StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 44 45 46 47 48 ... 65 >>Post Follow-up
jackmack
334 posts
msg #114233
Ignore jackmack
6/27/2013 9:49:56 AM

Kevin
Appears (as of today anyway) that SPY is to be moved into for July using your updated combined filter from pg43.
Am I reading that correctly?
Thank you

Kevin_in_GA
4,552 posts
msg #114234
Ignore Kevin_in_GA
6/27/2013 10:41:15 AM

Yup.

I have been sitting in Stable Value since 4/30 making essentially nothing. However, the S&P was at 1589 when I did this, and even with the surge today it is only at 1619 (I missed about 1.9% of gain).

sohailmithani
192 posts
msg #114235
Ignore sohailmithani
6/27/2013 10:48:28 AM

When I run this filter I see IWM on top. Kevin, am I doing anything wrong here.

Kevin_in_GA
4,552 posts
msg #114240
Ignore Kevin_in_GA
6/28/2013 7:37:05 AM

Actually you are correct, sohail. If you are using the simple "offset" filter

Fetcher[
symlist(spy,iwm,efa,agg)
offset 3/31/2013
]



which is how the system is designed, the allocation for July remains IWM, as it has been for the last month.

jimmyjazz
99 posts
msg #114262
Ignore jimmyjazz
6/29/2013 9:56:45 AM

Kevin, a couple of questions:

1. did you see my post about Faber's TAA ETF (GTAA)? It's basically doing nothing, and the dividend isn't anything to write home about.

2. in 46 pages there are a lot of filters posted here -- what is considered the "refined" version, and are you and others still happy with it? The backtested performance from 2003 thru 2010 of the first few filters seemed impressive. Did things go off the rails or are we talking about different filters?


As always, I appreciate the hard work Kevin & others do here. (I also subscribe to Pangolin Z and have seen it work in action.)

Kevin_in_GA
4,552 posts
msg #115629
Ignore Kevin_in_GA
9/30/2013 2:42:25 PM

Just a reminder here -

Fetcher[
symlist(spy,iwm,efa,agg)
offset 6/30/2013
]



Note that after a few months in IWM the new leader is EFA. I have already made my re-allocation into International stocks this morning.

Kevin_in_GA
4,552 posts
msg #115636
Ignore Kevin_in_GA
9/30/2013 9:50:56 PM

This might make this a whole lot easier to figure out:

rolling 3 month chart for TAA

Just look at it at the end of each month - the asset class on the top is the one in which you should be invested for the next month. Wash, rinse repeat.

jackmack
334 posts
msg #115639
Ignore jackmack
10/1/2013 8:35:13 AM

Kevin
Thank you - yes that link sure does make it look cleaner and easier to pick the next months top dog.
Will that adjust to the end next month for the 3 month look back - meaning will it roll month after month going forward?
Thank you
Cheers

Kevin_in_GA
4,552 posts
msg #115645
Ignore Kevin_in_GA
10/1/2013 10:10:08 AM

Yes, it should automatically update each day.

davesaint86
269 posts
msg #115648
Ignore davesaint86
10/1/2013 10:56:10 AM

This strategy has merit especially for 401ks

ETFReplay shows

Total Return since 2008 - 158.7
CAGR 18
Max DD 19.2
Win Ratio 68.1
Worst Period -7.75
2008 Return 2.5
2013 - 22.1
Current Selection EFA



StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 44 45 46 47 48 ... 65 >>Post Follow-up

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