AK " Follow the Money " [FTM] Indicator and trading system

The following trading system uses the rate of change (ROC) between equities and bonds to determine which asset to hold, basically , following the money. The rules are simple :

1. Calculate the 85 day ROC for SPY and TLT

2. If ROC (SPY) > ROC(TLT) --> Buy SPY

3. if ROC(SPY) buy TLT

Backtest resutls

I coded this in python , and here are the results :

Period : 01/03/2003 to 12/31/2014
Slippage : 0.03 cents

• Total return : 283.6 %
  Benchmark (SPY): 169.4 %
  Sharpe : 1.49
  MAX DD : 17 %
  

Return:

2003 :17.8%
2004 : 2.5%
2005: 1.3%
2006: 8.6%
2007: 3.9%
2008: 23.6 %
2009:14.4%
2010:16.7%
2011:33.4%
2012: 1 %
2013: 24.9%
2014: 6 %

As you can see, the system tends to do very well in bear market, and mix but positive results during bull markets. I use the 85 days because that works for me . you may use a higher are lower number when calculating the ROC.

The code for the indicator is extremely simple, and will be posted a few moment. When the background is Green you buy and vice versa when red

DISCLAIMER :

I do trade an alternative version of this system , but this post is strictly for educational purposes only. . Past performance is no guarantee of future results.

DISCLAIMER :
if you have any question , leave a comment or PM me , and will try to get back to you as soon as possible.

Cheers

Algo