This post was corrected on January 18, 2023, after an error was discovered in the code. What is rare, the results with the correct code are better.
I am drawn to ETF rotation strategies. What likely draws me to them is that in general, these are simple strategies that do not trade that often. My goal with these strategies is to match buy and hold with less drawdown.
What follows is a strategy I have known about for a while and tested but never written about.
The Concept
From a set of ETFs, select the one to three that have had the best short-term return, best mid-term-return with the least volatility.
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