Research method
Rank rotation
Rank rotation is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Signal
- Input
- Rule inputs, market state and execution constraints
- Horizon
- The system holding period
- Best use
- Make entry, exit and abstention rules testable as one procedure.
- Input: Rule inputs, market state and execution constraints.
- Output: signal.
- Use boundary: Make entry, exit and abstention rules testable as one procedure.
The graph4
How the method is built, and where it has been read
Depends on
Often reviewed together
Seasonal trading5 readings
Often reviewed together
Value investing6 readings
Often reviewed together
Mechanical trading system7 readings
Often reviewed together
Momentum strategy8 readings
Read in the archive12 readings
1996Annual normalized-yield rank rotation for cyclical sleeves1996Value filter then rank-rotate as one procedure1997Dow high-yield rank rotation as a testable portfolio procedure1998Rank rotation, value screens, and ten-stock diversification2001Earnback period ranking for growth-adjusted screens2003Stress-testing calendar yield rotation in a declining tape2004Always-on delayed-weak and live-strong sector sleeves2012A relative-performance heatmap for pairs trading and sector rotation2012Year-end yield rank rotation with a collapse veto2014Evaluating an annual contrarian sector rank-rotation2014A ranking workflow that treated sector rotation as an abstention procedure2015A five-name January book from yield and price ranks
This registry entry describes a research method. It is not investment advice and does not make a performance claim.