DVI system (1/2)

In this series of posts I share my exploration of the use of the DVI indicator in a strategy be applied to a broader set of ETF’s. The strategy will use the DVI indicator complemented with a long term filter and short term timing mechanism. Applying of the strategy to a portfolio of ETF’s will allow’s to assess … Read more

Strategy 2 – Monthly End-of-the-Month (MEOM)

The 2nd strategy is a the Turn-on-the-Month implementation applied to a universe of 26 ETF’s. Excellent risk vs reward results are achieved, reflected by an annualized sharp ratio of 5.56. Details below. Signals of this strategy will be provided through this blog starting  end of June 2010. Strategy Concept The seasonal strategy is based on the Turn-of-the-Month anomaly. … Read more