StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 54 55 56 57 58 ... 65 >>Post Follow-up
Kevin_in_GA
4,537 posts
msg #122432
Ignore Kevin_in_GA
12/31/2014 9:20:40 AM

Yes, IWM for January.

jackmack
333 posts
msg #122691
Ignore jackmack
1/30/2015 9:02:50 AM

Way too early to call it since market not even open yet
but looking like a move into AGG before close.

Kevin_in_GA
4,537 posts
msg #122692
Ignore Kevin_in_GA
1/30/2015 10:06:07 AM

Yes. I have been using the following as a guide as well:

Fetcher[
symlist(spy,agg)

add column weekly roc(13,1) {3 month roc}
add column separator
add column weekly roc(26,1) {6 month roc}
add column separator
add column weekly roc(39,1) {9 month roc}
add column separator
add column weekly roc(52,1) {12 month roc}
add column separator
sort on column 7 descending
chart-display is weekly
]



This is a simpler system - you are either in equities or bonds, and not slicing up the equities into three relatively highly correlated classes. Using this method, the optimal time frame was 6 months (here reflected as the 26 week ROC). In that case you stay in SPY.

The other system I am using for 2015 is this:

Fetcher[
symlist(XLI,XLU,AGG)

set{rs, weekly ROC(20,1)}
set{difference, rs - ind(SPY, rs)}
set{null, 0}

rs above 0

ADD COLUMN SEPARATOR
add column rs {20 week performance}
add column separator
add column difference {relative strength}
SORT ON COLUMN 6 DESCENDING

chart-display is weekly
draw rs line at 0
]



Here you are looking at the relative performance of Utilities versus Industrials (defensive sector versus offensive sector). Clearly Utilities have crushed Industrials over the last few months - indicating a defensive posture for the near term. I have added AGG in on this since there are times when both XLU and XLI weekly ROC(20) could be negative, and then AGG is most likely positive. Note also that AGG is outperforming XLI over this time frame as well.


jackmack
333 posts
msg #122696
Ignore jackmack
1/30/2015 4:10:35 PM

Kevin
Excellent
Thank you for sharing
Quick question - were you able to run from 2010 up to now the back test results
of your regular system (the one you have posted on your web site)?
I am just interested to see a month to month comparison as you had provided
very early on in this thread to just show the true robustness of this approach.
Thank you
Cheers

dominijanni
2 posts
msg #122731
Ignore dominijanni
2/3/2015 5:52:41 AM

Hi Kevin in GA....you posted the following below. Can you show me which filter this is a variation of?
Do I need to embed this code into the master filter or is this a complete stand alone filter?
Best regards,

Kevin_in_GA
3,417 posts
msg #112041

3/4/2013 2:35:09 PM

Web site was updated this weekend - I am also looking at an earlier filter from this thread.

Here is a slight variation of it -

Submit Fetcher[

symlist(spy,efa,iwm,agg)
set{roc1, roc(21,1)}
set{roc3, roc(63,1)}
set{alpha1a, relative strength(SPY,21)*100}
set{alpha1, alpha1a - 100}
set{alpha3a, relative strength(SPY,63)*100}
set{alpha3, alpha3a - 100}
set{alpha, alpha1 + alpha3}
add column roc1
add column roc3
add column alpha1 {1 month alpha}
add column alpha3 {3 month alpha}
add column alpha {alpha score}
sort on column 9 descending


jackmack
333 posts
msg #122761
Ignore jackmack
2/5/2015 10:12:35 AM

Kevin
I was wondering if you ever did any research on Nelson Freeburg and his Formula Research.
His timing model seems stout - a slight advantage to Mebane Fabers TAA but only uses S&P as the equity class
versus Faber's 5. It's worth a look if you have not.
Anyway - I reread this thread last night and got caught up on your model/filter on page 40.
I was wondering if the back test data were available for this model from 2007 on since the original
thesis and data contained EEM and SHY but has since migrated to a more 401k minded selective
sources to choose from and there have been no updates on current returns vs buy and hold.
Just wondering
Thank you

tennisplayer2
179 posts
msg #122765
Ignore tennisplayer2
2/5/2015 3:03:57 PM

Jack, do you subscribe to Nelson's newsletter? If you do, does he combine all 6 models or is each of the models separate on his newsletter? Is there a way to incorporate this onto a spreadsheet? Thanks.

jackmack
333 posts
msg #122766
Ignore jackmack
2/5/2015 3:29:19 PM

I just stumbled on this yesterday - https://extradash.com/en/ - pretty cool.
I have just signed up for the free portion and am in the process of reviewing all models.
I advise once I have had a chance to study and digest.


jackmack
333 posts
msg #122780
Ignore jackmack
2/7/2015 12:36:20 PM

Kevin
Doing a manual back test using filter on pg40.
This keeps one out of the larger draw downs especially in 2011.
The buy and hold seems to be doing better "lately" but one needs to
remember this a LONG TERM system and NO filter/system is perfect.

Kevin_in_GA
4,537 posts
msg #122782
Ignore Kevin_in_GA
2/7/2015 4:36:52 PM

The constant rebalancing needed on that filter makes backtesting a real challenge. I think in general it overweights Bonds since their volatility is low - although they have had near-equity like returns over the last 10 years so maybe it is not a big concern over the long run.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 54 55 56 57 58 ... 65 >>Post Follow-up

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