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:
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.
Disclosure: I am/we are long TLT.