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ETF rotation strategy
Source: https://fxcodebase.com/code/viewtopic.php?f=31&t=74737
Forum: 31 · Topic 74737 · 1 post(s)
ETF rotation strategy
Apprentice · Tue Mar 26, 2024 6:40 am
Based on the post. https://twitter.com/QuantifiedStrat/sta … 5040901451
- It’s based on monthly quotes in the ETFs SPY and TLT.
- Every month rank them based on last month’s performance and go long the best performing ETF.
- Hold for one month and repeat (or continue being long the same instrument).