StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 46 47 48 49 50 ... 65 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #117004
Ignore Kevin_in_GA
11/23/2013 9:15:23 PM

Keeping this strategy as simple as possible ...

Fetcher[
symlist(spy,iwm,efa,agg)
offset 8/31/2013
sort on column 5 descending
]



Whatever is the top performer after the close on 11/29 is the asset class for December.

Kevin_in_GA
4,548 posts
msg #117109
Ignore Kevin_in_GA
11/28/2013 3:11:43 PM

Looking like the switch will be from EFA to IWM for December.

dashover
166 posts
msg #117128
Ignore dashover
modified
11/30/2013 4:10:21 AM

 photo excell_zps1c92746b.jpg


Observations...

Based on a very loose 30 day rolling period stretched as far back as the offset allows.

This process is working well ytd but it requires a nicely trending market to provide solid profits.

Note the 5-6 annual switches and the two years of treading water...

One could see that 3 or 4 concurrent whipsawed signals could easily provide -20% type drawdowns but there is a lot of comfort with owning the strongest ETF. In this limited period back-test we never saw more than three negative periods back to back - though.

Excuse my use of the 30 day offset versus precise month-end figures...
Dash



Kevin_in_GA
4,548 posts
msg #117129
Ignore Kevin_in_GA
11/30/2013 10:49:37 AM

This approach uses a 90 day look back (technically 3 monthly periods). Not sure what your 30 day rolling window is supposed to do. You are now allocating based only on the last month performance. Does it yield better profit?

dashover
166 posts
msg #117130
Ignore dashover
11/30/2013 3:04:36 PM

symlist(spy,iwm,efa,agg)

sort on column 5 descending

set{diff2,close minus close 90 days ago}
set{diff2%,diff2 / close 90 days ago}
set{ratio90,diff2% * 100}


add column ratio90


---------

Actually I sorted every 30 period by the ratio 90 ; So I was using the strongest ETF over the last 90 days each 30 day period

I thought?

Dash

Kevin_in_GA
4,548 posts
msg #117131
Ignore Kevin_in_GA
11/30/2013 3:27:16 PM

Sort of - SF uses trading days, not calendar days. There are 252 trading days per year, so a three month look back is actually only 63 days.

amtmail
34 posts
msg #117132
Ignore amtmail
11/30/2013 5:59:18 PM

Kevin, please is it the filter in page 43?
how much the holding period 1 month or 3 months ?
thanks

Kevin_in_GA
4,548 posts
msg #117133
Ignore Kevin_in_GA
11/30/2013 8:39:28 PM

It is the filter at the top of this page - just move the offset date as needed.

jimmyjazz
99 posts
msg #117141
Ignore jimmyjazz
12/1/2013 10:57:38 AM

amtmail, Kevin also provided this link a few weeks ago. Just bookmark it and review after the close of trading on the last day of each month, investing in the ETF with the best 3-month performance:

http://finance.yahoo.com/echarts?s=SPY+Interactive#symbol=spy;range=3m;compare=iwm+efa+agg;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;

amtmail
34 posts
msg #117164
Ignore amtmail
modified
12/3/2013 12:12:59 AM

Kevin , do you feel that adding QQQ will be more profitable ?
did you back test it ?
See this link
http://finance.yahoo.com/echarts?s=SPY+Interactive#symbol=spy;range=3m;compare=iwm+efa+agg+qqq;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined;
Thank you

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