StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 25 26 27 28 29 ... 65 >>Post Follow-up
TraderMojo
16 posts
msg #99070
Ignore TraderMojo
2/13/2011 7:27:30 AM

Kevin,

Have you looked at a model of rotating among the best performing of a large pool of ETFs (for example, the 500 ETFs followed by ETFreplay)? I don't think you can create a backtest portfolio that large on ETFreplay, but it would be interesting to see how it would do. You'd be switching ETFs often, but you'd be riding all the high flyers.

Kevin_in_GA
4,553 posts
msg #99108
Ignore Kevin_in_GA
2/14/2011 3:12:54 PM

I think you would increase your frequency of trades, and not really be riding a trend (you'd likely be moving between multiple ETFs that basically trade in the same asset class, incurring commissions and fees without much added gain).

Just my opinion, though.

TraderMojo
16 posts
msg #99109
Ignore TraderMojo
modified
2/14/2011 4:12:00 PM

By the way, it's not too difficult to replicate the ETFreplay portfolio strategy in Excel. Haven't tried yet to simulate the backtesting in Excel, though.

mahkoh
894 posts
msg #99339
Ignore mahkoh
2/22/2011 4:15:34 PM

ROC 401K filter directed me back to IWM, so I sold MOO at market close on Friday. This morning I decided to not rush into IWM but stash the cash in SLV. Just for fun I decided to add SLV to the symlist and run the filter and guess what..


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

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







Kevin_in_GA
4,553 posts
msg #99346
Ignore Kevin_in_GA
2/22/2011 6:43:06 PM

Yup, silver has been on a tear (just ask Karen!).

Not a big surprise that it is outperforming almost everything of late. I would be careful as the price seems to be going parabolic.

mdmink
8 posts
msg #99381
Ignore mdmink
2/23/2011 5:21:38 PM

Kevin, as many others have said, thanks so much for sharing your work. This makes a lot of sense to me for the bulk of my savings. I've added some of the other iShares ETF's that Fidelity lets you trade for free, that seem to be a little less correlated. My question is the final resolution of what brought the best returns. A 50% - 50% split for the 2 highest momentum ETF's, or only 1, or splitting it over 3 of them. I've seen references to each of these approaches that were favored at some time or other during the history of this thread. Thanks in advance.

Kevin_in_GA
4,553 posts
msg #99422
Ignore Kevin_in_GA
2/27/2011 9:00:45 PM

I have only backtested holding the highest one, not the top 2 or 3.

If I were using the 25 or so commission-free ETFs from Vanguard, I would look at holding the top 10-15% (2 or 3).

If the top 3 are all basically the same (example - small cap growth, small cap value, mid cap growth) there may not be as much smoothing out rough bumps on the equity curve as you might hope for. Right now they are as follows:

VDE - energy stocks

VBK - small cap growth

VOT - mid cap growth

The last two are highly correlated, but overall the addition of VDE (and you could add in SLV if you are feeling lucky, as it has been ripping higher each week) gives you some decent diversification.

mahkoh
894 posts
msg #102117
Ignore mahkoh
modified
8/9/2011 5:23:20 AM

One of the few filters that still made money during the last month

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

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



jackmack
334 posts
msg #102226
Ignore jackmack
8/12/2011 10:20:46 PM

Kevin _ thank you so much for sharing your thoughts and ideas with us. Obviously you have a lot of individuals attention (including mine) - I think its awesome you are willing to share with us and not only help us be better investors but actually maybe help us attain or life's goal of beating the market (and with the help from your filters - maybe mighty handily).
I have one burning question for you - what filter are we using now - I am so confused.
The filter in the beginning of the thread had it at amazing rates of return since 2003 (north of 400%) and a compounded ROR in excess of 20-24%, but what about the newest filter or the one just prior to that - what are the annual rates of return and are the new filters just following current trends instead of just staying with the big three in the first filter?
Help - I am so confused.
I love your work and for someone to take as much time explaining this as you have says tons about your character as a person and the greatest thing anyone can do is teach others to be successful and you excel at that.
Thank you

Now please tell me which filter we are using :-)


wkloss
230 posts
msg #102275
Ignore wkloss
8/15/2011 3:27:07 PM

RE: Mebane Faber

In keeping with Kevin's comment that this is based on research by Mebane Faber, below is a link to Mebane's most recent white paper. Considering the recent roller coaster ride we have been on, it is very timely.

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1908469

The title of this paper is

Where the Black Swans Hide & the 10 Best Days Myth


StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 25 26 27 28 29 ... 65 >>Post Follow-up

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