UnThreaded | Threaded | Whole Thread (22) | Ignore Thread Prev | Next
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: of 252525  
Subject: Re: ETF Backtest portfolio MA Date: 10/9/2012 11:27 AM
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Recommendations: 0
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
Post New | Post Reply | Reply Later | Create Poll . Report this Post | Recommend it!
Print the post  
UnThreaded | Threaded | Whole Thread (22) | Ignore Thread Prev | Next

Announcements

Post of the Day:
Macro Economics

U.S. Stable, Europe Stalling
What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Community Home
Speak Your Mind, Start Your Blog, Rate Your Stocks

Community Team Fools - who are those TMF's?
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and "#1 Media Company to Work For" (BusinessInsider 2011)! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.
Advertisement