- This system holds three ETFs according to stock market climate.
- Typically, during good-equity markets it holds equity- and leveraged-equity ETFs SPY, SSO, and UPRO.
- During bad-equity markets it holds leveraged short equity, short equity, and gold-ETFs SDS, SH, and GLD.
- It never holds fixed income ETFs, so we don’t have to worry about rising rates.
The model was backtested on the on-line simulation platform Portfolio 123 which also provides extended price data for ETFs prior to their inception dates calculated from their proxies. Trading costs, including slippage, were assumed as 0.1% of the trade amounts using closing prices.
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