One new strategy has been added:

#260 – Trend Following in Commodity Calendar Spreads

Six new related research paper have been included into existing strategy reviews. And four additional related research paper have been included into existing free strategy reviews during last 2 weeks.

#44 – Paired Switching

Authors: Schizas, Thomakos

Title: Market timing using asset rotation on exchange traded funds: a meta-analysis on trading performance

Link: http://businessperspectives.org/journals_free/imfi/2013/imfi_en_2013_02cont_Schizas.pdf

Abstract:

The ultimate goal of any “paper” investment strategy is to achieve real-life profitability. This paper measures the performance of a trading rule based on the relative pricing and relative volatility of a rotation strategy between two assets, using data from passive ETFs. To avoid problems of pair selection we work with meta-data obtained after the evaluation of a large number of 351 pairs of ETFs. In this way the authors analyze the performance of the proposed strategy on the cross-section of different ETFs. The results show that rotation trading, as applied in this paper, offers advantages even when the simplest model is used in generating trading signals. Furthermore, the authors find that the differences in the actual mean returns (over the evaluation period), the correlation of the pair components and to (a lesser extend) the volatilities of the ETFs can explain the success of the rotation strategies.

Notable quotations from the paper:

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