You all may remember the modified version of Frank Grossman's global rotation strategy that I wrote about here in early 2014. I posted signals on it for a while but got busy with my day job and, frankly, got tired of posting. My apologies, but I see that many of you have been able to follow the system yourselves using your own methods.
For 2015, I added ZIV and BKLN to my rotation to improve diversifiation. I also reduced the stop to 0.5 from 0.75 because I felt it provided a better risk profile for me (lower returns, lower drawdowns).
This year, the system has done fairly well according to the table below:
| Month | Signal | Trade | YTD |
| Jan-15 | SHY | 0.63% | 100.63% |
| Feb-15 | EDV | -9.12% | 91.45% |
| Mar-15 | EDV | 1.45% | 92.78% |
| Apr-15 | FEZ | 2.06% | 94.69% |
| May-15 | ZIV | 6.51% | 100.85% |
| Jun-15 | BKLN | -1.14% | 99.70% |
| Jul-15 | ZIV | 6.35% | 106.03% |
| Aug-15 | SHY | -0.05% | 105.98% |
| Sep-15 | EDV | 2.21% | 108.32% |
| Oct-15 | SHY | 0.04% | 108.36% |
Up 8.3% compared to SPY, which is down about 1.5% on the year.
Im working on another article charting the effects of an absolute momentum filter in a diversified portfolio that is regularly rebalanced. Stay tuned.