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Do fundamentals for ETFs work correctly?

Pawel

5 years, 9 months ago 834 views

Hi Ivann!

Hope you are well. Quick question - does the system correctly calculate fundamentals for ETFs? I tried changing weighting for the 4 fundamental parameters in this backtest (e.g. increasing one) - I tried four very different combinations, but the result (return, volatility etc.) is always the same. Is this correct?

Thanks!
Pawel

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2 replies

Pawel

5 years, 9 months ago

Understood - thanks for clarification!
Pawel

Admin

5 years, 9 months ago

Hey Pawel,

For ETFs only technical signals based on price and volume are available. In your backtest, you chose 4 different signals but only data for 6 month returns are available. Because of that it does not matter how you allocate your weights, the overall signal will only depend on the 6 month return. If you want to introduce new signals perhaps you can look into 3 month returns or volatility. 

Kind regards,

Ivan