StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 49 50 51 52 53 ... 65 >>Post Follow-up
Kevin_in_GA
4,548 posts
msg #118428
Ignore Kevin_in_GA
3/1/2014 7:46:31 PM

Selection for March is IWM (same as for February). Not expecting anything like a repeat of last month, and it is more likely that the first half will see a consolidation or retrace before the market goes higher.

I no longer second-guess the filter selection. Every time I tried in the past the filter's selection made more money.

ricks_stocks
35 posts
msg #118440
Ignore ricks_stocks
3/2/2014 2:42:37 PM

This is primarily the ETF Sector Rotation Strategy found at

http://www.etfscreen.com/sectorstrategy.php

Itís a great one for a 401k or IRA.

The two anomalies I see are that most approachesí us trading days in a month, so 3 months =63 days not 90 days.

The other is the look back timeframe is 6 months (a 126 trading days) in the rotation strategies Iíve seen.

But Iím guessing that Keven has back tested and determined that 90 days works just as well.

Here is a link to the Select Sector SPDR Funds

http://www.etfscreen.com/s_selects.php

You can actually just click on the headers and see the performance over 1 day, 5 days, 1 month, 3 month, or 6 month.

Hereís Kevenís screen

http://www.etfscreen.com/cchart.php?wl=3d062&t=6&d=i&udc=default&vFf=dolVol21&vFl=gt&vFv=0&ftS=yes&ftL=yes

If the links don't work just go to the link below and fish around.

http://www.etfscreen.com/




Kevin_in_GA
4,548 posts
msg #118441
Ignore Kevin_in_GA
3/2/2014 3:11:39 PM

Yes and no - of course I backtested, and I also reoptimize against a rolling 5 year window every month. 3 months remains the optimal lookback period.

The only real difference between this and etfreplay.com (a site I like a lot and would encourage others to visit) is that there is no longer any risk factor incorporated. They use a ranking system to score points (which with some tweaking I can do here) but the pure performance play has been working quite well since I adopted it in 2010.

jackmack
333 posts
msg #118864
Ignore jackmack
modified
3/31/2014 8:04:00 AM

Using offset from 12/31/2013 - move into AGG from IWM looks to be on deck?

Kevin_in_GA
4,548 posts
msg #118879
Ignore Kevin_in_GA
3/31/2014 3:34:22 PM

Let's wait until the end of the day.

jimmyjazz
99 posts
msg #118889
Ignore jimmyjazz
3/31/2014 10:31:54 PM

Is the "Faber approach" to use the last day of December or the first day of January (for this new calculation)?

i.e, do we calculate each ETF price ratio using 3/31/14 and 12/31/13 or 3/31/14 and 1/1/14?

Seems like it might make a difference at times.

jimmyjazz
99 posts
msg #118891
Ignore jimmyjazz
4/1/2014 8:29:39 AM

Yep, the chart Kevin linked switched from AGG to SPY overnight. That "day one" selection can make a difference.

I don't know which ETF is "right" going forward, but personally, I'd rather take a flyer on SPY than AGG.

Kevin_in_GA
4,548 posts
msg #118892
Ignore Kevin_in_GA
4/1/2014 8:52:38 AM

Agreed, although the pure backtested system would have you in AGG. Given that April is historically the best month for stocks (or at least in the top 2), you are probably smart in holding in equities versus bonds.

My personal choice is the go risk on for another month, based on the recent sell off (especially in small and mid cap stocks) that should recover this month.

dashover
166 posts
msg #118911
Ignore dashover
modified
4/1/2014 5:06:00 PM

symlist(spy,iwm,efa,agg,gld,rwr)

sort on column 5 descending

set{diff2,close minus close 68 days ago}
set{diff2%,diff2 / close 68 days ago}
set{ratio90,diff2% * 100}


add column ratio90

,


Kevin, this filter adds a couple of indexes,
It shows AGG on the bottom over the last 68 days...
Why is it perhaps the best choice??

Is this filter faulty? , using the 68 day sort? (ratio 90)

Thanks!!
Dash

dashover
166 posts
msg #119342
Ignore dashover
5/5/2014 11:33:21 AM

symlist(spy,iwm,efa,agg,gld,rwr)

sort on column 5 descending

set{diff2,close minus close 68 days ago}
set{diff2%,diff2 / close 68 days ago}
set{ratio90,diff2% * 100}


add column ratio90


----------

Using this Filter... would RWR be the one to use this month?

Thanks!

Dash

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