one problem I am facing playing with Quantopian is that generally the markets have been climbing the last 5 years, so my interest area (large ETF's) seems to be difficult to simulate bad-performance with.
Could someone suggest a strategy to either simulate a poor performing ETF or know where I can find some?
thanks much!
How about inverse ETFs like SDS?
There are ETFs for other asset classes, like UNG, USO, GLD, etc., that have been very different from equities.
I would suggest that you research how these instruments (inverse and leveraged ETFs) perform over versus other assets across various time frames. There is a significant amount of literature around their relative performance that is eye opening. Here is just one sample link:http://www.etftrends.com/2009/08/special-report-leveraged-and-inverse-etfs/. Also since the data goes back to 2002, you do have at least one significant down period but not much from a train (in sample) then validate (out of sample) approach unless your algorithms train quickly.
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