I was curious to see how sharpe trending might correlate to returns, so I tried it on a fixed set of Sector ETFs. I look at moving average on sharpe and also base a signal off of crossover. No strong notions on my part, I'm just exploring. Static weights and long only.... you may notice commented out shorts; that's because long/short appeared to underperform. I'm curious about that underperformance. I'm also curious why this thing is pegged to Beta with respect to leverage. It makes you wonder how much indexed ETFs are actually dependent on general market action. I don't have any ambitions on this guy as a strategy - But it does offer info... just not sure what it's telling me. I would love to hear observations, interpretations and criticisms. Could this (SMA sharpe) have promise as a momentum factor? Can ETFs be used as proxy indexes? (programmatically speaking) Is there a way to dynamically add symbols (scaling testing on this idea becomes difficult due to this framework limitation of not being able to supply variable to supply a string to symbol)...i am also curious how I can have fractional positions in the backtester record() ..how can that be? etc I have more questions if someone bites:)
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