Here's a simple global rotation strategy I threw together this afternoon. The idea here is to have a set of 'growth' equities that are geographically dispersed and to rotate through them each 'rotation interval' (nominally set to 30 days) based on some Objective value function. The given objective value function here is very simple. I'm just looking at the recent monthly performance of each of our 'growth' equities, but we could make anything part of our objective score. If all of our 'growth' equities signal that they aren't growing (that is, an objective score of less than zero) then we should just hold cash (or some other 'safety' asset). You'll notice on the curve there's some delayed weakness around local topping events. This effect could be removed through a better objective function. In the future I'll throw together another example using some indicators as objective function inputs (EMA ratios, RSI, MACD)

Author