StockFetcher Forums · Filter Exchange · Monthly Filter?<< >>Post Follow-up
marine2
829 posts
msg #118152
Ignore marine2
2/10/2014 12:53:52 PM

Does anyone have a monthly filter that is reliable for long term investing? Perhaps StockFetcher's software coding to create such a filter doesn't allow for a monthly filterization method to occur? Let me know what you think forum members. Thank you.


Kevin_in_GA
4,542 posts
msg #118157
Ignore Kevin_in_GA
2/10/2014 3:30:16 PM

Try this:

Fetcher[
/* 3 MONTH STATS*/

SET{perf3, roc(63,1)}
SET{STD3, CSTDDEV(CLOSE,63)}
SET{VOL3a, STD3 / MA(63)}
SET{vol3, vol3a * 100}

SET{SHARPE3, perf3 / VOL3}
set{calmar3, roc(63,1) / MaxDD(63)}


SYMLIST(IWM,EFA,SPY,AGG,ivw,IVE)
ADD COLUMN SEPARATOR
add column sharpe3 {3 MONTH sharpe}
add column calmar3 {3 MONTH CALMAR}
ADD COLUMN ROC(63,1) {3 MONTH PERFORMANCE}
ADD COLUMN MAXDD(63) {3 MONTH DRAWDOWN}
ADD COLUMN VOL3 {3 MONTH VOLATILITY}
add column corr(spy,63, close) {correlation to S&P 500}

SORT ON COLUMN 8 DESCENDING
CHART-TIME IS 63 days
]



This is based on Mebane Faber's work on Tactical Asset Allocation. At the end of each month, be invested 100% in the top ranked asset class (this filter ranks based on absolute performance, but you can use any of the other risk-adjusted metrics as well).

Kevin

compound_gains
152 posts
msg #118160
Ignore compound_gains
2/10/2014 7:35:11 PM

Kinda like the performance of this variation...at least last year.

Fetcher[SET{lead1, close / close 6 months ago}
SET{lead2, lead1 - 1}
SET{leader, lead2 * 100}

SYMLIST(spy, iwm, efa, bnd)

ADD COLUMN SEPARATOR
ADD COLUMN leader
ADD COLUMN SEPARATOR
SORT ON COLUMN 6 DESCENDING
]



marine2
829 posts
msg #118161
Ignore marine2
2/11/2014 1:38:47 AM

Thank you both, Kevin, and Compound, in giving me choices to test, try, and hopefully make some money. You both responded quickly and that's what we like in our Forum. Happy and successful investing to you both.


Kevin_in_GA
4,542 posts
msg #118162
Ignore Kevin_in_GA
2/11/2014 8:00:20 AM

I use the 3 month look back period in my own 401k accounts. Every few months a re-optimize this for the best monthly period, looking back 5 years (a rolling window approach to make sure that the filter is optimized on more recent data). 3 months has been the top performer in terms of absolute equity gain, Sharpe ratio, and win percentage.

To see how it has done recently, you can see my backtest results at www.statisticalinvesting.com.

StockFetcher Forums · Filter Exchange · Monthly Filter?<< >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus