StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 27 28 29 30 31 ... 65 >>Post Follow-up
Kevin_in_GA
4,552 posts
msg #102450
Ignore Kevin_in_GA
8/24/2011 7:28:54 PM

Close - the ranking code would now look like this:

SET{RANK1EE, RANK1A + RANK1B}
SET{RANK1FF, RANK1C + RANK1D}
SET{RANK1GG, RANK1E + RANK1F}
SET{RANK1HH, RANK1G + RANK1H}
set{rank1ii, rank1ee + rank1ff}
set{rank1jj, rank1gg + rank1hh}
set{rank1kk, rank1ii + rank1jj}
SET{RANK, 8 - RANK1kk}

That way you are summing all 8 ETF relative ranks.

jackmack
334 posts
msg #102469
Ignore jackmack
8/26/2011 8:01:53 PM

Kevin
It would appear as thought it is GLD on Monday with TLT in a close second.
Correct?


Kevin_in_GA
4,552 posts
msg #102471
Ignore Kevin_in_GA
8/26/2011 9:27:03 PM

Yes, both clearly "risk off" plays. However, jumping in without a re-allocation signal is not how the system's performance was determined. I think either of these are good trades right now, but both have been riding an up trend (GLD since 4/15, now up about 22%).

mahkoh
894 posts
msg #102473
Ignore mahkoh
8/27/2011 1:48:31 PM

Agree with Kevin, get into GLD now you'll risk picking the top. Better wait until the system generates a new number one and then step in.

jackmack
334 posts
msg #102476
Ignore jackmack
8/27/2011 8:54:39 PM

Kevin
What if one were just starting to use this filter (that would be me)?
Thanks

guru_trader
485 posts
msg #102479
Ignore guru_trader
modified
8/28/2011 12:56:37 AM

so, with mahkoh's + kevin's correction it would be this?

Fetcher[
/* Basic Filters */
symlist(iwm,vwo,vnq,moo,agg,tlt,uup,gld)
chart-display is weekly
chart-time is 26 weeks
sort on column 7 ascending

/* 14 week performance as rank variable */
set{perf, weekly roc(14, 1)}
set{perf2, perf/100}
set{rfr, ind(^irx, close)}
set{riskfreereturn, rfr/100}
set{perf14, perf - riskfreereturn}
set{std14, cstddev(weekly close, 14)}
set{vol14, std14 / weekly ma(14)}

/* calculation of sharpe ratio - annualized */
set{sharpe14a, perf2 / vol14}
set{sharpe14, sharpe14a * 0.5189}
add column sharpe14 {sharpe ratio}

set{var1, weekly roc(14,1)}
set{var1a, ind(vwo, var1)}
set{var1b, ind(iwm, var1)}
set{var1c, ind(vnq, var1)}
set{var1d, ind(tlt, var1)}
set{var1e, ind(gld, var1)}
set{var1f, ind(uup, var1)}
set{var1g, ind(moo, var1)}
set{var1h, ind(agg, var1)}

set{rank1a, count(var1 is above var1a,1)}
set{rank1b, count(var1 is above var1b,1)}
set{rank1c, count(var1 is above var1c,1)}
set{rank1d, count(var1 is above var1d,1)}
set{rank1e, count(var1 is above var1e,1)}
set{rank1f, count(var1 is above var1f,1)}
set{rank1g, count(var1 is above var1g,1)}
set{rank1h, count(var1 is above var1h,1)}

set{rank1ee, rank1a + rank1b}
set{rank1ff, rank1c + rank1d}
set{rank1gg, rank1e + rank1f}
set{rank1hh, rank1g + rank1h}
set{rank1ii, rank1ee + rank1ff}
set{rank1jj, rank1gg + rank1hh}
set{rank1kk, rank1ii + rank1jj}
set{rank, 8 - rank1kk}
add column separator
add column rank {current rank}
add column separator

add column weekly roc(14,1) {14 week performance}
add column corr(^spx,70, close) {correlation to s&p 500}
]



wemj06
2 posts
msg #102482
Ignore wemj06
8/28/2011 9:42:56 AM

So guys how is this filter working for you. Results?

SAFeTRADE
413 posts
msg #102483
Ignore SAFeTRADE
8/28/2011 9:58:18 AM

Kevin how are you figuring in the expense ratios for the funds included in this filter.

jackmack
334 posts
msg #102488
Ignore jackmack
8/29/2011 10:23:36 AM

Glad I followed the system at the open and did not put GLD on.
Just an also ran - Barron's over the weekend did a piece and sees gold correcting back down to the $1,500 area (ouch)
maybe even a little lower before it's all said and done with.
I believe the system - equities can run a little further but Europe is still a mess so BND it is.
Thanks Kevin

Kevin_in_GA
4,552 posts
msg #102513
Ignore Kevin_in_GA
8/30/2011 1:59:24 PM

Important to note - the 14 week timing is based on AGG (or BND), IWM, SPY, and EFA. Adding in GLD would likely result in a slightly different timing signal.

Kevin

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 27 28 29 30 31 ... 65 >>Post Follow-up

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