ETF performance year by year

Discussion in 'ETFs' started by Kris, Jan 12, 2020.

  1. Kris


    Is there a site I can see the top performing ETF's by year? Surely this exists? Google search wasn't much help
  2. Bum


  3. Kris


    Thanks but I don't think that allows me to easily see what the top performing ETF of 2007 was... or 2014, or whichever specific year
  4. Metamega


    Best bet is to just get an ETF list of your choosing and get the data from or quandl or whatever your poison is then just write some little bit of code to seperate it by year.

    I use Amibroker but sure most decent backtesting/analysis software could put something together quickly. Excel or python are other free options.

    Uploaded a csv I put together real quick of an Amibroker exploration. Database is some ETF that I downloaded off TC2000 while I had a subscription. No idea how complete the database is. I just requested all their ETF's and downloaded. Ended the subscription last year.

    Added a 50 day volume average just to help view liquidity. A lot of ETF's lack any volume.
  5. Kris


    Fantastic. @Metamega would you mind sharing a bit of the code you used? I can probably figure it out in Python
  6. Metamega


    That was a very simple AFL(Amibroker Formula Language). Doubt if I had it laying around still it would be of any use for Python. First step would be to get a updated list of ETF's somewhere. That list I used was a from a download from TC2000 early 2019. Sure theirs some new ones out there(mind you they may offer little benefit to yourself depending on the liquidity you expect).

    Second step is to get the data. Sure theirs some guides on python and Yahoo or perhaps Quandl to pull the data.

    Third step is to calculate ROC(rate of change) from Jan1 to Dec 31. Write a loop to push out a symbol and its ROC and done.

    That's a more pretty version in Amibroker where you could set the start and end date. My AFL I used for that CSV just returned the ROC over 250 days on Dec 31-2018. The amount of trading days changes year to year.

    I'd start with a screener to get a decent ETF list with some volume metric of your choosing. A lot of those trade under 500 shares a day. Second off would be to decide if you want every ETF that follows the same index in a database. Theirs probably dozens in that list that track the big Indexes. Wonder if it adds any value or perhaps take the one with the best tracking or lowest MERS.