StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 21 22 23 24 25 ... 65 >>Post Follow-up
ricks_stocks
35 posts
msg #97352
Ignore ricks_stocks
11/6/2010 7:55:21 AM

how do you put a hyper link to another site in this thing?

four
4,012 posts
msg #97355
Ignore four
modified
11/6/2010 11:36:27 AM


To make a hyperlink::

< a href="http://www.google.com" > http://www.google.com < / a>



--- IMPORTANT:
1. Remove extra spaces between any of the less than and greater than signs, both sides of the characters.
2. Remove space between / and a

--- Note:
The HTML code you are writing for the link can be modified by Stockfetcher when editing a post. This means you will need to rewrite the HTML code, sometimes.

I look forward to your first hyperlink...


ricks_stocks
35 posts
msg #97356
Ignore ricks_stocks
modified
11/6/2010 12:30:52 PM

Copied you
http://www.google.com

ricks_stocks
35 posts
msg #97357
Ignore ricks_stocks
modified
11/6/2010 12:45:51 PM

goes to the web site... but not the screen I maid

correlation matrix

wkloss
230 posts
msg #97360
Ignore wkloss
11/6/2010 4:39:20 PM

Kevin,

"5. Stop optimizing, cross your fingers and start trading." Thanks to your research, I am trading using a 5 ETF version which is either developed by you or based on a 4ETF version you developed and a 13 ETF version (the one I listed in a previous post). Both are doing quite well. When you found and reported on ETFREPLAY, you did a great service for anyone who trades on at least a 30 day time frrame.

The 13ETF version backtests 1700+% since 2003; 500+% since 2007 and 70+% this year. I still feel it is curve fit. It contains emerging markets plus GLD. I will look at adding one more non correlated ETF to the 5ETF version. It doesn't backtest nearly as well as the 13ETF version but it doesn't feel curve fit.

You started with the concept of a 401k strategy but this looks good as any system I have ever seen.

I manually calculated the effect of margin on the 5ETF version quarterly. The returns were spectacular and the drawdowns were unacceptable. I am considering using an amount of $ equal to the margin interest to buy covered calls with at least an 80 delta. My thinking is that margin interest is always an expense no matter how the trade turns out. At least I could define the max loss from leverage and manage the risk.

Bill





jnafach
74 posts
msg #97413
Ignore jnafach
11/10/2010 1:28:16 AM

Hi wkless, in 13 portfolio, did you set to be monthly or biweekly also wasit 50% on 20 days and 50% on 3 mo in regard to relative strength or what criteria did you choose as cant reproduce your results

four
4,012 posts
msg #97417
Ignore four
11/10/2010 10:13:49 AM


ricks_stocks,

Suggestion: Click "Start A New Thread". Make your own thread with a good topic. Suggestion, Place it under "General Discussion".

Our discussion about links isn't appropriate for this Thread.

*--*-*-*-*-*


- Ignore ricks_stocks
modified 11/6/2010 12:30:52 PM

Copied you
http://www.google.com

------------------------------------------------------- Nicely Done
--------------------------------------------------------------------------------------------

ricks_stocks
msg #97357
- Ignore ricks_stocks
modified 11/6/2010 12:45:51 PM

goes to the web site... but not the screen I maid

correlation matrix


------------------------------------------------------- Depends on the site and the way it is setup
--------------------------------------------------------------------------------------------

wkloss
230 posts
msg #97422
Ignore wkloss
11/10/2010 4:06:37 PM

jnafach,

The 13 ETF portfolio was set up on 40/30/30 which is

Return A 3 Months 40

Return B 20 days 30

Volatility 20 Days 30

This was backtested to 2003 with the update schedule set to monthly.

Bill




wkloss
230 posts
msg #97461
Ignore wkloss
11/13/2010 2:10:06 PM

RE: ETFREPLAY Results

I noticed the results I got from my ETFREPLAY signals were different from the results ETFREPLAY shows.

I incorrectly assumed that I should wait until the close of the last trading day of the month, get my signal then enter at the open of the 1st trading day of the next month. ETFREPLAY assumes the next trade is entered at the close and closing price on the last day of the month.

This is a small point but being able to verify ETFREPLAY's numbers increases confidence in the system.

Bill

Kevin_in_GA
4,553 posts
msg #97466
Ignore Kevin_in_GA
modified
11/13/2010 6:17:25 PM

Here is a more recent version of the filter I am using, containing 8 relatively uncorrelated assets:

Fetcher[

SYMLIST(tlt,moo,uup,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(moo,100,Close)
and add column corr(tlt,100,Close)
and add column corr(uup,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)

]



I am not including SPY this time, since historically whenever SPY is a buy one can make better returns investing in IWM.

I added TLT and UUP as these are either inversely correlated or uncorrelated to most equities. Added in MOO to make sure that commodities other than metals are included.

Current selection is still IWM. I'll post a backtest of this filter later (YTD performance). I will suggest that other go to ETFReplay.com, use the same ETFs, and see if there are settings that do better (I have not done this yet, but am always open for a gentlemen's challenge).

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