StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 2 3 4 5 6 ... 65 >>Post Follow-up
sbuck143
88 posts
msg #92012
Ignore sbuck143
5/3/2010 9:28:30 PM

I did not realize SF let me do that with the offsets. I'll analyze it more tomorrow.

And oh yeah, I wasnt trying to invalidate anything. This is a great approach, Kevin, and seems like you and the ETFreplay guys were in sync the whole time!

One thing that is interesting to note though is that I've yet to find an instance where "rebalancing" weekly gave a better result than rebalancing monthly (at least per ETFreplay's tester). It seems like you'd be able to get in and out quicker without the delay of waiting for a month before you look at things again, but it doesn't pan out that way.

hmsb4494
62 posts
msg #92014
Ignore hmsb4494
5/3/2010 10:11:35 PM

Kevin_in_GA
- Ignore Kevin_in_GA 5/3/2010 9:01:52 PM

2.07% per month, 29.32% annual.
------------------------------------------------

at the risk of looking like an idiot, how is this figured???

Kevin_in_GA
4,544 posts
msg #92016
Ignore Kevin_in_GA
modified
5/3/2010 11:52:32 PM

http://www.investopedia.com/rotate.aspx?sp=0&backurl=http%3A//www.investopedia.com/calculator/CAGR.aspx

starting amount 100000
ending amount 604600
periods (for months = 88, for years = 7)

jnafach
74 posts
msg #92023
Ignore jnafach
5/4/2010 7:38:19 AM

By the way guys, Fidelity.com offers trading on 25 ETF from them IWM and EEM for free so there is no cost whatsoever for trading

jnafach
74 posts
msg #92024
Ignore jnafach
5/4/2010 7:42:44 AM

There was a study where tried to buy top 10 holding in berkshire hathaway and keep rotating which did better than BRK.A, now I wonder if we apply same on all their holdings and see if get better income than it and low risk

Kevin_in_GA
4,544 posts
msg #92025
Ignore Kevin_in_GA
5/4/2010 8:08:10 AM

And oh yeah, I wasnt trying to invalidate anything. This is a great approach, Kevin, and seems like you and the ETFreplay guys were in sync the whole time!
++++++++++++++++++++++++
As a scientist, I love it when others challenge any data in a rigorous fashion - the goal is to validate and possibly improve on a system, from which everyone can benefit. Thanks for doing this.


One thing that is interesting to note though is that I've yet to find an instance where "rebalancing" weekly gave a better result than rebalancing monthly (at least per ETFreplay's tester). It seems like you'd be able to get in and out quicker without the delay of waiting for a month before you look at things again, but it doesn't pan out that way.
+++++++++++++++++++++

Me neither. My original assumption was that weekly rebalancing would let you catch trends faster, but it ends up that you simply get whipsawed more.

EDIT: I just found one instance - set the relative strength timeframe to 100% on 20 days, EEM,IWM, and SHY. Looks like rebalancing weekly will improve your results when you timeframe for RS is shorter. However, this approach returns, at best, only half of the return using the 50/50 split and trading once monthly.

sbuck143
88 posts
msg #92026
Ignore sbuck143
modified
5/4/2010 8:24:50 AM

My one concern with this is since it is date related for entry / exit, that we may see wildly different results depending on what day of the month you decide to rebalance. Their tester is based on 1st day of the month rebalancing

1st of the month re-balancing, will surely give you different results than 15th of the month, which will differ from 10th of the month, etc. And as we all know with Black Monday, Sep 2008, Sep 2001, etc, all it takes is being in or out on a single day to have a massive effect on your equity curve.


EDIT:

I'm seeing some interesting results with bigger timeframes for the Relative strength testing.....try 6 months and 3 months (with a monthly rebalancing) with some of the combos!




guymar
113 posts
msg #92027
Ignore guymar
5/4/2010 8:48:34 AM

I included DBC, OIL, EEM, SPY, IEV, SHY, SH, DOG, PSQ, EUM to have coverage of all situations (boom in Oil, growth pickup in Europe first, emerging economies first, commodities first, also to be able to benefit from short situations) and obtained over the period June 2006 to now 26 796 USD with an initial 10 000 USD portfolio.

This is a compound annual rate of 27,94% during a huge crisis. Furthermore it's possible to optimize this and avoid some losses by using Fibonacci turn dates and going cash during that month. In that case the portfolio really triples.

What is even more interesting is that these ETF's are liquid, so there is very little slippage (except in the ETF's themselves) and the entire thing does not take a lot of time....

Bravo to everyone here, if I can find an indicator to improve results, I'll let you know....

Kevin_in_GA
4,544 posts
msg #92028
Ignore Kevin_in_GA
5/4/2010 8:52:30 AM

All of my calculations (and those from etfreplay.com) are done on the last trading day of the month for both buying and selling. The monthly close is used for backtesting.

guymar
113 posts
msg #92029
Ignore guymar
5/4/2010 9:16:40 AM

In my case: first trading day of the month, at the close.

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