StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 29 30 31 32 33 ... 65 >>Post Follow-up
mahkoh
890 posts
msg #102824
Ignore mahkoh
modified
10/4/2011 5:48:04 PM

I recently read Tim Ord's book on price and volume analysis in which he states that you should try and look for stocks in the strongest sectors, "the wind in your back". I think this filter might work very well in determining the strongest performers.
Fetcher[
symlist(xrt,xlp,xle,xlf,xlv,xli,xlb,iyr,xlk,ixp,xlu,
iyt,jjc,xme,xbi,xly,xhb,moo,kwt,oih,kol,gdx)

add column weekly roc(4,1) {1 month performance}
sort on column 5 descending
chart-time is 6 months
]




Once you have filtered for the strongest sector(s) use the next filter

Fetcher[
apply to sector (Computer And Technology)
/*Aerospace
Auto-tires-trucks
Basic Materials
Business Services
Computer And Technology
Conglomerates
Construction
Consumer Discretionary
Consumer Staples
Finance Industrial Products Medical Oils-energy
Retail-wholesale Transportation Unclassified Utilities*/


Average Volume(30) above 250000
add column weekly roc(4,1) {1 month performance}
sort on column 5 descending
chart-time is 6 months
]



where you copy and paste the top sector(s) in the symlist in order to get the strongest stocks within the strongest sector.

I changed the 13 week roc to 4 weeks as I think this may be better suited for shorter term trades. Any thoughts on this are greatly appreciated.




scott111552
148 posts
msg #102825
Ignore scott111552
10/4/2011 8:03:34 PM

This is very useful information....thank you for sharing.....you can also go to Insidestocks.com and view the strongest sectors
and stocks there as well.....

duke56468
683 posts
msg #102826
Ignore duke56468
10/5/2011 9:11:10 AM

Finviz will also do this for you under the GROUPS button which are then further broken down to companies with both financial and technical statistics. Very thorough and free.

Kevin_in_GA
4,541 posts
msg #102848
Ignore Kevin_in_GA
10/6/2011 4:36:33 PM

Not to derail this thread any further (as this is really designed to focus on asset classes rather than sectors within a given class), but this might be helpful for some:

http://blog.afraidtotrade.com/october-signals-from-the-sector-rotation-model/?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+afraidtotrade%2FNRSd+%28Afraid+to+Trade.com+Blog%29

Truth is, stay out of equities until several things happen:

1) the 14 week ROC for SPY or IWM is positive and leading the pack (i.e., outperforming less risky assets like bonds)

2) there is a shift in the sector relative strength such that offensive sector ETFs are outperforming the SPY

3) small and mid cap stocks begin outperforming large cap stocks.

All of these are good indicators of a "risk on" market, and can be used as indicators of overall market health.

jackmack
333 posts
msg #103123
Ignore jackmack
10/28/2011 8:29:19 AM

Kevin
Looking at your last two filters (401K and IRA variants) it would appear a change should be coming up for a rotation out of bonds and into equities - correct?
Please advise when you have a chance.
Thank you

Kevin_in_GA
4,541 posts
msg #103127
Ignore Kevin_in_GA
10/28/2011 10:17:05 AM

Possibly. The gap between BND and the nearest equity class (SPY) is still about 5.75%, which would mean that the SPY would have to move up at least 5% and bonds down about 1% for the change in leadership to occur. Historically this is unlikely, but more probable in Nov-May then May-Nov so we'll need to wait and see.

Since 5/20 BND is up 2.2% (from 81.32 to 83.14) while the SPY is down 4.2% (from 133.61 to 127.95). For the 14 week ROC to be above BND, next week the SPY will need to close above 136, which would give it a 14 week ROC of 2%. I doubt this would happen, but if the SPY closes above 132 by two weeks from today it will likely take the lead (nice thing about this filter is that you can reliably predict what key values will need to be for the leaders to change hands).

I tend to be a little more cautious, so if I see a cross over from bonds to equities that is not fairly big in gap (maybe 2% or more) I might wait a week to see a follow through. This just recognizes the movement from low-risk to higher risk. In the converse I would move immediately to lock in profit.

In short, it will happen when it happens. For me, I moved into bonds on 5/20, and ignored a short signal to move into EFA because I simply did not trust the European situation. Good thing I did as that trade lasted one week and lost 5%.



jackmack
333 posts
msg #103129
Ignore jackmack
10/28/2011 10:42:28 AM

As always you explain with great care and detail and I thank you for that.
This by far the best thread on SF.
Have a great weekend.
jackmack

davesaint86
265 posts
msg #103155
Ignore davesaint86
10/30/2011 12:42:56 PM

My 401k portfolio that I trade contains IWM, EFA, SHY and AGG. I left SPY out of the mix based on the backtesting results returned from ETF Replay since 2003. Currently using the 50/50 weighting ETF Replay is signaling a move to IWM on October 31st using the 50/50 weighting and its still showing AGG as the pick using the 40/30/30 weighting.

Thanks,

Dave

jackmack
333 posts
msg #103181
Ignore jackmack
11/1/2011 10:05:05 AM

Kevin
Quick question on this model - if the SPY moves up and replaces BND (this is hypothetical here - just asking) - wouldn't the gains in BND be wiped out as the SPY moved up (2% down in BND vs. 4-5% up in SPY) or is it the 14 ROC that makes the move from one asset class to the other therefore you could still possibly exit BND with a small profit once entering into SPY?
Sorry just trying to get my head around this in a present day manner (not back test results but how it would play out in real time).
Thank you
jackmack

Kevin_in_GA
4,541 posts
msg #103183
Ignore Kevin_in_GA
11/1/2011 10:44:00 AM

Honestly it is unlikely that BND will drop 2% - it's volatility is very low, which means slow gains and slow losses. The SPY volatility is much greater, so I would expect that if a change in leadership occurs between BND and SPY it will be because SPY moves up fast, and BND stays about where it is.

Translation - if a change occurs, you'll have made a few percent in BND with low volatility and many good night's sleep. Remember that no system gaurantees a profit on any trade. If you are trading in an IRA, you could set a stop loss at 82.50 or 83.00 and be sure of making a profit on the current BND trade.

As of this writing (about 10:30 AM) the difference in 14 week ROC betwen BND and SPY is about 6.5%. That is a lot of ground to make up under the current circumstances.

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