Combo-MF Position Sizing

[Pascal]

Lisa,

In my back tests there where only two models of the nine S&P sub-components that where "good enough" for further investigation. The third "runner up" was XLV.

I am aware of the very low volume on UXI/SIJ. I have traded them in the last months and had no real problems. At times it takes some time to get an order filled or a stop-loss order does not work immediately. Because I trade very light, I did not have problems with the low volume on both instruments.

For reference, I just re-performed the comparison of the nine S&P sub-components. These back tests are performed without stop-loss, without possible optimization (only trade under certain 20DMF states) and using only the single ETFs from July 30, 2007 up until the close of yesterday.

Regards,

PdP

PDP,


Until 2009, the composition of these XLX was much different than what we have since 2010.
Hence, the XLX model that I ran in back-tests is reliable only since 2010.
There is no point in going back down to 2007.


Pascal

[pdp-brugge]

Pascal,

I know that you have back tested the XLX models and found that they where only "reliable" from 2010.
I just ran my back tests again, now starting from January 4, 2010 as first period.
The results that I get are inline with my previous results: only XLB and XLI are looking promising.
Am I overlooking something?

PdP