StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 47 48 49 50 51 ... 65 >>Post Follow-up
jimmyjazz
99 posts
msg #117310
Ignore jimmyjazz
12/10/2013 9:27:01 AM

FYI:

SPY has overtaken IWM. This doesn't mean anyone should exit IWM and jump into SPY, because the system looks at month-end data only. Just a heads-up.

amtmail
34 posts
msg #117498
Ignore amtmail
12/23/2013 6:31:45 PM

My question is , if i will use parabolic SAR to get in and out of the stock during the month? is it possible to increase the profit and avoid loss?

Kevin_in_GA
4,548 posts
msg #117499
Ignore Kevin_in_GA
12/23/2013 8:50:14 PM

That is not what this system is about.

You can modify it as you wish, and share the results. My guess is that if you do as you suggest you will end up getting whipsawed and make less profit.

davesaint86
268 posts
msg #117538
Ignore davesaint86
12/27/2013 11:18:32 AM

Kevin,

Just want to thank you for this filter. It's so simple and quick. I wish I knew and understood the 3-month relative strength concept when I first starting contributing to my 401k. There is no doubt I would have way over a million dollars in my account right now. Happy new year.

Davesaint

Kevin_in_GA
4,548 posts
msg #117544
Ignore Kevin_in_GA
12/27/2013 10:05:41 PM

Looks almost certain to be a move from small caps back into large caps for January. I'll be traveling so I won't make the move until 1/6 but for others the system rules would have you re-allocate on 12/31.

amtmail
34 posts
msg #117555
Ignore amtmail
12/30/2013 1:59:50 AM

Kevin , can i use the filter in page 48 for bonds ETFs like
symlist(bnd,hyg,lqd,agg,bsv,tip,csj,jnk,shy,vcsh,bkln,ciu,mbb,tbt,mint,biv,ief,hys) ?
Thank you

Kevin_in_GA
4,548 posts
msg #117563
Ignore Kevin_in_GA
12/30/2013 10:43:34 AM

You can but the optimal timing is based on the four ETFs I currently use.

davesaint86
268 posts
msg #117569
Ignore davesaint86
12/30/2013 7:12:10 PM

Amtmail,

I ran you selections through ETFReplay using the 3-month relative strength starting with the highest relative strength and working my way up to all 16. The numbers are not good. I put together a short list of bonds a few months ago and backtested it back to 2008 and the returns were a lot better.


AGG, CWB, JNK, PTTRX (Bond is ETF Equiv), TLH. Selecting the top ETF based on the 3 month Relative Strength results are below.

Avg Annual Return 14.2
66.7% Win Rate
-6.85 Biggest Monthly Lost
2008 the gain was 12.6%
2013 the gain was 12.4%

If you remove TLH from the mix the win rate goes up to 73.5% but the overall avg annual return goes down to 13.4%.

amtmail
34 posts
msg #117570
Ignore amtmail
modified
12/30/2013 8:55:15 PM

Thank you Kevin and Davesaint86 , can i remove PTTRX from the list ? is there any substitute ?
How I can back test it here ?


davesaint86
268 posts
msg #117580
Ignore davesaint86
12/31/2013 1:13:28 PM

Amtmail

Use the ETF symbol Bond instead of PTTRX.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 47 48 49 50 51 ... 65 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus