StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 34 35 36 37 38 ... 65 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #104675
Ignore Kevin_in_GA
1/27/2012 9:09:46 PM

While it is not the last day of the month yet, the TAA system will clearly have you stay in IWM for February. No reallocation necessary.

Kevin_in_GA
4,548 posts
msg #104767
Ignore Kevin_in_GA
2/1/2012 2:38:04 PM

TAA Monthly system clearly says to remain in Small Caps (IWM).

I put my money where my mouth is on this system, and am 100% in Small Caps in my retirement accounts. I know that many folks here would find this approach as exciting as watching paint dry, but I am up more than 5% for January on all of my accounts and sleeping well at night.

Kevin

gmg733
622 posts
msg #104770
Ignore gmg733
2/1/2012 5:51:28 PM

Kevin,

You were using the weekly setup. Are you now using the monthly?

Just curious.

Thanks

jackmack
333 posts
msg #104844
Ignore jackmack
2/6/2012 1:48:53 PM

Kevin
Why did you change the holdings in the TAA from IWM - SPY - EEM - BND?
Appears to have skewed performance on back test results as well.
Did you incorporate the TAA with the Sector Rotation model to get this new outcome?
Just wondering why the change on your site (which I dig by the way - awesome)
Thanks

Kevin_in_GA
4,548 posts
msg #104848
Ignore Kevin_in_GA
2/6/2012 3:18:23 PM

Kevin
Why did you change the holdings in the TAA from IWM - SPY - EEM - BND?
Appears to have skewed performance on back test results as well.
Did you incorporate the TAA with the Sector Rotation model to get this new outcome?
Just wondering why the change on your site (which I dig by the way - awesome)

++++++++++++++

The current holdings are SPY, IWM, EFA, and AGG (formerly used BND). I switched from BND to AGG for two reasons:

1. The historical data set for AGG is greater, which allows for longer backtest periods.
2. My accounts actually use AGG as their benchmark for Bond Funds, so I probably should as well.

The new graph shows the systems from 1/3/2007. The older graphs showed from 5/4/2004. The backtest results should be indistinguishable. It just looks different since it is now starting at a different date. Moving forward I think that 5 years is a good window for performance.

No sector rotation strategy was incorporated into the TAA system. Still musing on that one - no action taken.


voidcomp
23 posts
msg #105003
Ignore voidcomp
2/16/2012 3:06:06 PM

Just read every page. My achin head :) Great work everyone!

A simple FYI - this strategy has been applied in some form for a number of years through a program called 'FastBreak' at http://www.edge-ware.com/ftbreakp.htm. It uses proprietary data from Investor's FastTrack which also covers mutual funds. I used it extensively back in the late 90's and was generally pleased with the results though as the discussions here have inferred the trade-off between trade frequency, return, and max drawdown is ever present . Note the manual is downloadable and will show just how feature rich the program is.

What made the FastBreak/FastTrack combo so powerful was the ability to create a 'synthetic' security consisting of a combination of 2 individual securities blended together to create a single price graph, not unlike the equity graph created when backtesting. This was done because many users were concerned about volatility and drawdown so would blend, as an example, IWM with a low beta etf to 'smooth' the price, knowing that if it was highest ranked you would purchase the constituent securities which composed it. As a new user of SF I'm not sure is that functionality exists. Others simply preferred to keep their trading list conservative. These guys were wizards in their hey day and to what extent they still are actively involved I don't know. What I do know is it can become a black hole time wise - with so many parameters and variations and tweaking it becomes paralysis by analysis. Eventually you've gotta pull the trigger ... some could never do it. Others started to second guess or question their hard work when those inevitable losses happened. Sound familiar?

jackmack
333 posts
msg #105179
Ignore jackmack
2/28/2012 8:21:14 PM

Kevin
It appears in the IRA version of this system is to move tomorrow from IWM into EEM
and for the 401K still IWM but closing in fast is EFA.
I know to wait for the signal at months end if there is no change to stay put, but the
rate of change in EFA has been impressive as of late compared to IWM.
Thoughts?
Thank you
jackmack

Kevin_in_GA
4,548 posts
msg #105180
Ignore Kevin_in_GA
2/28/2012 8:54:46 PM

The system only cares about rate of change at the end of the month for the last three months. I would suggest listeing to it and stay in IWM.

And do you really want to be in International/Emerging right now, with a possible Greek default in the month ahead? If anything I'm tending toward AGG/BND but am sticking to the system.

What I have noticed is that over the last few weeks IWM has been stuck in a horizontal trading range, while SPY has kept moving upward. This might mean a reversal of leadership, sort of a canary in a coal mine for equities.

jackmack
333 posts
msg #105181
Ignore jackmack
2/28/2012 9:41:31 PM

Agreed - I was just mentioning the data outcomes over the last several days.
I have been monitoring your "A Simple Market Timing Filter" and noticed a
potential trend change just in the relationship between XLI and XLU and using
there leadership change as the Canary as it were.
Thank you
jackmack

Kevin_in_GA
4,548 posts
msg #105197
Ignore Kevin_in_GA
modified
2/29/2012 10:56:54 PM

End of the month - time to put 30 seconds into your re-allocation analysis:

Allocate100% into the asset class with the highest 3 month ROC:

IWM - 9.93%
SPY - 9.62%
EFA - 6.67%
AGG - 1.26%

Stay in IWM.

(See how easy that was?)

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