cheap moncler jackets wholesale For example, the volatility of IWM was determined to cheap moncler jackets womens be 20.88% during the backtest period. The average of all the volatilities of all the ETFs (except SHY) was 21.38%. Thus, IWM’s volatility compensation factor was 21.38 / 20.88 = 1.02. The factor for ICF was 0.71, reflecting its moncler sale higher than average volatility, and the factor for TLT was 1.48, reflecting its lower than average volatility cheap moncler jackets wholesale.