StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 32 33 34 35 36 ... 65 >>Post Follow-up
jackmack
333 posts
msg #103688
Ignore jackmack
12/8/2011 3:16:09 PM

Kevin
Any chance you have worked on the data for the "equity curve and stats snapshot"
for the two filters (401K and IRA)?
Thank you

blumberg
27 posts
msg #103720
Ignore blumberg
12/12/2011 12:01:53 AM

I'm new to this thread and have the same question as Jack. I was going to use the filter on pg. 28.......but per Kevin's post on pg. 33, I'm wondering where the filter is for the 3 month lookback?

----------------------------------------
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

jackmack
333 posts
msg #103805
Ignore jackmack
12/15/2011 11:48:20 AM

Kevin
Quick question for you, what is the software you are using to create the "Variable Trade Equity..." spread sheet?
Is it something you created?
Is there anyway/anywhere to get a copy?
I won't bug you again about this I promise - I guess this is just what I have been asking about in earlier posts
and can completely understand how busy you must be and respect that.
Thank you

Kevin_in_GA
4,544 posts
msg #103809
Ignore Kevin_in_GA
12/15/2011 4:39:52 PM

Stratasearch - www.stratasearch.com

Great tool, and you can play with it free for a month. I use it to develop new concepts and to track/optimize trading systems.

I'll get around to comparing the systems you asked for. Been a low priority since I have spent that tijme putting together my web site (www.statisticalinvesting.com).

I'll compare the best daily, weekly, and monthly times - I think the 3 month timing will win out, follwed by the 14 week, then something like 75 days.

davesaint86
268 posts
msg #103835
Ignore davesaint86
12/17/2011 11:20:06 AM

Kevin,

I like your new website. It is clean and well laid out. I do have a question about you TAA table under Current Selection.
Your current selection as of 12/14 is SPY. However, as of December you are showing IWM as the #1 rank. Since it is a weekly system I assume IWM was the selection at that time, but since it's a weekly system SPY has taken over. Also, have you tested SPLV (Low Volatility S&P)? It costs .25 and it's up 2.5% for the year.

http://finance.yahoo.com/news/A-700-Million-Low-Volatility-indexuniverse-1591775323.html?x=0

Dave

Kevin_in_GA
4,544 posts
msg #103892
Ignore Kevin_in_GA
12/20/2011 1:31:57 PM

Dave:

I thought that might be confusing. The explanation is that at the end of November a switch from BND to SPY was triggered. Therefore in December you are invested in SPY.

But ... with the roll over to a new month, the system begins to show you what the call will be for the end of December. This will be what you will re-allocate to at the end of this month. Kind of confusing, since it looks like you should be buying IWM now. However, SPY was the call at the end of last month, and it looks like IWM will be the call for next month.

Hopefully that clarifies things.

jackmack
333 posts
msg #103896
Ignore jackmack
12/20/2011 2:47:18 PM

Explained perfectly - thank you Kevin.
Also - love your web site - very nice and clean, well laid out and easy to navigate.
Very much like the breakdown between different models.
Thank you for sharing.
I am looking forward to how the effort of combining the two models (TAA and Sector rotation)
comes out and if able to lead to even greater returns with less risk :-)
Thanks again
jackmack

shillllihs
3,531 posts
msg #104037
Ignore shillllihs
12/29/2011 12:16:55 AM

Kevin, i am curious if the outcome of shorting each 1 that's at the tops equivalent ETF have produced a better return or playing the 3X ETFs long.

Can you test it?

Kevin_in_GA
4,544 posts
msg #104042
Ignore Kevin_in_GA
12/29/2011 4:49:28 PM

I think my days of testing alternatives to this are over - the system described here does not go short, does not use leverage, and does not look at alternative ETFs. It trades a few times a year and is designed to be used with standard 401k and IRA accounts.

It's simple and it works. There's no need in my opinion to tweak it. You're welcome to do so on your own and let us know what you find out.

shillllihs
3,531 posts
msg #104044
Ignore shillllihs
12/29/2011 5:20:54 PM

Cool. Let's hope this works better than your SPY/VXX filter that missed the 20 point drop on SPY in july.

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