My apologies for not writing it clearly. I'm considering just listing the one trade I'm holding -- which is XLB. I'm not even bothering with the whipsaws, and probably shouldn't trouble mentioning them!
I'd be personally interested in seeing a daily ranked listing of all XL* components with a number attached to each showing a relative sector number (e.g. on a relative scale of -100 to +100). It can be later used to plot/compare the sector curves.
I've done exhaustive backtesting on these, and while there is very little difference between holding the first sector or the first two, it's scrambled beyond that point. The 4th position underperforms the 9th, for instance. There really wouldn't be any benefit.
As for the actual performance curves, I've plotted holding 1 sector, 2 sectors, through all 9 sectors, and measured the curves. There's nothing useful past the first two, no matter how I've turned it.
Exactly. The idea didn't work, which clued me into the problem that on one end the sectors reflect value and on the other they represent growth. Underperformance is somewhere in the middle.
I think you meant XLE (in 2nd place), not XLB (which is 1st place).
ReplyDeleteNo, XLB was in first and XLK at the close. XLE and XLK are whipsawing between second and third place.
ReplyDeleteSorry Tim, I read this incorrectly as: "It is now XLB and (barely) XLK... competing on the 2nd place". Pardon :)
ReplyDeleteMy apologies for not writing it clearly. I'm considering just listing the one trade I'm holding -- which is XLB. I'm not even bothering with the whipsaws, and probably shouldn't trouble mentioning them!
ReplyDeleteI'd be personally interested in seeing a daily ranked listing of all XL* components with a number attached to each showing a relative sector number (e.g. on a relative scale of -100 to +100). It can be later used to plot/compare the sector curves.
ReplyDeleteI've done exhaustive backtesting on these, and while there is very little difference between holding the first sector or the first two, it's scrambled beyond that point. The 4th position underperforms the 9th, for instance. There really wouldn't be any benefit.
ReplyDeleteAs for the actual performance curves, I've plotted holding 1 sector, 2 sectors, through all 9 sectors, and measured the curves. There's nothing useful past the first two, no matter how I've turned it.
I recall earlier commentary to that effect, tho there was something about a possible market neutral strategy with shorting the last position(s).
ReplyDeleteExactly. The idea didn't work, which clued me into the problem that on one end the sectors reflect value and on the other they represent growth. Underperformance is somewhere in the middle.
ReplyDelete