StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 51 52 53 54 55 ... 65 >>Post Follow-up
Kevin_in_GA
4,555 posts
msg #120769
Ignore Kevin_in_GA
6/16/2014 3:16:44 PM

Jimmyjazz is right. The "purist" filter uses the close value on 2/28 and compares it with the close on 5/30. SPY was the top performer while EFA was a close second. I personally use a smoothed version (taking the ma(3) looking back 63 days) and with that smoothing EFA was on top.

Since then both have done modestly well, each up about 0.7% since the start of this month. I personally stayed in EFA since it was last month's selection as well - I'm lazy I guess.

jackmack
334 posts
msg #120781
Ignore jackmack
6/17/2014 9:14:15 AM

Got it - thank you.
So was that the filter from pg. 43 then that you used to come to those picks?
Thank you
Cheers

davesaint86
269 posts
msg #120783
Ignore davesaint86
6/17/2014 10:35:58 PM

Figured it out

Fetcher[

SET{perf1A, ma(3) 60 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf63, perf - RISKFREERETURN}
SET{STD63, CSTDDEV(CLOSE,63)}
SET{VOL63a, STD63 / MA(63)}
SET{vol63, vol63a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf63 / VOL63a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(AMJ, var1)}
set{var1b, IND(DVY, var1)}
set{var1c, IND(FXG, var1)}
set{var1d, IND(IOO, var1)}
set{var1e, IND(IWS, var1)}
set{var1f, IND(IYF, var1)}
set{var1g, IND(SPLV, var1)}
set{var1h, IND(XLV, var1)}
set{var1i, IND(XLY, var1)}

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



SET{RANK, 9 - RANK1Q}


set{var2a, IND(AMJ, sharpe)}
set{var2b, IND(DVY, sharpe)}
set{var2c, IND(FXG, sharpe)}
set{var2d, IND(IOO, sharpe)}
set{var2e, IND(IWS, sharpe)}
set{var2f, IND(IYF, sharpe)}
set{var2g, IND(SPLV, sharpe)}
set{var2h, IND(XLV, sharpe)}
set{var2i, IND(XLY, sharpe)}

SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}
SET{var3d, COUNT(var2d is above 0,1)}
SET{var3e, COUNT(var2e is above 0,1)}
SET{var3f, COUNT(var2f is above 0,1)}
SET{var3g, COUNT(var2g is above 0,1)}
SET{var3h, COUNT(var2h is above 0,1)}
SET{var3i, COUNT(var2i is above 0,1)}




























SET{var4a, var2a * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}
SET{var4e, var2e * var3e}
SET{var4f, var2f * var3f}
SET{var4g, var2g * var3g}
SET{var4h, var2h * var3h}
SET{var4i, var2i * var3i}

set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var4e + var4f}
set{var5d, var4g + var4h}
set{var5e, var4i}


set{var5f, var5a + var5b}
set{var5g, var5c + var5d}
set{var5h, var5e}

set{var5i, var5f + var5g}
set{var5j, var5h + var5i}


SET{allocation1, sharpe / var5j}


set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


symlist(amj,dvy,fxg,iws,ioo,iyf,splv,xlv,xly)
ADD COLUMN SEPARATOR
ADD COLUMN RANK {TAA current rank}
ADD COLUMN SEPARATOR
ADD COLUMN var1 {3 month return (%)}
ADD COLUMN vol63 {volatility (%)}
add column sharpe {sharpe ratio}
add column allocation {Sharpe-based allocation (%)}
add column corr(spy,63, close) {correlation to S&P 500}

SORT ON COLUMN 6 ascending
CHART-TIME IS 60 days
draw MA(3)
draw sharpe line at 0

]



jemarcks
26 posts
msg #120833
Ignore jemarcks
6/20/2014 4:47:11 PM

Greetings all!! I am new to SF and have been reading forum posts for the last few days trying to catch up.

Kevin, great thread and love your work!

I have read most of this thread and took a few notes. I have a couple of questions to help me get up to date with the latest filters from this thread and usage models.
I have a 401k that I can buy any ETF or mutual fun in and I have been working on a system based on a book I read called the Ivy portfolio which is similar to Kevin's 401k system here. Im looking for a profitable system to manage my 401k with.

1. What is the latest filter to use for 401k, TAA, and ROC?
2. I have see you post about your web site but I cant find a link to it. Maybe I skimmed over it. Can you please post it?

Thanks!

Jeff


frsrblch
35 posts
msg #120837
Ignore frsrblch
modified
6/21/2014 1:00:13 PM

The latest filter uses a 3-month look-back period, or approximately 63 trading days. The code is as follows:

Fetcher[symlist(spy,iwm,efa,agg)

sort on column 5 descending

set{diff2,close minus close 63 days ago}
set{diff2%,diff2 / close 63 days ago}
set{ratio63,diff2% * 100}

add column ratio63
]



Kevin's site can be found at http://www.statisticalinvesting.com/

jemarcks
26 posts
msg #120916
Ignore jemarcks
6/30/2014 1:40:46 PM

Thanks for the link to Kevins site. Great job Kevin!
So, this filter would be traded at the end of the month and pick the highest alpha?

How do I backtest the ROC, TSI and the latest filter posted above?

Thanks
Jeff


Kevin_in_GA
4,555 posts
msg #120918
Ignore Kevin_in_GA
6/30/2014 4:07:30 PM

Fetcher[
symlist(spy,iwm,efa,agg)

sort on column 5 descending

offset 3/31/2014
]



SPY it is.

jemarcks
26 posts
msg #120937
Ignore jemarcks
7/2/2014 10:47:53 AM

Hi Kevin! Great work here! Thank you for sharing!
Did you backtest the TAA/TSI and ROC filters on StrataSearch?
If so, could you post the code here so we can backtest them too?

Thanks
jeff


amtmail
34 posts
msg #120976
Ignore amtmail
7/8/2014 1:29:36 AM

Kevin Or any member I have question can we get here in stockfetcher one filter for ETFS portfolio selection based 50% on 3months performance ,40% 6 months performance and 10% 6months volatility
any help please

wkloss
230 posts
msg #121011
Ignore wkloss
7/12/2014 12:46:13 PM

This site is designed to do that

http://www.etfreplay.com/

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 51 52 53 54 55 ... 65 >>Post Follow-up

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