StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 23 24 25 26 27 ... 65 >>Post Follow-up
Kevin_in_GA
4,538 posts
msg #98661
Ignore Kevin_in_GA
1/19/2011 9:12:53 PM

Yes, but you should wait until the end of the week (Fridays). The weekly TSI is not finalized until then, and all of the backtesting was on finalized data, not mid-week.

I would look more closely (and this is what I have been doing lately) at the simple 13 week roc:

Fetcher[

symlist(iwm,vwo,vnq,moo,agg,tlt,uup,gld)

add column weekly roc(13,1) {3 month performance}
sort on column 5 descending

]



This is based on the work of Mebane Faber, and in my backtesting it did quite well. Currently still indicating that IWM is the right call. I look at both of these indicators and for quite a while now they have been signaling IWM (I'm up over 9% on this call since 11/13, even after today's 2.5% drop).

mahkoh
890 posts
msg #98928
Ignore mahkoh
2/5/2011 1:24:21 PM

Both 401K and the variation with ROC say: "sell IWM, buy MOO".

TraderMojo
16 posts
msg #98963
Ignore TraderMojo
2/8/2011 6:02:02 PM

Kevin,

Awesome filter! How does the backtesting performance of your weekly TSI compare to the ETFreplay methodology? I'm deciding whether to pay up for ETFreplay.

Kevin_in_GA
4,538 posts
msg #98979
Ignore Kevin_in_GA
2/9/2011 6:08:53 AM

Both approaches work, and have merit. The ETFReplay approach uses both performance and volatility rankings to make their selection, where the TSI or ROC approaches shown here use only performance.

This is why I have been requesting additional functions from SF such as a rank function or one that automatically calculates the Sharpe ratio for a user-specified time period. So far no progress on either front.

In my opinion, ETFReplay provides a valuable service worth the money. I personally use the methods listed here so I have not subscribed yet (and may never subscribe - not sure if I need to given that I am comfortable with this approach).

While ETFReplay and I use different means, the end is the same - to use relative strength as a guide for investment.

Please also check out www.ETFscreen.com - great site that uses relative strength as well, is currently free, and let's you set up personal portfolios. Backtesting is not nearly as good as ETFReplay, but their thinking, approach, and the volume of data they provide for free is worth evaluating.

Kevin

TraderMojo
16 posts
msg #98994
Ignore TraderMojo
2/9/2011 5:35:18 PM

What method do you use to backtest the RSI filter? Can the SF backtester do this (and if so, what settings)?

dune
4 posts
msg #98997
Ignore dune
modified
2/10/2011 3:58:07 AM

Kevin_in_GA

"Both approaches work, and have merit. The ETFReplay approach uses both performance and volatility rankings to make their selection, where the TSI or ROC approaches shown here use only performance.

This is why I have been requesting additional functions from SF such as a rank function or one that automatically calculates the Sharpe ratio for a user-specified time period. So far no progress on either front. "

*******************************************************************************************************************************

First Kevin, a Thank-You for all your contributions on this forum! Your efforts are truly appreciated.

When you mention the ETF Replay vs. your TSI/ROC weekly returns, what settings are you using on ETF Replay to give similar results/returns to your scans on Stock Fetcher?


1) Have you "curve fitted" the ETF Replay input data to match your results on SF, or

2) Are you using the default ETF Replay settings:

-Return A........3 month - 40%
-Return B........20 days - 30%
-Volatility.........20 days - 30%

3) Or are you using custom settings on the 3 input boxes on ETF replay?


Just curious as I have been playing a bit with the ETF Replay settings when trying to set up a weekly relative strength trading strategy (as you are currently using in your accounts as you've mentioned previous) and am interested in your current thoughts. Any insight you can provide on the ETF Replay setting you have found to be beneficial would be appreciated.

Also I agree 100% the best result would be for Stock Fetcher to write a syntax code for volatility adjustment that could be put into scans.

My personal preference would be a Sortino ratio over the Sharpe ratio given its focus on DOWNSIDE vs TOTAL volatility ..... there is no reason why they could not offer a number of different volatility syntax codes.

The benefit would be substantial and I hope others will press them to do so as you've done.

Cheers!

oldsmar52
104 posts
msg #99004
Ignore oldsmar52
2/10/2011 10:21:22 AM

Could someone help, am confused:
1) The most recent filter being used is on Page 23, correct?
2) You get in the ETF based on what indicator?
Sorry, am dead after reading all 25 pages of thread & thanks for any help!!

oldsmar52
104 posts
msg #99005
Ignore oldsmar52
2/10/2011 12:26:08 PM

After taking a break I think it is: run after close on Friday & buy (or keep) the highest tsi? Thanks

duke56468
683 posts
msg #99006
Ignore duke56468
modified
2/10/2011 3:08:46 PM

Kevin.....The outcome differs for the ROC(13) and the TSI(5,5,1) do you favor one over the other as a weekly trading indicator?

mystiq
650 posts
msg #99014
Ignore mystiq
modified
2/10/2011 10:55:27 PM

???

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 23 24 25 26 27 ... 65 >>Post Follow-up

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