Risk On /Risk Off Strategy with ETF
Is possible to be determine when to be on the right side of the market , most of the time ? well yes, using simple market timing strategies such as the SPY against it's 200 ma, would help you avoid all the bear market in the last 20 + years . But is there another way to do this ?
Here's a strategy i'm currently forward testing in my IB account. By calculating the ratio of two ETFs ( one tracking the market , the other cash or bonds) , and plotting it against it's 100 moving average , produces some interesting results.
Risk "On" instrument : SPY ( SP 500)
Risk "Off" Instrument : TLT ( 20 Year Treasury)
based on the results , the strategy doesn't always beat the S&P 500 , in fact , it only beat the market 3 years out of ten and matched the same return in 2014. More importantly, it performed very well during bear markets , look at the return for 2008, 2011.
The backtest looks good , but i only rely on forward/ live testing results. I will try to update this post with my results.
Cheers
Algo
P.S , the strategy has been in TLT ( risk off) since July 2014.
Here's a strategy i'm currently forward testing in my IB account. By calculating the ratio of two ETFs ( one tracking the market , the other cash or bonds) , and plotting it against it's 100 moving average , produces some interesting results.
Risk "On" instrument : SPY ( SP 500)
Risk "Off" Instrument : TLT ( 20 Year Treasury)
based on the results , the strategy doesn't always beat the S&P 500 , in fact , it only beat the market 3 years out of ten and matched the same return in 2014. More importantly, it performed very well during bear markets , look at the return for 2008, 2011.
The backtest looks good , but i only rely on forward/ live testing results. I will try to update this post with my results.
Cheers
Algo
P.S , the strategy has been in TLT ( risk off) since July 2014.
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Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.