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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: of 254175  
Subject: ETF Backtest portfolio MA Date: 10/4/2012 12:00 PM
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I am looking to backtest 5-10 ETFs using a simple MA. Is there anywhere free I can do that?

ETFReplay only seems to do 1 ETF unless you subscribe. That also only has around 10 years of data. I would rely prefer being able to backtest much further (I will be using pretty broad indexes if necessary since ETFs don't go back that far).

I am really looking for combinations of small cap, mid cap, sp500, reits, treasuries, commodities, natural resources, emerging, international.
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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239779 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/4/2012 1:21 PM
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Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239780 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/4/2012 1:42 PM
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Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.

Go to the screener

http://www.etfscreen.com/screener.php

This will allow you to backtest with the existing predifined groups.

If you want to include only specific ETF's you must register(free) and log in.

gdm

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Author: BigBunkler Big funky green star, 20000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239781 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/4/2012 1:54 PM
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Any idea how to do it? This site seems geared to switch amongst a number of possible candidates (ranking them) and I don't see how to make it just buy if it passes the 200 day MA and sell if it drop below it.
=== === ===
You need to familiarize yourself with that excellent site.
In this little example, trading weekly, you buy GLD whenever it is ABOVE the 200-da SMA:

http://www.etfscreen.com/screener.php?sbt=2a894

Not bad on the performance, either, for a quick example:
CAGR = 14.7 over the last five years, and a Std Dev of 19.2
--BigBunk

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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239785 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/4/2012 7:15 PM
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Okay. Thanks. I had tried that, but didn't think it was right. I guess you can't have a buy using one indicator and a sell another using this method.

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239787 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/4/2012 7:39 PM
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Okay. Thanks. I had tried that, but didn't think it was right. I guess you can't have a buy using one indicator and a sell another using this method.

No you can't seperate the two in backtest it has some limitations.

In real time I use different Buy & Sell criteria which were both included in backtest as pre-filters. Close but not quite the way it should be done.

gdm

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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239790 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/5/2012 10:42 AM
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Thanks for the help. I don't think the 5 year backtest this site does really tells you very much though.

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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239798 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/5/2012 4:21 PM
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I don't think the 5 year backtest this site does really tells you very much though.

Indeed.
I would never put any money into a scheme based on ETF backtesting;
other than perhaps SPY, there aren't any ETFs with histories plausibly long enough.

Hypothetically speaking, it would be great if someone were to put together
a downloadable file from public sources that included returns for
the "usual suspects" ETFs backfilled to a much earlier date with the most
appropriate index data. Daily is a lot to ask, but some of this isn't
very hard to find on a monthly total return basis.
e.g. I downloaded monthly REITs data from end 1971 from NAREIT, and I
have daily total return data from 1989 for almost any country or region
you could name that I got from S&P simply via a free registration.
Pinnacle offers CRB continuously-linked futures index from 1971
(as well as separate energy, grains, industrials, meats, metals),
though unfortunately that's not freely available.

Anyone feeling up to pulling together a data set of whatever's available for free?

Jim

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Author: klouche Big red star, 1000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239799 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/5/2012 4:46 PM
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Anyone feeling up to pulling together a data set of whatever's available for free?

I'm a fan of Fidelity Sectors which go back to 1987. Use them for backtest and use current similar ETFs for investing.

I just noticed that Robbie's database has FamaFrench industry classification. This may open up another method for testing for ETFs.

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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239800 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/6/2012 5:57 AM
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I'm a fan of Fidelity Sectors which go back to 1987.

I like that data set too, but it's 100 US equities.
I was thinking more along the lines of the sort of data set you'd use for QTAA testing.
I'd like to see monthly high/low/close total return for several different asset classes back to the 60s.
(why highs? "above 10 month SMA" is fine for G7 equities, but "new high lately"
seems much better for spiky/bubbly things like gold and commodities)

Jim

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239805 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/7/2012 10:43 AM
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I was thinking more along the lines of the sort of data set you'd use for QTAA testing.
I'd like to see monthly high/low/close total return for several different asset classes back to the 60s.
(why highs? "above 10 month SMA" is fine for G7 equities, but "new high lately"
seems much better for spiky/bubbly things like gold and commodities)


Fantastic IDEA. Unfortunately not very practical for us humans. To many current ETF's on indices that didn't exist that far back.

If you could accept about 12 years of data this(or something similiar) FIDO_free Balanced qrouping might be worth the effort to backfill with index data.

                                                           ETP   Trade  Inception  Inception  Required
ETP Name Symbol Type Free Date ToDate(Y) Backfill(d)
ISHARES MSCI ACWI INDEX FUND ACWI ETF Yes 26-Mar-08 4.53 -2762
ISHARES MSCI ACWI EX US INDEX FUND ACWX ETF Yes 26-Mar-08 4.53 -2762
ISHARES BARCLAYS U.S. AGGR BOND AGG ETF Yes 22-Sep-03 9.04 -1138
ISHARES DOW JONES SELECT DIVIDEND DVY ETF Yes 3-Nov-03 8.93 -1179
ISHARES MSCI EMERGING MARKETS INDEX EEM ETF Yes 7-Apr-03 9.50 -973
ISHARES MSCI EAFE EFA ETF Yes 14-Aug-01 11.15 -380
ISHARES JPMORGAN USD EMERGING MARKETS BOND FUND EMB ETF Yes 17-Dec-07 4.81 -2663
ISHARES IBOXX $ HIGH YIELD CORPORATE BOND HYG ETF Yes 4-Apr-07 5.51 -2410
ISHARES DOW JONES EPAC SELECT DIVIDEND INDEX FUND IDV ETF Yes 11-Jun-07 5.32 -2477
ISHARES S&P MIDCAP 400 IJH ETF Yes 22-May-00 12.38 62
ISHARES S&P 500 VALUE IVE ETF Yes 22-May-00 12.38 62
ISHARES S&P 500 IVV ETF Yes 15-May-00 12.39 69
ISHARES S&P 500 GROWTH IVW ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 1000 IWB ETF Yes 15-May-00 12.39 69
ISHARES RUSSELL 1000 VALUE IWD ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 1000 GROWTH IWF ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 2000 IWM ETF Yes 22-May-00 12.38 62
ISHARES RUSSELL 2000 VALUE IWN ETF Yes 24-Jul-00 12.20 0
ISHARES RUSSELL 2000 GROWTH IWO ETF Yes 24-Jul-00 12.20 0
ISHARES RUSSELL 3000 IWV ETF Yes 22-May-00 12.38 62
ISHARES DOW JONES US REAL ESTATE IYR ETF Yes 12-Jun-00 12.32 42
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND LQD ETF Yes 22-Jul-02 10.21 -718
FIDELITY NASDAQ COMPOSITE INDEX TRACK ONEQ ETF Yes 25-Sep-03 9.03 -1141
ISHARES MSCI EAFE SMALL CAP INDEX FUND SCZ ETF Yes 10-Dec-07 4.83 -2656
ISHARES BARCLAYS TIPS BOND FUND TIP ETF Yes 4-Dec-03 8.84 -1210


gdm

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239806 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/7/2012 12:44 PM
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If you could accept about 12 years of data this(or something similiar) FIDO_free Balanced qrouping might be worth the effort to backfill with index data.

If you could accept about 9 years of data this(or something similiar) FIDO_free Balanced qrouping(24 of 31) might be good enough without backfilling anything.

                                                              ETP   Trade  Inception  Inception   24-Jul-00   4-Dec-03
ETP Name Symbol Type Free Date ToDate(Y) Backfill(d) Backfill(d)
ISHARES MSCI ACWI INDEX FUND ACWI ETF Yes 26-Mar-08 4.53 -2762 -1552
ISHARES MSCI ACWI EX US INDEX FUND ACWX ETF Yes 26-Mar-08 4.53 -2762 -1552
ISHARES BARCLAYS U.S. AGGRAGATE BOND FUND AGG ETF Yes 22-Sep-03 9.04 -1138 72
ISHARES DOW JONES SELECT DIVIDEND FUND DVY ETF Yes 3-Nov-03 8.93 -1179 31
ISHARES MSCI EMERGING MARKETS INDEX FUND EEM ETF Yes 7-Apr-03 9.50 -973 237
ISHARES MSCI EAFE LARGE CAP INDEX FUND EFA ETF Yes 14-Aug-01 11.15 -380 830
ISHARES JPMORGAN USD EMERGING MARKETS BOND FUND EMB ETF Yes 17-Dec-07 4.81 -2663 -1453
ISHARES IBOXX $ HIGH YIELD CORPORATE BOND FUND HYG ETF Yes 4-Apr-07 5.51 -2410 -1200
ISHARES DOW JONES EPAC SELECT DIVIDEND INDEX FUND IDV ETF Yes 11-Jun-07 5.32 -2477 -1267
ISHARES S&P MIDCAP 400 INDEX FUND IJH ETF Yes 22-May-00 12.38 62 1272
ISHARES S&P MIDCAP 400 VALUE INDEX FUND IJJ ETF Yes 24-Jul-00 12.20 0 1210
ISHARES S&P MIDCAP 400 GROWTH INDEX FUND IJK ETF Yes 24-Jul-00 12.20 0 1210
ISHARES S&P SMALLCAP 600 INDEX FUND IJR ETF Yes 22-May-00 12.38 62 1272
ISHARES S&P SMALLCAP 600 VALUE INDEX FUND IJS ETF Yes 24-Jul-00 12.20 0 1210
ISHARES S&P SMALLCAP 600 GROWTH INDEX FUND IJT ETF Yes 24-Jul-00 12.20 0 1210
ISHARES S&P 500 VALUE INDEX FUND IVE ETF Yes 22-May-00 12.38 62 1272
ISHARES S&P 500 INDEX FUND IVV ETF Yes 15-May-00 12.39 69 1279
ISHARES S&P 500 GROWTH INDEX FUND IVW ETF Yes 22-May-00 12.38 62 1272
ISHARES RUSSELL 1000 INDEX FUND IWB ETF Yes 15-May-00 12.39 69 1279
ISHARES RUSSELL 1000 VALUE INDEX FUND IWD ETF Yes 22-May-00 12.38 62 1272
ISHARES RUSSELL 1000 GROWTH INDEX FUND IWF ETF Yes 22-May-00 12.38 62 1272
ISHARES RUSSELL 2000 INDEX FUND IWM ETF Yes 22-May-00 12.38 62 1272
ISHARES RUSSELL 2000 VALUE INDEX FUND IWN ETF Yes 24-Jul-00 12.20 0 1210
ISHARES RUSSELL 2000 GROWTH INDEX FUND IWO ETF Yes 24-Jul-00 12.20 0 1210
ISHARES RUSSELL 3000 INDEX FUND IWV ETF Yes 22-May-00 12.38 62 1272
ISHARES DOW JONES US REAL ESTATE FUND IYR ETF Yes 12-Jun-00 12.32 42 1252
ISHARES IBOXX $ INVESTMENT GRADE CORPORATE BOND FUND LQD ETF Yes 22-Jul-02 10.21 -718 492
ISHARES S&P NATIONAL MUNICIPAL BOND FUND MUB ETF Yes 7-Sep-07 5.08 -2563 -1353
FIDELITY NASDAQ COMPOSITE INDEX TRACK FUND ONEQ ETF Yes 25-Sep-03 9.03 -1141 69
ISHARES MSCI EAFE SMALL CAP INDEX FUND SCZ ETF Yes 10-Dec-07 4.83 -2656 -1446
ISHARES BARCLAYS TIPS BOND FUND TIP ETF Yes 4-Dec-03 8.84 -1210 0

COUNTIF(NO backfill REQ'D) 17 24



gdm

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Author: mungofitch Big gold star, 5000 posts Top Favorite Fools Top Recommended Fools Feste Award Winner! Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239808 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/7/2012 1:42 PM
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If you could accept about 9 years of data this(or something similiar)...

No thanks!
The era since 2000 has been mostly the golden age of simple momentum investing.
Down, up, down, up, done.

I'm not interested in any strategy based on ETF history alone, and likely won't be for another 20 years.
I have daily data for every equity market from 1989 and haven't built a
system from it because I'm not convinced it's usefully long.

Yet!

Jim

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239809 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/7/2012 3:43 PM
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The era since 2000 has been mostly the golden age of simple momentum investing.
Down, up, down, up, done.


B&H & QTAA (at least not this one) neither one did do very well during this 10yr period.

A ten year QTAA (weekly) test of FIDO_free ETF's (including only the 24 with 10yr of history). Results in a performance loss but reduction of volatility (as expected).

ETF's                         %OFF   
QTAA B&H B&H SMA(45) BUY/SELL
Weekly CAGR % STDEV CAGR % STDEV RATIO

AGG 1.1% 4% 0.8% 3% 2.0
DVY -0.4% 19% 0.6% 5% 2.2
EEM 9.1% 22% 5.9% 17% 2.5
EFA 0.7% 19% 4.0% 12% 2.0
IJH 6.0% 16% 3.1% 9% 2.4
IJJ 4.5% 15% 4.2% 11% 2.1
IJK 7.4% 19% 5.6% 16% 2.8
IJR 5.3% 16% 0.1% 8% 2.2
IJS 4.1% 15% -0.3% 8% 2.1
IJT 6.5% 17% 1.7% 8% 2.6
IVE 1.3% 17% 4.8% 12% 2.0
IVV 2.8% 14% 3.2% 9% 2.0
IVW 4.2% 13% 2.5% 7% 2.3
IWB 3.2% 14% 3.3% 8% 2.3
IWD 1.7% 16% 6.2% 14% 2.1
IWF 4.6% 14% 4.4% 12% 2.3
IWM 4.1% 15% -0.8% 8% 2.0
IWN 2.6% 15% 1.6% 9% 1.9
IWO 5.4% 17% 0.3% 9% 2.3
IWV 3.3% 14% 2.4% 7% 2.2
IYR 1.5% 24% 7.4% 19% 2.1
LQD 1.0% 6% 0.2% 4% 1.4
ONEQ 5.2% 16% 5.8% 16% 2.2
TIP 1.9% 6% 0.9% 3% 2.0

TOTAL 3.6% 2.8%

Range Hi 180%
Lo -55%


gdm

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Author: hmTodd Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239829 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 8:43 AM
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Here is a QTAA type ETF backtest -

http://www.etfscreen.com/screener.php?sbt=2430f

It trades in and out of 5 funds based on 200-day SMA of the respective fund. You might can use it as a model for what you are trying to do.

I will agree that one must be very cautious when drawing any conclusions from an ETF backtest due to the short history and the changing complexion of the funds. Keep the models simple and logical and hopefully you will be able to compare the results to other populations with longer histories.

Disclosure - The ETFScreen site is mine.

Hugh

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239830 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 11:27 AM
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Here is a QTAA type ETF backtest -

DBC IEF VEU VNQ VTI

Thanks for that Hugh.

Interesting that all the noise about how important it is to not trade more often than monthly doesn't seem to hold water this time.

QTAA          CAGR  Standard   Ulcer  Exposure
Deviation Index
Freq(days)

5 5.3 9.7 5.3 63.20%
10 5.5 9.7 5.1 63.20%
21 4.4 9.2 5.7 63.20%
63 3.2 9.4 6.5 63.20%
SPY(21) 1.2 24.5 22.1 100.00%


gdm

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Author: hmTodd Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239831 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 12:22 PM
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>[i]Interesting that all the noise about how important it is to not trade more often than monthly doesn't seem to hold water this time.[/i]

Maybe a long cycle trade like this needs to be better timed? Also I would point out that in this screen we are not really switching between assets and that might make a difference. We are making 5 independent decisions regarding 5 funds so those decisions need to be well timed. Obviously - I don't know.

Hugh

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Author: Syvash Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239833 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 1:05 PM
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Here is a QTAA type ETF backtest -

http://www.etfscreen.com/screener.php?sbt=2430f


DBC IEF VEU VNQ VTI



Hugh

If I understand this link for the back test, it picks the ETF with RSF?

But the QTAA method is not base on RS among the ETFs, rater it is a blend of the ETFs if their price is above 200 sma.

Could you explain what does {[RSF] [Des]} do in the description of the back test or picks?

Thanks

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Author: DreadPotato Big gold star, 5000 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239834 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 2:10 PM
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Could you explain what does {[RSF] [Des]} do in the description of the back test or picks?

If I might be so bold as to answer for Hugh. Correct me if wrong.

The final sort does nothing since we are picking the top 5 of 5.

Todays Selections

                    Name                       Symbol  RSf   Price  SMA-200

Vanguard Total Stock Market VTI 79.4 73.83 69.55
Vanguard REIT VNQ 62.2 64.92 62.79
Vanguard FTSE All-World ex-US ETF VEU 49.9 42.95 41.4
PowerShares DB Commodity Index Tracking DBC 41.8 28.77 27.69
iShares Barclays 7-10 Year Treasury Bond Fund IEF 27.1 107.9 105.74


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Author: hmTodd Two stars, 250 posts Old School Fool Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239836 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 2:57 PM
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>The final sort does nothing since we are picking the top 5 of 5.

Thanks for jumping in and you are correct. Since we have 5 funds to fill five positions the sort order is irrelevant, but required by the software.

For those wanting to test separate entry and exit rules we might have something to show you next week, but it will be aimed at trading in and out of a single fund, not selecting x holdings from a pool.

Hugh

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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239837 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 3:45 PM
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Here is a QTAA type ETF backtest -

http://www.etfscreen.com/screener.php?sbt=2430f

It trades in and out of 5 funds based on 200-day SMA of the respective fund. You might can use it as a model for what you are trying to do.

I will agree that one must be very cautious when drawing any conclusions from an ETF backtest due to the short history and the changing complexion of the funds. Keep the models simple and logical and hopefully you will be able to compare the results to other populations with longer histories.

Disclosure - The ETFScreen site is mine.
----------------------------------------------------

I currently use similar funds with the following changes:
1) Use a small cap fund and a large cap fund for stocks
2) Also use a utilities fund
3) Use a short term and long term treasury fund

I am looking to implement an in/out based on 200 day SMA. I am thinking it is probably too much trouble using as many funds as I am now (I just stay in them). 5 or 6 seems more reasonable.

Can your back tester compare the 200 day SMA-price to the 200 day SMA- 50 day SMA?

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Author: michaeljc70 Add to my Favorite Fools Ignore this person (you won't see their posts anymore) Number: 239838 of 254175
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 3:48 PM
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Can your back tester compare the 200 day SMA-price to the 200 day SMA- 50 day SMA?

_________________________________

Never mind. It was easy to change to that. Results pretty similar. Seems like some people prefer the 50 day SMA to using the current price.

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