I’ve read your articles in Investors Chronicle, which give the rule set for your tactical asset allocation system (TAA1).
I understand the construction of Kaufman’s Efficiency Ratio – can you tell me (a) what look-back period you use in constructing the filter, and (b) what threshold you use for deciding if a security’s behaviour is efficient? (I have seen a level of 30 suggested for the efficiency filter.
Thanks in advance.
252 day lookback , 0.03
Do I understand your approach – to allocate each month the the top ten (10) – 1 month, 3 month, 6 month and 12 month ETFs, for a total of 40 holdings – each portfolio being reevaluated on different rolling 30 day periods? If so, what is the ranking of the averaged return used for, or is that a fifth portfolio? Maybe I’ve misunderstood.
Please disregard comment, upon further reflection, I believe I understand. Thanks