Global Transportation with Commodities Rotation

Jan 8, 2015 Update: I've also created an automatically updating Google spreadsheet, which uses adjusted close prices.

Here's a variation of mine on the Global Market Rotation that I call "Global Transportation with Commodities Rotation" or "GTCR". I created this variation to diversify the Global Market Rotation with a somewhat different basket of funds (SSO, EEM and EDV are included in both strategies), including different asset classes that under certain economic conditions may be correlated in a different way. Commodities, for example, tend to bear a low to negative correlation to traditional asset classes, such as stocks and bonds.

GTCR uses SSO (ProShares Ultra S&P500), IYT (iShares Dow Jones Transportation Average), EEM (iShares MSCI Emerging Markets), DBC (ProShares DB Commodity Tracking ETF), AGG (iShares Barclays Aggregate Bond Fund) and EDV (Vanguard Extended Duration Treasury) as its basket of assets, and the model is based on the same calculations as the Global Market Rotation of the previous post.

At the bottom of this post are download links for the Excel file and ThinkOrSwim study that I use to show the rankings of the model.

My manual backtest of this strategy from May 2008 to May 2014 produces an annual return of +50% with a -23% drawdown, or expressed in another way, a total return of 1135%.

I also did a backtest on Portfolio Visualizer, switching EDV to TLT, which allowed me to backtest a similar strategy from 2006-2013. The CAGR was +36.66% and Max Drawdown -23.53%. It's worth noting that EDV and TLT, though both long-term bond funds, act a little differently from each other.

Also, this backtest doesn't include a cash-stop.

Links:

QH GTCR Excel file

QH GTCR ThinkOrSwim study

QH GTCR Spreadsheet