A Simple Rotational System Among Low Beta Stocks

I like to trade the boring stocks.

Today I picked 19 random (but liquid) low beta stocks (boring stocks) and tested a rotational system in Amibroker (of course with a bit of survivorship bias). Here is the code:

SetBacktestMode( backtestRotational );
SetOption(“initialequity”,30000);
SetOption(“commissionMode”,3);
SetOption(“commissionAmount”,0.03);
SetOption(“MaxOpenPositions”,2);
SetOption(“WorstRankHeld”,5);
SetPositionSize( 50, spspercentofequity );
PositionScore = 60 – Rsi(15);

The backtest is rotational, ie. always in the market in the best ranked stocks. Commission is set to 3 cents per share and entry and exit is on close. I hold 2 positions at all times. I exit when positions are no longer ranked among the 5 “best” among the 19 stocks. All stocks are ranked on 15 day RSI. In the positionscore i have written “60- RSI(15)” so I’m slightly tilted towards keeping more trades on the long side than the short side.

Remember this is an extremely simple system, perhaps naive. There is basically no curve fitting except backtest shows it’s better to keep a low number of positions, a “long” timeframe and let the positions “climb” on the rank before we close positions (SetOption(“WorstRankHeld”,5);).

Here are the numbers:

All months summarized: