davesaint86
725 posts
msg #97248
- Ignore davesaint86 |
10/29/2010 11:10:10 PM
Hi Kevin!
I noticed that ETF Replyy allows you to test Bi-Weekly now using the Relative Strength Portfolio option Also for those of you that have IRAs or non-401 K accounts the following ETFs seem to produce good results backtesting in ETFReplay. Buy the top tow ETFs using the monthly signals at 50/50 since 2003 shows a return of 663%. However in 2010 Semi-Monthly returns a better result than monthly. The list below is the list that www.decisonmoose.com basically using. I added BIV and VWO.
symlist
(BIV,VWO,EPP,EWJ,GLD,IEV,IWM,SHY,TLT,ILF,SPY)
Also, the below strategy has worked pretty well buy buying the top ETF Semi-Monthly. ETFReplay shows since 2008 a gain of 135%.
BIV,DBA,EFA,GLD,IWM,IYE,SHY,TLT,VWO
I loaded both these lists using the TSI filter you built. For my 401k I use EFA, AGG, IWM, SHY.
-Dave
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duke56468
683 posts
msg #97326
- Ignore duke56468 |
11/4/2010 4:16:55 PM
Dave..........Could you explain your settings a little more on ETF RePlay? I didn't get even close to 663% back to 2003 with the symbols you shared. Did you use the standard 40/30/30 on the weighting? What was the 50/50 you mentioned? Thanks in advance.
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davesaint86
725 posts
msg #97331
- Ignore davesaint86
modified |
11/4/2010 11:02:35 PM
Duke
Time Period Weight
ReturnA 3-Months - 50%
ReturnB 20-Days - 50%
Volatility 20-Days 0%
Buy top two
Monthly
Since 2003
Total Return 704%
Symbols in Portfolio - BIV,EPP,EWJ,GLD,IEV,ILF,IWM,SHY,TLT,VWO
Current Top Two - EPP, GLD
Stock Fetcher Top Two - IWM, IEV (Using Kevin's WEEKLY TSI(5,5,1)
Just a note that for 2010 - buying Monthly has not done as well as buying bi-monthly in 2010.
Dave
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duke56468
683 posts
msg #97340
- Ignore duke56468
modified |
11/5/2010 10:30:29 AM
Thanks Dave I appreciate the response. If you use AGG in place of SHY it jumps to 747% with no loss in volatility.(2 basis points).
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ricks_stocks
35 posts
msg #97343
- Ignore ricks_stocks |
11/5/2010 3:55:40 PM
Duke & Dave, try this on ETFreplay.com
ReturnA 3-Months - 40%
ReturnB 20-Days - 30%
Volatility 20-Days 30%
Buy top one
Monthly
Since 2003
Symlist (ECH,EWA,EWH,EWK,EWM,EWN,EWO,EWS,EWT,EWW,EWY,GXG,SHY,THD,TIP,TUR)
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wkloss
231 posts
msg #97344
- Ignore wkloss |
11/5/2010 4:42:01 PM
ricks_stocks,
Try this one. ECH,EWA,EWH,EWS,EWT,EWU,GLD,IDX,PIN,THD,TLT,TUR,VNQ
Would anyone want to offer an opinion on how to avoid curve fitting when developing these lists of candidates?
Bill
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duke56468
683 posts
msg #97348
- Ignore duke56468 |
11/5/2010 5:42:11 PM
Interesting....has anyone back tested how you would do if you just picked the #1 rank each month off the screener?
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Kevin_in_GA
4,599 posts
msg #97349
- Ignore Kevin_in_GA |
11/5/2010 5:53:27 PM
How I would avoid curve fitting ...
1. Pick highly liquid ETFs
2. Pick different asset classes - a minimum of 6.
3. Determine the correlation between asset classes, and make sure that you are working with a set of relatively UN-correlated ETFs (meaning that as one set is going down, others might remain neutral or rising).
4. PIck a set of timings and test them since 2003, since 2007, and since the start of this year. Find the one or ones that give you consistent profit.
5. Stop optimizing, cross your fingers and start trading.
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duke56468
683 posts
msg #97350
- Ignore duke56468
modified |
11/5/2010 6:04:49 PM
Just a quick check from Jan1 2010 picking the best screener pick v.s. SPY is up 37% v.s. 11.7% for SPY. This is far less than ricks=63.8% or wkloss=70.2% for the same time. The only thing that was better was the volatility was lower.
EDIT.....ran it a second time and got 3 different ETFs that changed the score to 62.9% for the screener score, but with increased volatility. The ETFs I came up with were AMJ,EPU,FBT,GDX,GXG,IYC,PFF,PGF,UUP,VGLT
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ricks_stocks
35 posts
msg #97351
- Ignore ricks_stocks
modified |
11/6/2010 7:46:52 AM
I personally fell that bonds take care of any curve fitting and or correlation issues.
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