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Kevin_in_GA
4,552 posts
msg #96887
Ignore Kevin_in_GA
10/13/2010 8:04:25 AM

Useful chart here - this shows the correlations between 31 different asset classes over the past year. Note how highly correlated the major markets have become. The most recent filter builds a smaller version of this at the 100 day correlation time frame.

Asset Class Correlation Matrix


blackthought
25 posts
msg #96914
Ignore blackthought
10/14/2010 2:31:11 AM

hey kevin, any new filters in the works? love your work.

Kevin_in_GA
4,552 posts
msg #97094
Ignore Kevin_in_GA
10/19/2010 2:45:33 PM

This afternoon, IWM passed VWO as the top ranked ETF using the weekly TSI(5,5,9) indicator. These two have moved in tandem recently (as have all of the asset classes), so today it was only the fact that VWO fell harder than IWM that triggered this signal.

I would always wait for the end of the week, since the system was developed and optimized against the weekly close for each asset class. Just a heads up that the signal change has occurred.

Kevin_in_GA
4,552 posts
msg #97095
Ignore Kevin_in_GA
modified
10/19/2010 4:47:45 PM

VWO has now moved below both SPY and the top scorer IWM. Its weekly TSI histogram(5,5,9) has also crossed below 0.

I'l be out of VWO tomorrow and move into IWM (since I can't trade GLD in my 401k account). I think the Histogram cross is a good signal for exit, as it can get you out with a little more profit.

This is of course running exactly counter to what I just posted about waiting until the end of the week!

duke56468
683 posts
msg #97100
Ignore duke56468
modified
10/19/2010 11:17:48 PM

Kevin when I run relative strength (at ETF Replay) on the portfolio
IWM,EEM,AGG against SPY since 2003 The best performance is 397% updating quarterly and the worst performance is 130% updating weekly all compared to spy of 53.7%. Do you think this longer wait on the updates would hold true for your TSI filter also? It is hard to sit and wait but back-test says it is best.

Kevin_in_GA
4,552 posts
msg #97106
Ignore Kevin_in_GA
10/20/2010 8:26:03 AM

No disagreement on this, but remember that etfreplay.com's calculation is based on a rank multiplied by your percentage allocation, not on the actual indicator value itself. Also based on RS rather than TSI.

I've looked at both, and both are profitable. I posted my data results for VWO, IWM, SPY, and AGG earlier but will post them here again for comparison.

Since 1/3/2007, the weekly TSI(5,5,9) method - buy the top scoring ETF, sell when another one beats it checking only weekly on Fridays - gives a 59.4% return through 8/27/2010 on 70 trades. It is now up about 8% from that point, so let's call it a 65% return to take into account yesterday's down day.

Using a weekly rebalancing method (I know you can use others as well, but this is what I am looking for in terms of timing and it allows for an apples-to-apples comparison) gives the following:

1 day RS: 102%
2 day RS: -2.9%
5 day RS: 55.3%
10 day RS: 25.1%
20 day RS: 42.5%
3 month RS: 57.5%
6 month RS: 94.1%

Interesting spread for the data. Some look great, but what concerned me here is the radical difference between a 1 day RS and a 2 day RS, then again with the 5 day RS. That type of variability makes me concerned that the system as it is used here is not all that robust.

As you know, I like the concept and originally posted it here. Since then, I have looked more at TSI and am happy with it for now.



duke56468
683 posts
msg #97108
Ignore duke56468
10/20/2010 9:28:23 AM

Thanks again for sharing all your hard work.

jnafach
74 posts
msg #97123
Ignore jnafach
10/20/2010 10:14:26 PM

Hey Kevin, I looked back on ETf and run it from early 2007 it did give better than the weekly approach you are looking at here, Am I missing anything. I agree with you that doing weekly feels better but that may not really works better.

It is similar to approach I was looking looking at allocating 20% between VTI, VEU, IEF, VNQ, DBC and use either cash for the 20% portion or buy ONLY if end of month cross over 45 weeks MA, giving 12% or so continuous wining averge.

I think you may want to lok at older approach as more frequent may not be better eventhough it sound this way

Kevin_in_GA
4,552 posts
msg #97129
Ignore Kevin_in_GA
10/21/2010 11:16:27 AM

VWO has now moved below both SPY and the top scorer IWM. Its weekly TSI histogram(5,5,9) has also crossed below 0.

I'l be out of VWO tomorrow and move into IWM (since I can't trade GLD in my 401k account). I think the Histogram cross is a good signal for exit, as it can get you out with a little more profit.

This is of course running exactly counter to what I just posted about waiting until the end of the week!

++++++++

Call me fickle - I am still in VWO because I decided to wait after seeing the futures looking green. Good thing I did. The TSI Histogram for VWO is back above 0, and at the moment it is again the top ETF (even beating GLD as I write this, according to SF delayed data).

My backtest data was for end-of-week, so that's what I guess I should be sticking to.

Kevin_in_GA
4,552 posts
msg #97176
Ignore Kevin_in_GA
10/24/2010 11:21:39 AM

IWM is the new top scoring ETF - was jumping back and forth between IWM, SPY, and VWO during the middle of the week.

Truth be told, all are still looking good, but the system says to go into IWM. With the election right around the corner, who knows what will happen ...

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