StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 57 58 59 60 61 ... 65 >>Post Follow-up
Kevin_in_GA
4,536 posts
msg #123687
Ignore Kevin_in_GA
4/30/2015 7:20:35 PM

I get EFA.

domino
4 posts
msg #123688
Ignore domino
4/30/2015 9:47:28 PM

I get AGG also! With high Alpha Score 7.82 using this filter offset to January 30

/*Just a simple sum of the one and three month look backs. Both this and the standard three month lookback point to fully investing in US Small Caps (IWM) for March. I am currently 100% in small caps in all of my investment accounts for this month.*/

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

What is the correct offset? 3 months or 63 days?
If I offset to 63 days to Jan 29 i get AGG alpha of 5.09....so EFA alpha of 6.25 wins for April 30
Can someone clear this up please.


sohailmithani
192 posts
msg #123689
Ignore sohailmithani
4/30/2015 10:06:56 PM

I am using

symlist(spy,iwm,efa,agg)

offset 63 days

sort on column 5 descending

Kevin please confirm if this is what you also look at. I get AGG from this one.

domino
4 posts
msg #123690
Ignore domino
4/30/2015 10:11:45 PM

Found the post. 63 days offset.....which means EFA alpha 6.25 wins for May TAA

sohailmithani
192 posts
msg #123697
Ignore sohailmithani
5/1/2015 3:52:54 PM

Kevin please respond. Month has started and now am not sure which filter is correct. Should I buy AGG or EFA?

Thanks

Kevin_in_GA
4,536 posts
msg #123704
Ignore Kevin_in_GA
modified
5/2/2015 10:39:20 AM

As I said earlier - I get EFA. No idea why AGG is being selected in your case as it's 3 month performance is dead last.

EDIT: Just look at the filter Mahkoh wrote a few posts earlier (copied here - nice simple code, dude.)

Fetcher[

symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150131,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
]



sohailmithani
192 posts
msg #123705
Ignore sohailmithani
5/2/2015 11:58:48 AM

Thanks

GarryDL
2 posts
msg #123798
Ignore GarryDL
5/17/2015 3:46:48 PM

Thank you folks for a great discussion.

Have you considered RRG on StockCharts.com? "Relative Rotation Graphs (“RRG charts”) show you a security's relative strength and momentum relative to a collection of other securities."

It appears to me be a better way of choosing the one equity to hold for the next month.

GarryL

PS I'm in GA also.

GarryDL
2 posts
msg #123817
Ignore GarryDL
5/19/2015 11:42:17 AM

Actually, I'm not seeing a predictive nor confirming indication from the StockChart RRG. Went back to Chartschool on RRG and read the article on plotting the two indicators on a chart. It appears the two indicators (RS-Momentum and RS Performance) are polar opposites but nothing correlates to a price trend.

Sorry for the mis-direction, I'm still learning. I thought the two indicators would be good for the long hold period.

Garry

Kevin_in_GA
4,536 posts
msg #123823
Ignore Kevin_in_GA
5/19/2015 4:48:29 PM

I had looked at RRG - my initial thinking was that one would buy "lagging" sectors (bottom left corner) and let the relative rotation carry them into profit.

Not convinced that is how it actually works though - I think you are better off buying strength and staying with it until it drops, rather than trying to time the bottom on any given sector based on RRG.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 57 58 59 60 61 ... 65 >>Post Follow-up

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