StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 61 62 63 64 65 >>Post Follow-up
jackmack
333 posts
msg #124909
Ignore jackmack
9/10/2015 12:02:09 PM

Hello Kevin
I do not have Strata-search but was wondering if you wouldn't mind running the back test using just the SPY-AGG format to run the back test starting in say 1990 or there abouts?
Sorry but not sure which bond fund one would need to use to go back that far.
Just curious
Thank you

jackmack
333 posts
msg #125335
Ignore jackmack
10/1/2015 8:46:48 AM

Strong rally off the bottom BUT SPY is still the call for October

Kevin_in_GA
4,548 posts
msg #125341
Ignore Kevin_in_GA
10/1/2015 10:44:16 AM

@jack:

Not at all what I see, using the simple 3 month lookback upon which this approach is currently based. Are you sorting based on 3 month performance?

Here is the filter - AGG is at least 7% higher than any equity asset class. The play for the last two months has been defensive.


Fetcher[
symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150630,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
]



jackmack
333 posts
msg #125343
Ignore jackmack
10/1/2015 11:37:12 AM

@kevin
You are 100% correct
I did NOT mean to type SPY
I plead temporary insanity ;-)
Cash is king right now
Thank you

jackmack
333 posts
msg #125344
Ignore jackmack
10/1/2015 11:46:03 AM

Kevin
That brings up something I have been thinking about with bonds and rising rates in the future.
Do you think it would affect the way this filter works or is it just total returns over the 3 month look back period will be still just that and the move into the leader will be just as it has been previously?
Mainly wanting your thoughts on rising rates and the impact on this filter.
Thank you


Kevin_in_GA
4,548 posts
msg #125353
Ignore Kevin_in_GA
10/1/2015 2:31:07 PM

Well, while I have not really looked in depth at this, I would consider requiring the 3 month ROC to be positive for any asset class in which you would re-allocate funds. That way, if both stocks and bonds decline as the result of rising interest rates, you sit out of the market until at least one of them is again in the lead and has a positive ROC.

As I indicated earlier in this thread, this is exactly what I am doing now - all cash until there is a signal to return to equities. We all know that a rate hike is coming, most likely within the next month or two, so I'm fine waiting in cash until the dust settles.

tc@tculbertson.com
1 posts
msg #125548
Ignore tc@tculbertson.com
10/13/2015 3:43:38 PM

Hello Kevin or whoever,
I am an experienced programmer, new to stockfetcher.
My question is;
Which system is best for someone who wants to write their own code for screening?
stockfetcher, stradasearch, other?
Thanks for your help.
Thomas

Kevin_in_GA
4,548 posts
msg #125570
Ignore Kevin_in_GA
10/14/2015 12:41:00 PM

Depends on your timeframe - intraday I would use Thinkorswim or NinjaTrader. End of day I would use Stratasearch.

jackmack
333 posts
msg #125957
Ignore jackmack
10/30/2015 9:36:56 AM

Looks like still AGG for November?

Kevin_in_GA
4,548 posts
msg #125959
Ignore Kevin_in_GA
10/30/2015 11:00:49 AM

Well - yes and no. With the 3 month look back, both SPY and AGG ROCs are still negative, although AGG is less negative than SPY. With a simpler SPY/AGG system (6 month look back) SPY is ahead and barely positive in ROC. It really boils down to where SPY ends up at the end of the day. It must close above 210.50 in order to have a positive 3 month ROC, or above 208.46 to have a positive 6 month ROC. Right now it is at 208.85 so I would wait until the end of the day for the 6 month strategy (or for the three month system that deal is already over).

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 61 62 63 64 65 >>Post Follow-up

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