StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 59 60 61 62 63 ... 65 >>Post Follow-up
tennisplayer2
180 posts
msg #124473
Ignore tennisplayer2
modified
7/21/2015 11:47:51 PM

I can't seem to be able to open the file, but I do like Tactical Asset Allocation. I also know the Kevin backtests extensively before he posts. Toad, I hope that you are incorrect. Thanks for you input.

Toad
20 posts
msg #124477
Ignore Toad
7/22/2015 9:01:04 AM

Tennisplayer (I am also a tennisplayer yay :P). Did you try downloading the file and opening it or just try to let it open in the browser. It is a large file (~10 MB) since it has a lot of raw data in it so it probably won't open in the browser. What version of excel do you have? I will save it down to 2003 format and reupload it tonight...maybe that is the problem.

tennisplayer2
180 posts
msg #124480
Ignore tennisplayer2
7/22/2015 10:02:02 AM

Toad, glad to hear that you are also a tennisplayer. I was able to download it and then open it. Lots of data to analysis. I am surprise that the returns are not that impressive. I hope that Kevin will chime in. Thanks.

Toad
20 posts
msg #124484
Ignore Toad
7/22/2015 8:03:58 PM

Good that you were able to open it...just tried to save it down and it looks like I used a formula function throughout =index(match()) that was not available in the older versions...short story is I can't really save it down and keep the formulas intact. I may look through this again this weekend since I do need a good 401k management strategy, but I really do not think I have made an error in my backtesting.

Kevin_in_GA
4,549 posts
msg #124485
Ignore Kevin_in_GA
7/22/2015 9:49:09 PM

Toad: not really sure how you are backtesting this - I simply use the end of each month and make a re-allocation at the open of the next trading day. Here are the StrataSearch backtest results for the same period as you have backtested:

EQUITY CURVE:

 photo 401k backtest_zpss0ilwb1s.gif

STATS:

 photo 401k results.jpg_zpsgw94ml9w.gif

The more simplistic SPY-AGG system gives basically the same results:

EQUITY CURVE:

 photo SPY - AGG backtest_zpsreekit83.gif

STATS:

 photo SPY-AGG stats_zpslmhhrwqi.gif

This is consistent with what I have been seeing - it beats the market with lower drawdown and consequently a higher Sharpe ratio. Trade it or not as you see fit.

Toad
20 posts
msg #124487
Ignore Toad
7/23/2015 12:02:03 AM

It is probably me trying to over-complicate my spreadsheet...I will look into my sheet this weekend. Thanks for providing me with the stratasearch graph for the period I used...should be helpful to find where I am going wrong.

mahkoh
892 posts
msg #124488
Ignore mahkoh
7/23/2015 6:54:44 AM

Toad,

One thing that seriously affects your results is using non adjusted close prices. You should check the results when using adjusted prices as Stratasearch does.

Toad
20 posts
msg #124489
Ignore Toad
7/23/2015 8:33:56 AM

I will look at that mahkoh, thanks. I have been using non-adjusted close prices, but can swich them for the adjusted easily. I would imagine that does make a difference especially with AGG.

mahkoh
892 posts
msg #124496
Ignore mahkoh
7/23/2015 5:38:41 PM

Examining the equity curves above I notice that holding SPY actually outperforms the system until mid 2007. And note that buy and hold nearly doubles after touching breakeven in late 2011 while rotating adds some 50 % during the same period. It would seem the system mainly has an edge during times of market turmoil.

Kevin_in_GA
4,549 posts
msg #124500
Ignore Kevin_in_GA
7/23/2015 10:07:53 PM

Mahkoh - basically you are correct, but it really has to do with avoiding large drawdowns. The system may not beat SPY every year, but it seems to beat it over a longer timeframe, which is why this is an INVESTMENT strategy rather than a trading strategy.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 59 60 61 62 63 ... 65 >>Post Follow-up

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