ETF Prophet

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Dave Evans

In December I took at look at using seasonality filters to improve on systems such as the DVI/ DVB Combo method. With financial markets starting to get a little more interesting, it's time for an update. 

You can find the original post here

First let's take a look at the performance of the DVI/ DVB Combo method. This basically goes long or short when both the short term DVB indicator and the longer term DVI indicator are singing from the same hymn sheet. Roughly the last year, no commission etc. 

04-03-2011 16-18-21
The Combo method flat lined while markets went up and up and up, but performance picked up recently with the return of volatility. 

Now let's have a look at how those seasonality filters are helping or hindering. 

The returns look back around 14 months. 

04-03-2011 16-18-38These returns look back around 100 trading days: 

04-03-2011 16-18-58
The seasonlity filters still seem to be doing their job quite well, primarily by keeping a long side bias. It would be interesting to see how they progress if we swing to bear market territory though. 

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