ETF Investing by Aggregating I Know First’s Algorithmic Trading Signals
In the following article we continue our analysis on computing sector-level predictions by aggregating I Know First’s stock-level forecasts and using these aggregated predictions to build strategies for sector ETF investing. In particular we:
- Update previously presented strategies which compute sector-level predictions by comparing the distributions of the long and short forecasts of the stocks within each sector
- Present new ways of aggregating our forecasts using simpler rules and show the performance of various strategies based on these
- Show that both the previously developed and the new, simplified decision rules give rise to portfolios that beat the benchmark and register excellent risk statistics
