Attached is a template for an algorithm that chooses from a basket of securities each month based on the RSI of the selected benchmark security. Shoutouts to both Kayden Cheung and Marcin Wojcik. This code is basically a cleaned up version of code that they both wrote when helping me with my questions.
If anyone has any ideas on tweaking this or how to make it more robust, please let me know! I'll be attaching some backtests (maybe) when I feel like it.
Enjoy!
For the sake of completeness, this is another variation of that I experimented with. It uses only a single portfolio, but with a larger basket of ETFs/stocks, I've noticed that it underperforms the split aggressive/defensive version.
The attached backtest is based on v. 1.1 of the algorithm, set to rebalance weekly instead of monthly, and hold two positions in either Charles Schwab Fundamental Index ETFS or Charles Schwab bonds. The international versions of the Fundamental Index ETFs are included in the attached source code, commented out, if you'd like to test the performance of this algorithm with exposure to the global market.
I've also compiled a list of the Charles Schwab ETFs and attached it below for anyone else who is interested in having a quick basket of stocks to experiment with.
"""
Updated: September 22, 2016
"""
##### Bond ETFs #####
##### Bond ETFs #####
sid(41715), # Core Bond
sid(39988), # General U.S. Treasury
sid(39987), # Inflation Protected Bond
sid(39986), # Short Term U.S. Treasury
##### Fundamental Index ETFs #####
##### Domestic Equity ETFs #####
sid(45282), # Schwab Fundamental U.S. Broad Market Index ETF
sid(45283), # Schwab Fundamental U.S. Large Company Index ETF
sid(45284), # Schwab Fundamental U.S. Small Company Index ETF
##### International Equity ETFs #####
sid(45287), # Schwab Fundamental Emerging Markets Large Company Index ETF
sid(45285), # Schwab Fundamental International Large Company Index ETF
sid(45286), # Schwab Fundamental International Small Company Index ETF
##### Market-Cap Index ETFs #####
##### Domestic Equity ETFs #####
sid(42043), # Equity Income
sid(38900), # Large-Cap Core
sid(39065), # Large-Cap Growth
sid(39064), # Large-Cap Value
sid(40709), # Mid-Cap Core
sid(38899), # Multi-Cap Core
sid(40708), # Real Estate
sid(38902), # Small-Cap Core
##### International Equity ETFs #####
sid(39144), # Emerging Markets
sid(38901), # International Multi-Cap Core
sid(39143), # International Small/Mid-Cap Growth The attached backtest is based on a working version of v. 1.2 of the algorithm, and is set to rebalance monthly, and hold five positions in either a selection of Vanguard Stock ETFs or Vanguard Bond ETFs. I will be following this up with a v. 1.0 backtest with the same selection of ETFs for comparison between split aggressive/defensive and single portfolio as well as attaching a quick list of all Vanguard ETFs for further testing purposes.
Attached is the v. 1.0 version of the Vanguard ETF backtest. Interestingly, this goes against what I saw in earlier tests and has a higher total return and slightly lower maximum drawdown then the split portfolio version. The other metrics are unchanged. A complete list of Vanguard ETFs for testing follows below.
"""
Updated: September 23, 2016
"""
##### Bond ETFs #####
##### Treasury/Agency #####
sid(22887), # Extended Duration Treasury ETF
sid(33650), # Intermediate-Term Bond ETF
sid(38984), # Intermediate-Term Government Bond ETF
sid(33649), # Long-Term Bond ETF
sid(38988), # Long-Term Government Bond ETF
sid(38983), # Mortgage-Backed Securities ETF
sid(33651), # Short-Term Bond ETF
sid(38986), # Short-Term Government Bond ETF
sid(43529), # Short-Term Inflation-Protected Securities ETF
sid(33652), # Total Bond Market ETF
##### Investment-Grade #####
sid(38987), # Intermediate-Term Corporate Bond ETF
sid(38982), # Long-Term Corporate Bond ETF
sid(38985), # Short-Term Corporate Bond ETF
##### Tax-Exempt #####
sid(49366), # Tax-Exempt Bond ETF
##### Stock ETFs #####
##### Large-Cap #####
sid(28364), # Dividend Appreciation ETF
sid(25910), # Growth ETF
sid(32888), # High Dividend Yield ETF
sid(25911), # Large-Cap ETF
sid(35343), # Mega Cap ETF
sid(35344), # Mega Cap Growth ETF
sid(35345), # Mega Cap Value ETF
sid(40107), # S&P 500 ETF
sid(22739), # Total Stock Market ETF
sid(25909), # Value ETF
##### Mid-Cap #####
sid(23408), # Extended Market ETF
sid(25907), # Mid-Cap ETF
sid(32522), # Mid-Cap Growth ETF
sid(32521), # Mid-Cap Value ETF
##### Small-Cap #####
sid(25899), # Small-Cap ETF
sid(25900), # Small-Cap Growth ETF
sid(25901), # Small-Cap Value ETF
##### International ETFs #####
##### International #####
sid(44850), # Emerging Markets Government Bond ETF
sid(33486), # FTSE All-World ex-US ETF
sid(38272), # FTSE All-World ex-US Small-Cap ETF
sid(34385), # FTSE Developed Markets ETF
sid(27102), # FTSE Emerging Markets ETF
sid(27100), # FTSE Europe ETF
sid(27101), # FTSE Pacific ETF
sid(40337), # Global ex-U.S. Real Estate ETF
sid(49785), # International Dividend Appreciation ETF
sid(49784), # International High Dividend Yield ETF
sid(44849), # Total International Bond ETF
sid(40785), # Total International Stock ETF
##### Global #####
sid(36486), # Total World Stock ETF
##### Sector And Specialty ETFs #####
##### Sector And Specialty ETFs #####
sid(25902), # Consumer Discretionary ETF
sid(25903), # Consumer Staples ETF
sid(26667), # Energy ETF
sid(25904), # Financials ETF
sid(25906), # Health Care ETF
sid(26668), # Industrials ETF
sid(25905), # Information Technology ETF
sid(25898), # Materials ETF
sid(26669), # REIT ETF
sid(26670), # Telecommunication Services ETF
sid(25908), # Utilities ETF No big updates or anything yet, but I've been working on some minor changes and fixes. Have any of you guys who cloned any of the variations above had any successes? Or failures? Please share your results!
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