StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 61 62 63 64 65 >>Post Follow-up
dashover
146 posts
msg #126036
Ignore dashover
11/3/2015 3:31:31 PM

'And there's the rub in mechanical systems..

Easy to miss out on a 10% market move,
Then be signaled in, only to whipsaw out..
Frustrating...

Dash


dashover
146 posts
msg #126837
Ignore dashover
1/20/2016 11:10:55 AM

Great Call!, wish I was listening harder...

Kevin_in_GA
3,976 posts
msg #126843
Ignore Kevin_in_GA
1/20/2016 2:31:41 PM

You and me both - I had stayed long in all of my portfolios using the 6 month system and have been beaten up pretty badly over the last two months. A situation where I second guessed the algorithm (thinking that the markets would not drop after the Fed raised rates). Now I will ride out a few months of turbulence, I guess.

jackmack
307 posts
msg #127784
Ignore jackmack
3/31/2016 3:50:27 PM

SPY for April

dashover
146 posts
msg #128304
Ignore dashover
5/3/2016 4:40:12 PM

http://www.optimalmomentum.com/gem_allocation.html

Kevin, have you reviewed his long term work.

250+ 5 ***** reviews on amazon


Kevin_in_GA
3,976 posts
msg #128312
Ignore Kevin_in_GA
5/4/2016 2:47:04 PM

Thanks for pointing this out - do you happen to know what his timing strategy is? Obviously it is going to be similar to this thread's approach so I'd love to be able to compare and crank out a SF filter for it.

dashover
146 posts
msg #128314
Ignore dashover
5/4/2016 4:06:32 PM

The relative momentum rule requires a comparison of the past 12 month returns for U.S. versus international stocks. The absolute momentum rule compares the higher trending of these two stock markets to the past 12 month returns for t-bills. If the S&P 500 has a higher return than both international stocks and cash, you hold the S&P. If international stocks have a higher return than the S&P and cash, you hold international stocks. If cash has a higher return than stocks, you hold the bond fund.
The rules are only checked once a month for rebalancing purposes, which leads to a fairly low turnover compared to other momentum strategies. According to the book, going back to 1974, the strategy only made an average of 1.35 changes per year.


http://www.optimalmomentum.com/gem_allocation.html

Currently in bonds..

Worth a read and I can't believe that this isn't adjusted more than 1.35 times a year..

Dash

c1916
50 posts
msg #130609
Ignore c1916
8/26/2016 3:20:31 PM

Isn't this similar to the "Simple Monthly Rotation" theory?

symlist(spy,iwm,efa,agg)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)

You could certainly change the funds to tie closer to the Optimal Momentum guys. Basically, you move your funds into the top rated fund at a fixed date in a given month (on August 1, would have been AGG, which still holds today). I've seen historical results of this somewhere...just can't put my fingers on it right now.

There's also a "Complex Monthly Rotation" that brings in more fund options.

symlist(SPY,EEM,IWM,SHY,DBA,DBB,DBC,USO,XRT,XME,XHB,KBE,VNQ,VTI,VVR,IWP,IWR,IEF,PCY,BKF,IWC,WIP,VBR,AGG,EFA)
sort on column 5 descending
set{start,date(20150715,close)}
set{ch,close - start}
set{sort,ch / start}
set{sort%,sort * 100}
add column sort%
and draw RSI(15)
and draw TSI(25,13,9)
and draw Aroon Up(25)
and draw Aroon Down(25)
and draw MACD Histogram(12,26,9)
and draw MACD Slow Line(12,26,9)
and draw MACD Fast Line(12,26,9)

Note: Not trying to pass this code off as mine. When I find the original notes on this, I'll cite the original author.

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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