First time using this program, decided to see if Mebane Faber's model would work on something like the S&P 500 or the Dow. Since I didnt have time to plug in 500 holdings I just used the Dow from 2004.
I copied the model directly from the previous posting, so I am not sure if there is a bug in it using different holdings.
Any help would be appreciated.
Thanks
Mebane Faber 200 DMA model with dow jones 2004 components
John - is this the previous post you are referring to?
https://www.quantopian.com/posts/mebane-fabers-tactical-asset-allocation
Ryan
Actually I used this one
https://www.quantopian.com/posts/mebane-faber-relative-strength-strategy-with-ma-rule
The previous backtests use ETFs and the research focuses mostly on indices rather than individual stocks. Interesting that the performance is not as strong with individual stocks as it is with ETFs.
i think its because some components have been since removed, When I use the current components the performance is good, but that is not a true back test.
After AIG and C got crushed they were removed, so they wouldnt have been bought again. But I dont know how to add and remove components during the backtest...
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