This long-short factor ETF rotation strategy has zero beta and could provide excellent diversification potential.
The strategy rules are available as part of the strategy bundle. Contact us for details.
Timeframe: Weekly (adjusted data)
Markets: Factor ETFs
Strategy type: Long-short momentum rotation
Maximum positions: 4
Position size: equity/4
All trades are executed at the open of the next bar
Backtest range: 01/2/2015-06/05/2024
Leverage: 2x
The strategy is not optimized for the highest annualized return.
Equity curve
Performance Summary
| STRATEGY | |
| CAGR | 5.6% |
| MDD | -17.9% |
| VOLATILITY | 9.5% |
| SHARPE | 0.58 |
| TRADES | 249 |
| LONG TRADES | 129 |
| SHORT TRADES | 120 |
| AVERAGE TRADE | 0.40% |
| PROFIT FACTOR | 1.24 |
| WIN RATE | 47% |
| AVG. WEEKLY BARS IN TRADE | 8.9 |
| BETA | 0 |
The strategy’s CAGR is 5.6%. The maximum drawdown of the strategy is 17.9%. The Sharpe of the strategy is 0.58. The volatility of the strategy is 9.5%. The average holding period is 8.9 weeks. The win rate is 47%. The beta of the strategy is 0.
Strategy rules
The strategy rules are available as part of the strategy bundle. Contact us for details.
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Disclaimer: No part of the analysis in this blog constitutes a trade recommendation. The past performance of any trading system or methodology is not necessarily indicative of future results. Read the full disclaimer here.
Charting and backtesting program: Amibroker. Data provider: Norgate Data
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