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I have been using a simple screen you posted on the MI board in my limited 401K universe with 10 distinctly different funds (I searched for the original post but could not find it)

it is: linear(1,tr(1,63),2,tr(1,126),1,tr(1,252)) top 1

3 month trailing return plus two times 6 month trailing return plus 12 month trading return

(I also use some timing signals to go to cash)

So far it has worked very very well, and I rode the top fund(s) in the 401K for over a year plus without a lot of swinging back and forth.

What I now notice is a potentially disturbing occurrence which might be happening if 2 or more funds track closely over the year - namely, that the top pick can swing back and forth between the close tracking funds if the 3 month trailing return becomes dominant. Thus a bad week in a month would have you switch selling low to buy high.

I have thought about buying more than the single top fund if this seems to be the case, and holding two or three until greater separation happens - but impossible to backtest this.

Any ideas?

Thanks Smufty
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No. of Recommendations: 3
I found the post you were looking for

http://boards.fool.com/etf-sector-switching-update-30752046....

Post # 243970 on the Mechanical Investing board about 2 1/2 years ago!!

tpoto
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