Price Action Lab Blog

Premium Market Analysis

Trading Strategies

ETF4RW Strategy Up 9.3% Year-to-Date

The strategy makes use of a proprietary algo for ETF rotation in the weekly timeframe. The strategy is up 9.3% year-to-date after going long TLT in March and GLD in April of this year.

The strategy went long TLT on the open of week ending March 6, 2020, and long GLD on open of week ending April, 3, 2020. The two positions in TLT and GLD were allocated about 50% of equity and open position gains as of Friday, July 24, 2020,  are 9.9% and 17.3%, respectively, as shown in the backtest below.

CAGR since 2007 is 9.2% while maximum drawdown is -13.2%. Below is how the strategy compares to SPY total return buy and hold.

ETF4RW – Starting date 01/03/2007 (performance updated to 07/24/2020)

Parameter ETF4RW SPY Buy and hold
CAGR +9.2% +8.4%
Max. DD -13.2% -54.6%
Sharpe 0.86 0.44
MAR 0.70 0.15

ETF4RW is one of the six strategies included in our Weekly Market Signals report.

If you have any questions or comments, happy to connect on Twitter: @priceactionlab

Strategy performance results are hypothetical. Please read the Disclaimer and Terms and Conditions.

Comments are Closed

Theme by Anders Norén