Skip to main content
Track Rank rotation
12 / 32
Search the archiveLibrary
Library

2000issue C101-4

Rank rotation, a stop-loss order, and Relative Strength Index in fund switching

A weekly rank-rotation procedure allocated among the top names in a mutual-fund universe after a relative-strength screen and a trend test. A later evaluation lengthened the preparation window and compared a stop-loss order and alternative Relative Strength Index rules with that original specification.

  • A weekly rank-rotation procedure used relative-strength percentage change versus a long lookback, an exponential average trend test, and allocation to the top names after gold and precious-metal funds were excluded.
  • The same rank-rotation logic was treated as reusable beyond its original index-fund setting and was applied to a universe of Canadian mutual funds.
  • A documented limitation of buying from the top of the ranked list was that a newly purchased fund could already be near a subsequent sell signal.
  • After the indicator preparation window was lengthened, alternative Relative Strength Index, stop-loss order, and entry rules were compared as parts of one procedure.
Entries in this reading3 entries
Stop-loss order17 readingsRelative Strength Index25 readingsCurrent trackRank rotation44 readings

A weekly rank-rotation specification

A weekly rank-rotation procedure was specified as relative-strength percentage change versus a long lookback, an exponential average trend test, and allocation to the top names, with replacement drawn from the top remaining names after gold and precious-metal funds were excluded.

The same rank-rotation logic was treated as reusable beyond the original index-fund setting and was applied to a universe of Canadian mutual funds.

A documented limitation of buying the top names

A documented limitation of buying from the top of the ranked list was that a newly purchased fund could already be near a subsequent sell signal.

A longer window for alternative rules

The indicator preparation window was lengthened before alternative Relative Strength Index, stop-loss order, and entry rules were compared.

In the reported comparison table, the original rank-rotation variant and the same variant plus a stop-loss order were recorded as matching on the tabulated outcomes and on the number of positions.

Combining rank by Relative Strength Index with a MACD entry and a stop-loss order was recorded as a further variant in the same comparison table.

A close standing well above the lowest low since the highest high was compared with the original rank-rotation formula. A longer ranking by relative strength from the low was presented as an alternative weekly screen.

How the evaluated procedure closed

The evaluated procedure closed by adding a stop-loss order from the highest high and ranking from the lowest low since that high over the lengthened window, with a filter that required a sufficient increase.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
12 of 32 in the Rank rotation track
20031-5 pp.Next on Rank rotationA one-fund daily rank is a two-sleeve construction problemORLS is the sum of the ORL sleeve and the ORS sleeve, so the account stays fully invested instead of parking unused capital in cash between long signals.
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 year20003 readings
All 44 readings tagged Rank rotation
Also on Rank rotation5 readings
1991Blue-chip rank rotation by relative-strength-index slopeRelative Strength Index1994A comparable group-trend ledger from published ranksRelative Strength Index2014A ranking workflow that treated sector rotation as an abstention procedureRelative Strength Index2015Rule-based ETF rotation as one testable procedureRelative Strength Index1986The stop, the size, and the acceptable loss as one pre-entry gateStop-loss order