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Kevin_in_GA
4,548 posts
msg #96030
Ignore Kevin_in_GA
9/5/2010 9:13:23 PM

Dave:

I posted this late last year:

http://forums.stockfetcher.com/sfforums/?q=view&fid=1001&tid=83233&qrid=&isiframe=

This portfolio has returned 46.35% since 11/17/2008. My guess is that if one used asset rotation on this, shifting the percentages invested in each to reflect the relative ranking of the assets, it would have done much better.

Even as a buy-and-hold portfolio, it has done phenomenally well given the volatility of the period over which it was held.

Kevin_in_GA
4,548 posts
msg #96050
Ignore Kevin_in_GA
9/7/2010 7:06:57 AM

Here is the most recent iteration of the filter I am using - stripped down a bit from the original, but it now includes a correlation matrix of the assets so that you can see whether or not you have a properly diversified set of ETFs.

Like this particular version, as it shows the cross-correlation of the asset classes clearly. I have added in GLD and VNQ to provide more options for others - I do not have these assets as funds in which I can invest in my own 401k, though.

AGG still the leader, with GLD moving up - what does that tell us?

Fetcher[

/*MANAGING YOUR 401K USING INTRINSIC STRENGTH AND ASSET ROTATION*/

SYMLIST(SPY,IWM,VWO,AGG,VNQ,GLD)

ADD COLUMN SEPARATOR
ADD COLUMN WEEKLY TSI(5,5,1) {WEEKLY TSI(5,5,1)}
ADD COLUMN SEPARATOR
and add column corr(agg,100,Close)
and add column corr(gld,100,Close)
and add column corr(iwm,100,Close)
and add column corr(spy,100,Close)
and add column corr(vnq,100,Close)
and add column corr(vwo,100,Close)


SORT ON COLUMN 1 ascending

CHART-DISPLAY IS WEEKLY
CHART-TIME IS 26 WEEKS
DRAW WEEKLY MA(40)
]



davesaint86
268 posts
msg #96065
Ignore davesaint86
9/7/2010 7:25:30 PM

I do not know if you ever read this book. There is enough information on this site to understand it without buying the book. If you want to access the online supplement the id is Perfect and the password is Portfolio.

Thanks,

Dave

davesaint86
268 posts
msg #96067
Ignore davesaint86
modified
9/7/2010 7:37:52 PM

If the below buy and hold strategy (equal weighted) averages a little over 7% per year, year after year I wondering if buying on the dips using the filter can help you gain another 1-3%. I do not know if there is a way to proof it. My wife and I have non 401k/IRAS funds to invest and instead of investing the funds in a Money Market I was thinking something more like this strategy. Would buying on the dips work better or using timing work better?

(I posted this awhile back. I do not remember where I got this from , the gist of the strategy)
I haven't tested this filter. This may work well for restrictive 401k Plans. You might be able to use to swing trade also. Have any suggestions to make it better.


The 2 Accumulation Buy Points are computed based on a formula which uses each stocks individual Average Range over the previous 20-Day Period. T
Before you begin any Dollar-Cost-Averaging Accumulation Plan on a stock you think will will RECOVER in the future, you should wait for two very important Macro Technical Signals off the WEEKLY CHART. This will help you prevent initiating the investment process prematurely. Make sure that your stock is trading ABOVE its own 30-Week simple moving average and that it has cleared the MAJOR DOWNWARD OVERHEAD RESISTANCE LINE before you switch to the daily timeframe to start using the Pivot High Calculator.

Dollar-Cost-Averaging Accumulation Plan Purchasing Stocks - Rules

he Investment Stock Recovery Process can be summerized in the following 4 statements.
1.) Know when to start using the Weekly Macro Techincal Confirmation.
2.) Use a go slow Dollar Cost Average process to feed money into your stock vs. lump summing your position all at once. The Pivot-High Calculator helps you compute the best entry prices.
3.) Know when a recovery stock is not performing and when you should consider pulling the plug on the position.
4.) Diversify your stock porfolio across several stocks (3-5 is ideal) in order to increase your odds of being in stocks that perform as well as to reduce the risk that any individual stock has on your entire portfolio should there be a adverse price move against you.

Only continue your Dollar Cost Averaging Investiment Strategy as long as the stock is above the sloping 30-Week Moving Average.

Cut your Position in Half by Placing a 3.0% Stop Loss Below the 30-Week SMA. (On a 7% drop below the 30-Week you should consider closing out the remainder of your positions)




Fetcher[Apply to Symlist
symlist(AGG,SHY,,BSV,GLD)


and draw CCI (20) line at 100.00 and draw CCI (20) line at -200.00
and draw Slow Stochastic(5,3) Fast %K line at 20.00 and draw Slow Stochastic(5,3) Fast %K line at 80.00
and draw Slow Stochastic(5.3) Fast %K line at 50.00
and draw MACD Fast Line(12,26) line at 0
draw rsi(2) line at 70
draw rsi(2) line at 10
and draw MA(130)
and draw average volume(90)



and do not draw MA(10)
and do not draw MA(20)
and do not draw MA(200)

Set{ATR300, ATR(45) * 4.00}
Set{ATR400, ATR(45) * 8.00}
Set{ATR650, ATR(45) * 12.00}

Set{Buy1, high 45 day high - ATR300}
Set{Buy2, high 45 day high - ATR400}
Set{Buy3, high 45 day high - ATR650}

and add column separator
and add column atr(45) {ATR}
and add column separator



high 45 day high
low 45 day low

add column RSI(2)
add column separator
add column MA(130)
add column separator
add column high 45 day high {45d-H}
and add column separator
add column low 45 day low {45d-L}
and add column separator
and add column Buy1
and add column separator
and add column Buy2
and add column separator
and add column Buy3


sort column 8 ascending
]



ricks_stocks
35 posts
msg #96068
Ignore ricks_stocks
9/7/2010 8:45:03 PM


"Here is the most recent iteration of the filter I am using"

Pardon my ignorance but what within your latest iteration signifies the dominant ETF.


dmstcp
2 posts
msg #96069
Ignore dmstcp
9/7/2010 10:18:19 PM

AGG still the leader, with GLD moving up - what does that tell us?

I believe that it tell's us that the filter is sorted incorrectly.


Radiomuse
288 posts
msg #96081
Ignore Radiomuse
9/8/2010 1:36:14 PM

Tough crowd! To a guy that creates so many great filters, I think we can forgive and even correct a small oversight with the coding change "sort column 3 descending".

The dominant fund is now signified by the highest TSI value. I don't really understand the calculation behind the True Strength Indicator, except I think it measures an investments performance and momentum against it's own history.

Kevin - did you manually backtest the weekly TSI strategy, or can it be done via SF, ETFreplay, or something else?

Great work with this thread - safe travels!

ricks_stocks
35 posts
msg #96085
Ignore ricks_stocks
9/8/2010 4:13:23 PM

Thanks, Radiomuse
My question was sincere and was in no way meant to be derogatory. I to appreciate the work Kevin does and look forward to his work in the future.


Kevin_in_GA
4,548 posts
msg #96086
Ignore Kevin_in_GA
9/8/2010 4:59:20 PM

AGG still the leader, with GLD moving up - what does that tell us?

I believe that it tell's us that the filter is sorted incorrectly.

+++++++++

Honestly??

The new filter is sorted correctly - in alphabetical order from A to Z. Why? So that the corresponding columns form a properly positioned correlation matrix, with each ETF self-correlation on the major diagonal.

I fully expect that anyone using this filter can manually find the highest of the 6 values. The purpose of the new filter is to maintain and update the CORRELATION MATRIX so that you can be sure that you have a properly diversified set of asset classes from which to work.

The fact that the top ETFs are GLD and AGG tell me that caution is warranted. I cannot trade GLD or VNQ in my 401k, but included them here to help others who might be using this as an investment tool. Until VWO or another equity class scores higher than AGG, I will stay happily in Fixed Income.



Kevin_in_GA
4,548 posts
msg #96158
Ignore Kevin_in_GA
9/10/2010 5:59:47 PM

This indicator says it's time to move into GLD - or Emerging Markets if you are using this in a typical 401k.

Both have done quite well of late. The time one has spent in AGG (since 5/7) has netted you 3 precent, with essentially no risk or volatility. I will be shifting my allocation to Emerging Markets on Monday in the 401k I am managing by this method.

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