After more extensive testing, I have determined that the silver ETF should be dropped and the following ETF’s added:
FXE – CurrencyShares Euro Trust
FXY – CurrencyShares Japanese Yen Trust
ETF’s are chosen on the basis of working well with my timing algorithm and low correlation with most of the other ETF’s in the model. Based on the percentages assigned to each ETF, the model has a Calmar Ratio (compound annual growth rate divided by maximum drawdown) of 9.6. A Calmar Ratio in excess of 2.0 is considered to be very good. Of course, I have optimized the backtest and don’t expect the same performance going forward. However, even if the ratio dropped to 5 I would be very pleased.
The following tables detail the percentages allocated to each ETF and the current positions.
If you follow my QLD/PSQ model on Collective2.com you will know that that model is short the Nasdaq (holds PSQ) and therefore lost money today. However, my Combined ETF 2X Model made money today despite holding PSQ.
FJP
