StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 22 23 24 25 26 ... 65 >>Post Follow-up
duke56468
683 posts
msg #97468
Ignore duke56468
11/13/2010 7:43:12 PM

Hi Kevin....For the year to date these four,(AGG,EEM,IVV,IWM) similar to you originals, do considerably better 10.8% monthly and 8.8% weekly, vs S&P 9.4% than do your new eight(AGG,GLD,IWM,MOO,TLT,UUP,VNQ,VWO)
2.2% monthly and -8.8% weekly vs S&P 9.4%. It seems difficult to find portfolios that do better weekly than monthly. Would your filter work similarly by changing the TSI(5,5,1) to monthly instead of weekly?

wkloss
230 posts
msg #97486
Ignore wkloss
11/14/2010 2:14:56 PM

Kevin,

Using ETFREPLAY, the following settings, semi monthly and your new 8 ETF portfolio, I get 39.8% 2010 YTD:


3 Months=30%

20 Days=30%

10 Days=40%

From the previous post by duke, I have noticed monthly or quarterly results being better in most cases. Quarterly trades also offer the opportunity to protect the position with protective puts and/or deep in the money covered calls.

Bill



duke56468
683 posts
msg #97489
Ignore duke56468
modified
11/14/2010 7:39:53 PM

wkloss......I only get 16.2% with those settings, in 2010, I must be doing something wrong, wouldn't be the first time.

edit...I see what I did wrong I didn't change the volatility days to 10.

Kevin_in_GA
4,550 posts
msg #97604
Ignore Kevin_in_GA
11/24/2010 6:24:52 PM

Please note that ETFReplay is using relative strength and NOT the RSI:

http://www.etfreplay.com/blog/post/2010/11/21/Relative-Strength-vs-RSI.aspx

This is basically just the price change in percent over the period selected - the ETF with the greatest price appreciation is ranked highest.

Extremely simple, extremely effective.

I still prefer using the weekly TSI, but their method works quite well. I have noticed that the weekly RSI(4) and the weekly RSI(13) usually rank order the same as the weekly TSI(5,5,1).

davesaint86
268 posts
msg #97736
Ignore davesaint86
12/2/2010 7:58:31 PM

ETFReplay is now charging $29.99 per month.

Dave

Kevin_in_GA
4,550 posts
msg #97752
Ignore Kevin_in_GA
12/3/2010 6:57:40 AM

Yes, but is anyone actually using their site to determine trades? I know we all like it, but I use the TSI system (IWM is up 6.5% since it was selected on 10/24, and VWO closed out up 7+% from the open on 10/13, and AGG was up 2.9% from the open on 5/10 until 10/10).

That means with just these three trades, you are up 17.2% since the open on May 10th. In comparison the SPY is only up 5.8%

davesaint86
268 posts
msg #97754
Ignore davesaint86
12/3/2010 8:36:10 AM

Kevin,

I mainly used the backtesting portion of the system. I'm very happy using TSI. In fact I subcribe to www.netsignal.com as a backup. I'm thinking about cancelling the subscription today even though it's only $10 per month. NetSignal has you out out of emerging markets, domestic stocks and international right now. What I like about ETFReplay and TSI is that you rotate into the highest TSI or RS (if you use ETFReplay). My 401k is up 13.10% this year. I wasn't able to rotate a few times as quickly as I wanted to becasue of the time restrictions that the plan states must be followed. Thanks Kevin for developing the filter.

Davesaint

duke56468
683 posts
msg #97761
Ignore duke56468
12/3/2010 9:30:48 AM

Kevin...You may have answered this else where, but in your back-testing did you assume entry and exit at the end of day rather than open the following day. I think ETFreplay used EOD. It can make a difference. Thanks for all your help.

Kevin_in_GA
4,550 posts
msg #97764
Ignore Kevin_in_GA
12/3/2010 10:18:35 AM

I have looked at both. To be honest, I have based my trading on the assumption that you exit from the current ETF at the close on the Friday the weekly TSI signal says to exit, and you enter the new trade at the opening on the following Monday.

In my real life execution of this, there is a delay of one or two days in the execution of any reallocation between funds (I use the ETFs as proxies for the different funds available for me). This is because I am using a Federal TSP plan for this trading account, which is notoriously slow. In my other accounts, the reallocations are executed at the close of business on the day the request is placed.

mahkoh
892 posts
msg #98656
Ignore mahkoh
1/19/2011 5:42:14 PM

401K filter says replace IWM with MOO

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 22 23 24 25 26 ... 65 >>Post Follow-up

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