StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 6 7 8 9 10 ... 65 >>Post Follow-up
Kevin_in_GA
4,536 posts
msg #92142
Ignore Kevin_in_GA
modified
5/5/2010 4:14:07 PM

Guymar:

Here I might disagree with you - from my point of view, the objective is to determine if the relative strength method is one that can consistently deliver higher returns than the SPY over a reasonable time frame (say 1 year or longer).

Statistical sampling here can be in weeks, months, or quarters. Since Jan 1 2003 there have been 384 weeks, 88 months, and roughly 22 quarters.

Regardless of the rebalancing period used, this method delivers higher returns (SPY return at 53.2% as of close today):

weekly - 168.9%

monthly - 383.5%

quarterly - 338.2%

ciscoslaves
5 posts
msg #92145
Ignore ciscoslaves
modified
5/5/2010 4:52:01 PM

Hi, in case anyone is interested in the results, I backtested using Vanguard Sector ETFs and SHY as a proxy for cash to Jan 2007.

I used:
VCR , VDC , VDE , VFH , VHT , VIS , VGT , VAW , VNQ , VOX , VPU

I picked the top three results each month and bought equal positions. If SHY was indicated by the original filter, I went to cash for the entire month.

These are the numbers I came up with, with compounded :

2007 - 12.4% return
2008 - 14.15% loss
2009 - 36% return
2010 - 11.9% return

Overall, from Jan 2007 - now, a 46.2% return. Not bad, but not as good as Kevin's simpler strategy of just using EEM, IWM, and SHY.



davesaint86
263 posts
msg #92146
Ignore davesaint86
5/5/2010 4:58:40 PM

I went to the ETFReplay site and ran the relative strength backtest using IWM, EFA, and SHY. SPY was the benchmark. The gains since 2003 was 147%. The weighting I used was 40, 30, 30.

Question - How come the bar chart % gains do not match what is in the big chart? Which one is correct?

Thanks,

Dave

Kevin_in_GA
4,536 posts
msg #92147
Ignore Kevin_in_GA
modified
5/5/2010 5:04:50 PM

Dave: Look more closely - you need to subrtract the initial 100,000 investment from the chart to get the return.

Also, try 50% on 3 month, 50% 20-day, 0% volatility. Higher returns but also higher volatility.

EDIT: I ran these ETFs at the settings I listed above - return since 2003 is up to 215.5% versus the SPY at 52.3%

Volatility was at 16.1% versus 21.4% for the SPY

If you run it with VWO, the return is now up to 324.2%

If you run it with EEM, the return is a whopping 477.1%, more than double that EFA generated.


This is why EEM was my emerging market ETF of choice ...

davesaint86
263 posts
msg #92149
Ignore davesaint86
modified
5/5/2010 5:18:57 PM

Thanks Kevin for answering all of my questions.

If anyone out there needs a conservative buy & hold ETF strategy 5-8% per year these ETFs and Weightings same to do pretty well even in 2008.

BND - 25%
BSV - 25%
SHY - 25%
GLD - 25%

Dave

hmsb4494
62 posts
msg #92165
Ignore hmsb4494
5/5/2010 8:07:37 PM

Kevin---i'm a little confused (nothing new)

on etf backtest using eem, iwm, and shy I ran the 3 month time period with 100% weight.

I got 317% since 2003

When I ran the same using the 3 month 50% weight, and another 3 month 50% weight, I GOT 448% SINCE 2003.

Whats happening here???

Kevin_in_GA
4,536 posts
msg #92167
Ignore Kevin_in_GA
5/5/2010 8:22:06 PM

I just ran it with those settings and got the same answer for 50/50 or 100/0 = 448%. No apparent glitch.

hmsb4494
62 posts
msg #92168
Ignore hmsb4494
5/5/2010 8:37:29 PM

try this Kevin-----3 month 100% 6 month 0

hmsb4494
62 posts
msg #92169
Ignore hmsb4494
5/5/2010 8:39:48 PM

if you change return b time period, it changes total return---even though the weight on the different time period is 0


Kevin_in_GA
4,536 posts
msg #92170
Ignore Kevin_in_GA
5/5/2010 8:42:59 PM

Yeah, numbers are different. Hey, it's not my site, guys! I think it must be looking for some second timeframe, and factor it in even if it is set to 0.


I still think the 50/50 split numbers are solid. I also know that I backtested my shorter filter by hand from 2007 - today, and it gave very simliar results.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 6 7 8 9 10 ... 65 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus