Here is a sector specific version of Grant's OLMAR algo. I really like the implementation, so I thought I would try to break it down by sector. My first pass was on the financial sector using the vanguard etf as a benchmark. The results are bad. Any ideas on what I'm doing wrong?
Thanks for the help.
John
This has been researched by Grant as well. The sector ETFs are highly correlated with market. For OLMAR to be successful, we need a high idiosyncratic component in stocks and some degree of mean reversion. If you search for OLMAR in the community, you will see a lot of research and backtests. Thanks!!
Shiv,
I may be missing your point and I've seen the posts around using ETFs in OLMAR but I'm not trying to build a sector ETF version of OLMAR. Check out the code and the transactions and you can see that its trading financial stocks exclusively.
I'm taking a basket of stocks in a sector and seeing if they beat the ETF as a benchmark. I figure if you can do that on a set of sectors then you can diversify based on the sectors themselves and have a lower beta accordingly. Does that make sense? Do you think that is not possible to out perform a sector using OLMAR like Grant's original version does for the market as a whole?
Thanks,
John
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