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amtmail
34 posts
msg #117581
Ignore amtmail
modified
12/31/2013 11:35:28 PM

Thank you, Happy new year



amtmail
34 posts
msg #117648
Ignore amtmail
1/8/2014 10:45:36 PM

How I can do Back test this Filter here ?

Kevin_in_GA
4,553 posts
msg #117650
Ignore Kevin_in_GA
1/9/2014 7:25:48 AM

You really can't since SF does not provide monthly data bars. Given that it is only once a month, manual backtesting is not hard (only 60 trades max over a five year period).

Or you could look at the backtest I provided at www.statisticalinvesting.com.

Remember that this is designed to be easy and to fit within the constraints of most 401k accounts - that means low trade frequency and usually the choice of only a few mutual funds that mimic the broader asset classes. I did not try to push more performance out of it by adding in stuff that cannot be traded in my own accounts.

amtmail
34 posts
msg #117986
Ignore amtmail
modified
2/1/2014 2:08:04 PM

Please i need help to find similar Canadian stocks for this filter , any idea?
Thanks

Kevin_in_GA
4,553 posts
msg #117987
Ignore Kevin_in_GA
2/1/2014 2:35:38 PM

This is not a stock strategy, it is an ASSET CLASS strategy. It is designed for 401ks and IRA accounts. You can try to use the same principles on stocks but it really does not make sense.

amtmail
34 posts
msg #117988
Ignore amtmail
2/1/2014 3:29:49 PM

Thank you
But i mean Canadian ETFS for same strategy


tennisplayer2
180 posts
msg #117989
Ignore tennisplayer2
2/1/2014 3:43:24 PM

I think that IWM (instead of SPY) is the one to own now. Kevin, thanks again for this strategy.

FetchMan1999
8 posts
msg #117990
Ignore FetchMan1999
2/1/2014 4:17:04 PM

Like so many on this thread, I've read many pages going back.
I ran this filter. I know it uses BND instead of AGG.
Is this the ETF filter you are using or do I need to use the Offset filter?
Also, based on running this filter today it ranks SPY as #1.
Should I be in SPY? (because looking at the market it sure seems BND would be the one to move into.
Thanks in advance for your reply.

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



FetchMan1999
8 posts
msg #117992
Ignore FetchMan1999
2/1/2014 5:22:04 PM

OK. I'm posting a modified version of the filter that I listed in the previous comment.
What I have done is set the list to be Sector ETFs plus the BND etf.
The thinking is that the order of the ETFs might be used to allocate across more than one ETF.

If I understand the intent of the original filter a ranking of 1 is the ETF to buy.

But again, from the look of the price movement along it seems the Utilities and Bonds are the two ETFs to move into.
It seems there is a move to safety at this point.

Here is the modified ETF.
Any comments would be greatly appreciated.

set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(XLU, var1)}
set{var1b, IND(XLV, var1)}
set{var1c, IND(IYR, var1)}
set{var1d, IND(XLK, var1)}
set{var1e, IND(XLP, var1)}
set{var1f, IND(XLY, var1)}
set{var1g, IND(XLE, var1)}
set{var1h, IND(XLF, var1)}
set{var1i, IND(XLI, var1)}
set{var1j, IND(XLB, var1)}
set{var1k, IND(BND, var1)}

DD 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, COUNT(var1 is above var1e,1)}
SET{RANK1F, COUNT(var1 is above var1f,1)}
SET{RANK1G, COUNT(var1 is above var1g,1)}
SET{RANK1H, COUNT(var1 is above var1h,1)}
SET{RANK1I, COUNT(var1 is above var1i,1)}
SET{RANK1J, COUNT(var1 is above var1j,1)}
SET{RANK1K, COUNT(var1 is above var1k,1)}

SET{RANK1L, RANK1A + RANK1B}
SET{RANK1M, RANK1L + RANK1C}
SET{RANK1N, RANK1M + RANK1D}
SET{RANK1O, RANK1N + RANK1E}
SET{RANK1P, RANK1O+ RANK1F}
SET{RANK1Q, RANK1P+ RANK1G}
SET{RANK1R, RANK1Q+ RANK1H}
SET{RANK1S, RANK1R+ RANK1I}
SET{RANK1T, RANK1S+ RANK1J}
SET{RANK1U, RANK1T+ RANK1K}

SET{RANK, 11 - RANK1U}
ADD COLUMN RANK {current rank}

SYMLIST(XLU, XLV, IYR, XLP, XLY, XLE, XLF, XLI, XLB, XLK, BND)
ADD COLUMN SEPARATOR
SORT ON COLUMN 5 ASCENDING
chart-display is weekly
CHART-TIME IS 26 WEEKS



FetchMan1999
8 posts
msg #117993
Ignore FetchMan1999
2/1/2014 5:37:44 PM

One more question on the filter.
Does it make sense to use the smoothed ROC filter?
If the current ROC is weekly and using 14 bars it seems that giving equal weight to the oldest bar might skew the results.
Should a SmROC (8, 14) be used instead where the 8 bar exponential average is used to smooth out the data?

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 48 49 50 51 52 ... 65 >>Post Follow-up

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