StockFetcher Forums · Filter Exchange · ETF Curve Fitting Filter?<< >>Post Follow-up
bka58
49 posts
msg #108286
Ignore bka58
10/4/2012 3:23:50 PM

I discovered a filter on etfscreen com that shows very interesting results. I have created a fetcherized version below with results. I have tried substituting other ETFs but the results are much lower. What I am wondering is if this filter is really the result of curve fitting or some other fluke. I would appreciate any thoughts on the subject.

Fetcher[
symlist(BND, CUT, DBA, DBB, DBE, ESD, EWX, FXI, GWX, OIH, RWX, SLV, TLT, VEU, XLF)
set {uv1, ema(5) / ema(50)}
show stocks where price > ma(50)
and price > ma(100)
and uv1 > 1.00
and uv1 < 1.11
add column uv1
sort column 5 desc
]



Select the top choice and review/adjust every 1 week.
CAGR = 39.2
Ulcer Index = 9.6
Max drawdown = 17%
From 10/1/2007 thru 9/28/2012, $1000 is now worth over $5200.

OR

Select the top choice and review/adjust every 2 weeks.
CAGR = 36.2
Ulcer Index = 8.4
Max drawdown = 19%
From 10/1/2007 thru 9/28/2012, $1000 is now worth over $5000.

OR

Select the top choice and review/adjust once a month.
CAGR = 26.1
Ulcer Index = 10.6
Max drawdown = 20%
From 10/1/2007 thru 9/28/2012, $1000 is now worth over $3200.

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