More forward testing based on the rules.Method 08-13 PerformanceSPY 15.7%RSP 31.8%Blend of 9 EW Sectors 41.0%Blend Winter 75.4%Blend Summer -20.2%Top 3 Sectors Based on Jan -5.7%Best Sectors past 12 months -11.0%Best Sectors past 12 months Winter 88.0%Best Sectors past 12 months Summer -52.7%All the above are total gains for the 50 month period.Definition: the SP500 contains nine sectors and 130 industries.Blend of the 9 equal weight sectors is surprisingly strong. This would be buying, holding and rebalancing each of the nine Rydex equal weight SP500 ETFs. An equal weight of equal weights. Presumably better than RSP since RSP industry member counts are disimilar.The Winter/Summer disparity is strong during this period.Top 3 based on January is applying a rule in the book out of sample. The "rule" is, as goes January so goes the year. Pick the best three industries based on January performance and hold February through next January. This is a fail.Best Sector, past 12 months is classic relative strength. Pick the best sector based on 12 month performance, hold for a month. Not surprisingly, this failed for the period, though the author proposed it to be the most likely success.No one could guess in January 2008 that sector relative strength would fail going forward, but calendar timed market exposure would succeed. In any event, according to recent past, holding anything during the Summer is bad reward to risk deal. I would like to see our backtesters display results with these periods separated.
Method 08-13 PerformanceSPY 15.7%RSP 31.8%Blend of 9 EW Sectors 41.0%Blend Winter 75.4%Blend Summer -20.2%Top 3 Sectors Based on Jan -5.7%Best Sectors past 12 months -11.0%Best Sectors past 12 months Winter 88.0%Best Sectors past 12 months Summer -52.7%
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