StockFetcher Forums · Filter Exchange · A SIMPLE MARKET TIMING FILTER<< 1 ... 2 3 4 5 6 >>Post Follow-up
Kevin_in_GA
4,538 posts
msg #108078
Ignore Kevin_in_GA
9/17/2012 10:29:27 PM

Yes, but the trades are made between XLI and XLU. SPY could be traded as well, but it was not in the backtest I did. I included it as a benchmark for the two.

novacane32000
273 posts
msg #108082
Ignore novacane32000
9/18/2012 8:14:59 AM

Thanks for the clarification.

Kevin_in_GA
4,538 posts
msg #108156
Ignore Kevin_in_GA
9/22/2012 10:47:15 AM

Just to confirm on this - the 20 week ROC signals to shift from defensive (XLU) to offensive (XLI).

gmg733
618 posts
msg #108202
Ignore gmg733
9/27/2012 10:47:29 PM

Kevin,

On your site you mentioned the roc needed to be positive. As of last Friday the roc was a bit negative still, just barely, for xli. Shouldn't one wait till the roc is positive?

Thanks!

Kevin_in_GA
4,538 posts
msg #108207
Ignore Kevin_in_GA
9/28/2012 11:28:09 AM

Yes, that is the best way to manage risk.

Kevin_in_GA
4,538 posts
msg #109791
Ignore Kevin_in_GA
1/2/2013 11:19:42 AM

Update on this approach. I reanalyzed the most profitable timings for this system, and a 14 week lookback is now the preferred timing (it actually had already been outperforming the 20 week time window during 3 and 5 year lookback studies, but the 20 week system was making the same calls so no need to change).

Here is the revised filter:

Fetcher[

set{rs, weekly ROC(14,1)}
set{difference, rs - ind(SPY, rs)}
set{null, 0}
symlist(XLI,XLU)
ADD COLUMN SEPARATOR
add column weekly ROC(14,1) {14 week performance}
add column difference {rel strength}
SORT ON COLUMN 6 DESCENDING

rs above 0

chart-display is weekly
draw ind(XLU, rs) on plot null
draw ind(XLI, rs) on plot null
do not draw rs
]



Trade well this year.

Kevin



gmg733
618 posts
msg #109812
Ignore gmg733
1/2/2013 5:16:23 PM

Thanks Kevin. I have three retirement accounts and I use this filter for one of them. Slow and easy.

Regards!

gmg733
618 posts
msg #112617
Ignore gmg733
modified
4/3/2013 9:04:34 AM

I use this one for one of my IRA accounts. I could have sworn XLI was just ahead of the XLU this weekend. However, running the filter again and looking at the results as of Saturday, i.e. Thursday due to the holiday on Friday, XLU now leads XLI.

I don't know if I looked at it wrong or if there is some computation anomaly that happened with the Friday session. I swore XLI was still leading XLU. Nonetheless, I'm getting out of XLI.

Oh, this one made me 11% in 6 months plus dividends. Not bad. I would have squeezed a little more out of it had I gotten out on Monday.

Kevin_in_GA
4,538 posts
msg #112619
Ignore Kevin_in_GA
4/3/2013 10:29:35 AM

Remember - the market was closed on Friday, so the system did not signal at the end of the month, but rather on the 1st. You are correct - XLU is now the signal.

Kevin_in_GA
4,538 posts
msg #112724
Ignore Kevin_in_GA
4/11/2013 3:18:18 PM

Just reminding folks that this system (developed mostly as a market timing system but also a pretty solid trading strategy) has been signaling a defensive posture for the last few weeks. Given the market continuing to set new all-time highs, this seems inconsistent ... but just look at how the Utilities sector has contributed to the overall market performance and I think it is telling people something.

Money is rotating out of high-beta stocks and into defensive positions, but staying in the market since folks are waiting for bonds to implode. You also can see that XLU has outperformed IWM by almost 5% over the last 14 weeks.

What is cool about this particular system is that even while defensive, you can still participate in market rallies but have a much less severe drawdown during corrections.

StockFetcher Forums · Filter Exchange · A SIMPLE MARKET TIMING FILTER<< 1 ... 2 3 4 5 6 >>Post Follow-up

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