StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 31 32 33 34 35 ... 65 >>Post Follow-up
davesaint86
265 posts
msg #103358
Ignore davesaint86
modified
11/15/2011 1:30:43 PM

Something like this. However, this filter probably weights 33%, 33%, 33% instead of 40%, 30%, 30%.


Usage Historical Volatility(period,trading period)
Description Historical volatility uses the standard deviation of a stock's price to measure the volatility of the stock. Additionally, historical volatility is often expressed in daily, weekly or monthly terms

Fetcher[
symlist(AGG, SHY, SPY, IWM, EFA)
set{alpha, relative strength(SPY,20) + relative strength(SPY,63) + Historical Volatility(SPY,20,1)}
add column alpha
sort on column 5 descending

]



davesaint86
265 posts
msg #103373
Ignore davesaint86
11/16/2011 4:25:26 PM

I know this is wrong. Trying to set the ETFReplay 40/30/30 settings using Stockfetcher.

Fetcher[
symlist(AGG, SHY, SPY, IWM, EFA)

Set{3MRS, relative strength(SPY,63)*.40}
Set{20DRS, relative strength(SPY,20)*.30}
Set{20HV,Historical Volatility(20,1)*.30}


set{alpha, 20HV + 20DRS}

set{alpha1, alpha + 3MRS}

add column 3MRS
add column 20DRS
add column 20HV

add column alpha1


sort on column 8 descending
]



jackmack
333 posts
msg #103385
Ignore jackmack
11/17/2011 10:22:17 AM

Kevin
Have you run this same filter in StrataSearch?

jackmack
333 posts
msg #103386
Ignore jackmack
11/17/2011 11:02:00 AM

Kevin - sorry I meant to ask if you have run the ones I requested the "equity curve and stats snapshot" for
the first filter (original) and then the last two (the IRA and then 401K) in StrataSearch.
Thank you
jackmack

Garrett1410
15 posts
msg #103481
Ignore Garrett1410
modified
11/26/2011 3:21:47 PM

A Case for Options: I took three different scenarios. Used Options with ..82-.91 Delta and the results are real close to the ones Kevin Posted.






Given the total max outlay was 21840 and average is much less, this means you can have these results on 21,000 or less
sending the risk/reward and volatility to more than acceptable levels. I estimated the option cost using at least one month from date expiration allowing the option to expire after the 1st. Using the Delta of between .85 and .90, I determined the appropriate in the money strike. and subtracted that from the share price at time of comparison. I then added appropriate excess of intrinsic value to the in the money amount to determine an approximate price of the option. Additionaly, I did not calculate the additional returns by putting the cash balance into short -term interest/bond accts.

See Below

From Kevin's post of 5/2

Garrett1410
15 posts
msg #103482
Ignore Garrett1410
11/26/2011 3:45:16 PM

Big Win
EEM
9-Apr
Cash 122067
Share Price 24.8
Shares 5687
Options 56
Strike 21
Cost 3.9
tot Cost 21840
Cash Bal. 100227
Change 0.1565
Dollar chg 3.8812
End Price 28.6812
Strike 21
Opt Val 7.68
tot Val 43008
Tot Cash 143235
Kevin 141061

Minor win
SHY
8-Jul

Cash 123833
Share Price 82.76
Shares 1496
Options 15
Strike 81
Cost 1.85
tot Cost 2750
Cash Bal. 121083
Change 0.0047
Dollar chg 0.38
End Price 83.14
Strike 81
Opt Val 2.14
tot Val 3223
Tot Cash 124306
Kevin 124414

Big Loss
IWM
8-Sep
Cash 128856
Share Price 74.93
Shares 1719
Options 17
Strike 67
Cost 8.48
tot Cost 14400
Cash Bal. 114456
Change -0.075
Dollar chg -5.8
End Price 69.12
Strike 67
Opt Val 2.12
tot Val 3608
Tot Cash 118064
Kevin 118870


gmg733
619 posts
msg #103485
Ignore gmg733
modified
11/26/2011 7:09:10 PM

Try a leap to mitigate theta and sell some upside for hedge or theta adjustment. Call calendar bull spread or possibly a poor mans covered call.

Bid/ask spreads if I recall start to widen as you go too deep in the money and your losing gamma. I realize it is a delta trade, but with deltas that high I would prefer to own the underlying and sell calls against it.

Volatility is another concern that a hedge would help mitigate.

jackmack
333 posts
msg #103561
Ignore jackmack
12/1/2011 8:41:39 AM

Kevin
Using the filter for the 14 week performance - IWM has now moved to the top spot and SPY is now second.
A beautiful thing to see :-)
On the IRA filter though - TLT still has the top spot but I am sure as time passes this month there will be
a leadership change (I guess just monitor on the weekly basis as this filter allows and make changes accordingly).
I mainly just wanted to show the updates for those that have not been monitoring these filters and to thank you again
for all of your work on these.
jackmack

Kevin_in_GA
4,542 posts
msg #103562
Ignore Kevin_in_GA
12/1/2011 9:09:09 AM

Yes, but on the 3 month lookback (using monthly closes rather than weekly) SPY is the leader, IWM second, BND third, and no surprise, EFA last.

The 3 month lookback has been a more consistent performer over the last 7 years of backtesting - almost 80% win rate with fewer trades and a higher total equity accumulated. In this filter you only trade on the first day of each month, based on the past 3 months of performance.

Truth be told, this week was like a sugar junkie on adrenaline - BND was the clear choice until yesterday when the markets went wild. I still think that the amount of risk in Europe and China is too high. I'm going to wait until Friday at the earliest. Might be able to get into SPY at a lower price since a pullback is highly likely after such a vertical move.

jackmack
333 posts
msg #103563
Ignore jackmack
12/1/2011 9:14:56 AM

Kevin
Which filter is the 3 month look back?
I was using your last filter on pg28 for the 401K data.
Please advise
Thank you
jackmack

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 31 32 33 34 35 ... 65 >>Post Follow-up

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