StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 38 39 40 41 42 ... 65 >>Post Follow-up
tennisplayer2
180 posts
msg #107909
Ignore tennisplayer2
9/4/2012 9:07:40 AM

Kevin, are you going to update your website? Thanks.

Kevin_in_GA
4,557 posts
msg #107910
Ignore Kevin_in_GA
9/4/2012 12:54:32 PM

Traveling the next few days, so I'll update here quickly:

TAA: move 100% into EFA
Sharpe Ratio: 30% in Large Caps, 30% in Small Caps, 20% in International, and 20% in Bonds (rounding to the nearest 5% here for simplicity).
Sector Rotation: Stay in XLU (Utilities)



jfue611-wlzz973kg-wqu558v
20 posts
msg #107956
Ignore jfue611-wlzz973kg-wqu558v
modified
9/7/2012 9:02:54 PM

Sorry about the format. This shows 14ROC filter does not outperform SPY from 2/28/11 thru 7/31/12. Both average and median gains per month about the same.
I was hopeful the great backtests would forward test well also. I am sharing this in hopes that someone would find me in error. Thx, Mike
The filter I used is:

set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(SPY, var1)}
set{var1b, IND(IWM, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(BND, var1)}

ADD COLUMN WEEKLY ROC(14,1) {14 week performance}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, RANK1A + RANK1B}
SET{RANK1F, RANK1C + RANK1D}
SET{RANK1G, RANK1E + RANK1F}
SET{RANK, 4 - RANK1G}
ADD COLUMN RANK {current rank}


SYMLIST(IWM,EFA,SPY,BND)
ADD COLUMN SEPARATOR
SORT ON COLUMN 5 DESCENDING
chart-display is weekly
CHART-TIME IS 26 WEEKS


14 ROC spy
entryexit gain entry(close) exit(end of monthgain
2/28/2011 iwm 82.27 84.17 2.3% 133.15 132.59 -0.4%
3/31/2011 iwm 84.17 86.39 2.6% 132.59 136.43 2.9%
4/29/2011 iwm 86.39 84.84 -1.8% 136.43 134.9 -1.1%
5/31/2011 iwm 84.84 82.8 -2.4% 134.9 131.97 -2.2%
6/30/2011 efa 60.14 58.71 -2.4% 131.97 129.33 -2.0%
7/29/2011 bnd 82.26 83.4 1.4% 129.33 122.22 -5.5%
8/31/2011 bnd 83.4 83.74 0.4% 122.22 113.15 -7.4%
9/30/2011 bnd 83.74 83.62 -0.1% 113.15 125.5 10.9%
10/31/2011 bnd 83.62 83.36 -0.3% 125.5 124.99 -0.4%
11/30/2011 iwm 73.73 73.75 0.0% 124.99 125.5 0.4%
12/30/2011 iwm 73.75 79.02 7.1% 125.5 131.32 4.6%
1/31/2012 iwm 79.02 81.05 2.6% 131.32 137.02 4.3%
2/29/2012 iwm 81.05 82.81 2.2% 137.02 140.81 2.8%
3/30/2012 spy 140.81 139.87 -0.7% 140.81 139.87 -0.7%
4/30/2012 spy 139.87 131.47 -6.0% 139.87 131.47 -6.0%
5/31/2012 bnd 84.51 84.38 -0.2% 131.47 136.105 3.5%
6/29/2012 bnd 84.38 85.23 1.0% 136.105 137.71 1.2%
7/31/2012 bnd 85.23 85.08 -0.2% 137.71 141.16 2.5%

avg 0.3% avg 0.4%
median -0.1% median 0.0%


Kevin_in_GA
4,557 posts
msg #108208
Ignore Kevin_in_GA
9/28/2012 11:49:27 AM

Last day of the trading month - unless something unusual happens the call for the TAA system is to remain wholly in EFA for the next month.

For the Sharpe ratio-based version, as of 11:30 AM today the re-allocations are as follows:

EFA: 25%

SPY: 25%

IWM: 15%

AGG: 35%

A move to a more conservative position, with AGG up from 20% last month to 35% this month. Another conservative change is in IWM, which now is only 15% from 30% last month. This might be a little too conservative given the historical strength in the last three months of the year, as well as going into the Presidential elections (usually a slight benefit to the markets during this period.

Trade as you see fit.

novacane32000
273 posts
msg #108210
Ignore novacane32000
9/28/2012 1:19:07 PM

Thanks Kevin
I have been using the Sharp based version as a guide with my retirement acct.

danucalovj
1 posts
msg #108368
Ignore danucalovj
10/13/2012 2:34:25 AM

Thanks!

jackmack
334 posts
msg #108636
Ignore jackmack
10/31/2012 1:39:36 PM

Kevin
So no real change from last month to this month in the TAA system?
Correct?
Thank you


Kevin_in_GA
4,557 posts
msg #108643
Ignore Kevin_in_GA
11/1/2012 8:21:35 AM

Correct - the call for the TAA system is to remain wholly in EFA for the next month.

For the Sharpe ratio-based version, the re-allocations for November are as follows:

EFA: 45%

SPY: 25%

IWM: 30%

AGG: 0%

A much more aggressive posture from last month, which is consistent with historical monthly returns for November and December. However, the system is not aware of impending issues in Greece or with US debt, etc. These are dislocations in the market that no trend following or relative strength-based system can predict.

Trade as you see fit.


jackmack
334 posts
msg #109072
Ignore jackmack
11/30/2012 8:00:59 AM

Once again EFA is top pick for TAA using 12 week look back period?

Kevin how does the asset allocation model breakdown?


Kevin_in_GA
4,557 posts
msg #109073
Ignore Kevin_in_GA
modified
11/30/2012 8:08:09 AM

Pretty much the same. I use the following filter to calculate this (the ROC is actually based on the MA(3) instead of just the close, to help smooth the signal a bit):

Fetcher[

SET{perf1A, ma(3) 60 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf63, perf - RISKFREERETURN}
SET{STD63, CSTDDEV(CLOSE,63)}
SET{VOL63a, STD63 / MA(63)}
SET{vol63, vol63a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf63 / VOL63a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(SPY, var1)}
set{var1b, IND(IWM, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(AGG, var1)}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, RANK1A + RANK1B}
SET{RANK1F, RANK1C + RANK1D}
SET{RANK1G, RANK1E + RANK1F}
SET{RANK, 4 - RANK1G}

set{var2a, IND(SPY, sharpe)}
set{var2b, IND(IWM, sharpe)}
set{var2c, IND(EFA, sharpe)}
set{var2d, IND(AGG, sharpe)}

SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}
SET{var3d, COUNT(var2d is above 0,1)}

SET{var4a, var2A * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}

set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var5a + var5b}

SET{allocation1, sharpe / var5c}
set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


SYMLIST(IWM,EFA,SPY,AGG)
ADD COLUMN SEPARATOR
ADD COLUMN RANK {TAA current rank}
ADD COLUMN SEPARATOR
ADD COLUMN var1 {3 month return (%)}
ADD COLUMN vol63 {volatility (%)}
add column sharpe {sharpe ratio}
add column allocation {Sharpe-based allocation (%)}
add column corr(spy,63, close) {correlation to S&P 500}

SORT ON COLUMN 6 ascending
CHART-TIME IS 60 days
draw MA(3)
draw sharpe line at 0

]



StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 38 39 40 41 42 ... 65 >>Post Follow-up

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