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2011issue C1255-66

Rank rotation as a testable ETF construction procedure

Historical tools could rank a ten-ETF portfolio over a six-month window, compare any fund with a cash-equivalent short-term bond benchmark, and combine Rank rotation with Moving average inputs. Editorial reading keeps Seasonal analysis and down-day context after those rules so construction stays checkable.

  • A relative-strength reader can array each holding in a ten-ETF portfolio by rank over a six-month window and compare any selected fund with a cash-equivalent short-term bond benchmark.
  • Rotation among those ETFs can be displayed in bimonthly intervals for the latest six months, with an advanced replay of prior rotations up to six months.
  • Historical modules combine relative-strength ranking with Moving average inputs and allow at most two relative-strength lookback periods to be tested together.
  • Editorial reading inspects Seasonal analysis and down-day context only after ranks and the Moving average gate are fixed.
Entries in this reading3 entries
Seasonal analysis5 readingsMoving average30 readingsCurrent trackRank rotation44 readings

Construction as one procedure

This archive note describes a historical relative-strength workflow for a ten-ETF book. TradersWeek editorial reading presents that workflow as Rank rotation: rank first, gate entries with a Moving average, and only then inspect Seasonal analysis or down-day context.

The aim of that editorial order is to keep construction choices checkable. Ranking, the cash-equivalent comparison, and the Moving average gate form one procedure. Context modules come later so they do not replace the rotation rules.

Rank the book and replay the rotation

A relative-strength reader can array each holding in a ten-ETF portfolio by rank over a six-month window and compare any selected fund with a cash-equivalent short-term bond benchmark.

The same reader can display rotation among those ETFs in bimonthly intervals for the latest six months, with an advanced replay of prior rotations up to six months.

Editorial reading treats the cash-equivalent short-term bond benchmark as the abstention sleeve of Rank rotation, and treats the replay window as the holding period the reader can inspect.

Gate entries with a Moving average

Historical backtesting modules combine relative-strength ranking with Moving average inputs and allow at most two relative-strength lookback periods to be tested together.

Editorial reading uses those Moving average inputs as a regime gate after the ranks are set. An entry, an exit, or an abstention then stays inside the same Rank rotation procedure.

Read context after the ranks are fixed

A correlation module reports the coefficient between any two ETF tickers over a user-set span, using a volatility window that can be set from 10 to 120 days.

A volatility module compares up to five ETFs on a line chart and reports maximum, minimum, and latest volatility percentage for windows from 20 days to 12 months.

A down-day association module counts up and down days, average daily performance, worst and best days, and correlation to the benchmark for each ETF when that benchmark falls by a user-set amount such as 3 percent in one day.

Gold replaces energy at the top of the ten-ETF rank book

A trader running this ten-fund book would have seen energy (XLE) hold first place through mid-April, then fall to last once gold (GLD) took the top rank on 29 April and kept it through 24 May. The eight ranks are read from the Relative Strength Reader table on that screen, not guessed from the return plot above it.
A trader running this ten-fund book would have seen energy (XLE) hold first place through mid-April, then fall to last once gold (GLD) took the top rank on 29 April and kept it through 24 May. The eight ranks are read from the Relative Strength Reader table on that screen, not guessed from the return plot above it.Example 10-ETF book (GLD highlighted) · Eight ranked dates, 15 Feb 2011 to 24 May 2011 · 2011-02-15T00:00:00.000Z to 2011-05-24T00:00:00.000Z

Ranks use the screen’s fixed mix of 60% three-month strength, 20% six-month strength and 20% 20-day volatility. The companion backtest in this review left the moving-average filter off, so these are raw strength ranks, not a gated entry list.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
19 of 32 in the Rank rotation track
201169-72 pp.Next on Rank rotationThe inverse-Fisher stochastic is a forecast layer until the book rules can be disabledThe inverse-Fisher stochastic oscillator is specified as a fourth series to use with put/call-ratio confirmation, and those confirmation series are not required to run the oscillator rules alone.
All readings on this track · 32 readings
  1. 1987A mechanical rank-rotation sleeve for monthly fund leaders
  2. 1989Rank rotation in a five-name no-load sleeve
  3. 1990Cycle-tested five-year fund rank rotation
  4. 1991Blue-chip rank rotation by relative-strength-index slope
  5. 1992Currency rank rotation and intermarket timing
  6. 1992Rank rotation and relative strength for portfolio construction
  7. 1994MACD crossovers then short-horizon rank rotation
  8. 1994A comparable group-trend ledger from published ranks
  9. 1997Normalized yield rank rotation as a full portfolio procedure
  10. 1997Constructing an investor preference index from two capitalization-weighted series
  11. 1998Constructing anchored momentum from a centered average
  12. 2000Rank rotation, a stop-loss order, and Relative Strength Index in fund switching
  13. 2003A one-fund daily rank is a two-sleeve construction problem
  14. 2004Evaluate rank rotation only where persistence already exists
  15. 2004Sector fund rank rotation with regression and trailing stops
  16. 2006Evaluating equal-weight annual yield-rank rotation
  17. 2007Weekly preferred-symbol reselection for mechanical trend systems
  18. 2011Portfolio capacity and entry pacing for mechanical systems
  19. 2011Rank rotation as a testable ETF construction procedure
  20. 2011The inverse-Fisher stochastic is a forecast layer until the book rules can be disabled
  21. 2012An underwater stretch is a sizing test for rank rotation
  22. 2015Rule-based ETF rotation as one testable procedure
  23. 2015MACD crossover evaluation by trend rank rotation
  24. 2015Persistence and strength as one close-to-close switch
  25. 2015Evaluating rank rotation after a persistence screen
  26. 2016Evaluating an annual valuation rank rotation
  27. 2017A two-step yield and price rank rotation for a five-name sleeve
  28. 2018Smoothed volatility and the missing rank-rotation exit
  29. 2018A five-condition scorecard that ranks stocks and can refuse the trade
  30. 2018Small-cap growth sleeve eligibility with trend and rank rotation
  31. 2018Evaluating rank-rotation momentum across fund wrappers
  32. 2019Evaluating an annual equity-gold momentum rank rotation
By fieldPortfolio construction35 readingsBy year201112 readings
All 44 readings tagged Rank rotation
Also on Rank rotation5 readings
1996Annual normalized-yield rank rotation for cyclical sleevesSeasonal analysis1997Normalized yield rank rotation as a full portfolio procedureSeasonal analysis2003Stress-testing calendar yield rotation in a declining tapeSeasonal analysis2012Year-end yield rank rotation with a collapse vetoSeasonal analysis1998Constructing anchored momentum from a centered averageMoving average