StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 7 8 9 10 11 ... 65 >>Post Follow-up
hmsb4494
62 posts
msg #92171
Ignore hmsb4494
5/5/2010 8:46:57 PM

Just making sure it wasn't me.

I really appreciate your work here Kevin!



hmsb4494
62 posts
msg #92189
Ignore hmsb4494
5/5/2010 10:48:32 PM

The following is from etfreplay support:

think about the length of the ReturnA, ReturnB and volatility time period parameters and how that may relate to


1) the inception date of the ETFs
2) when the backtest begins



you can see that there are multiple variables at work here --- each parameter you set in those drop-menus is being converted to very literal software code. if you set ReturnB to 6 months, that parameter will logically tell the computer to include only ETF's with a minimum of 6 months history. if you now set ReturnB to 12 months, that parameter will logically tell the computer to include only ETF's with a minimum of 12 months of history, even if set to a weight of zero. so it may look like you are doing the exact same thing -- but the code actually has rules based on the parameters you set. if you set a parameter differently, different code will run -- so then you have to think about why that may have occured. Many ETF's don't have long histories and so the user will at times have some trouble seeing why something like this is different -- all we can do is try to deal with any anomalies as they come up.


Kevin_in_GA
4,541 posts
msg #92219
Ignore Kevin_in_GA
modified
5/6/2010 12:41:25 PM

Their response seems reasonable. Their tool is just that - a tool to test strategies. Now that you are aware of its glitches, you can still use it very effectively. The site is a real jewel for many investors - I think it helps to put ETFs and risk/return strategies in a clear light.

I know that several posters in this thread expressed concern about buying IWM at the end of last month, given that a major correction might be beginning. In order to take advantage of this system, you will at some point need to commit and jump in (and then ignore that investment til the end of the month).

If you bought in at the close on Friday, you were in at $71.65. As of this writing, IWM is at 69.14, a drop of only 3.5%. Given that you were in IWM at the beginning of Jan at $63.19, you are still beating the market (you are up 9.4%, compared to 3.0% for the SPY).

Where will IWM be in a month? Not sure, but you are still going to be ahead of the market when we get there. If SHY rises to the top because we have had a major corrective move, then you sell IWM and buy SHY. This is a system, and like any system it will have down months - the goal is to have more up months than down, and to have more months that beat the SPY return than lose to it.

sbuck143
88 posts
msg #92222
Ignore sbuck143
5/6/2010 1:05:54 PM

One thing the site has raised my awareness of (but with very little way to automatically test it) is how a monthly rebalance perspective would assist many other strategies.


Their MA crossover tool for example, shows the benefits of basically just checking the MA vs price one time a month and making your decision based on that. Using a 200 day SMA, checking at the end of the month eliminated the majority of whipsaws, and skyrocketed the overall return.


One thing I am not certain of on that particular aspect of their site (MA test) is that they use their "total return" chart which they tout as the only real way to look at what an ETF/stock gives you. I agree to a certain extent.....when calculating returns. But for price action, dividend payouts for example are already factored into the chart. A stock drops by the amount of the dividend, for example.

But they aren't very clear what they use for their cross-overs. I guess it really doesn't matter, but to me MA crossovers should be done with pure price action, not with something that doesn't represent the stock actually hitting a definitive price point.

davesaint86
265 posts
msg #92223
Ignore davesaint86
modified
5/6/2010 1:19:10 PM

So Kevin, are you going to only trade EEM, SHY and IWM in your 401k? What about your non-401k account/s. Are you going to keep is simplified or add other ETFs to the mix. I think I'm going to add GLD to the mix for my non-401k Account.

Dave

Kevin_in_GA
4,541 posts
msg #92247
Ignore Kevin_in_GA
5/6/2010 6:39:04 PM

So Kevin, are you going to only trade EEM, SHY and IWM in your 401k? What about your non-401k account/s. Are you going to keep is simplified or add other ETFs to the mix. I think I'm going to add GLD to the mix for my non-401k Account.

Dave
+++++++++

I have two 401k accounts - one is entirely in smallcaps as of the close last Friday (based on the IWM signal generated from the filter). The majority of the second account is being professionally managed by an outside firm, and is split into equal parts Large cap, Small cap, Large cap value, and bonds. Obviously these took a bit of a hit this week.

My trading acount (a separate section within the second 401k) has been entirely in cash since the middle of last week. In this instance luck favors the lazy!

hmsb4494
62 posts
msg #92395
Ignore hmsb4494
5/9/2010 10:55:14 PM

The backtests from etfreplay on eem, iwm, shy have changed due to the current market enviroment. The monthly

rebalancing was the most profitable, but now the quarterly rebalancing is the most profitable in every year since 2004, and

2003 the monthly was just slightly better than the quarterly.


I am trying to understand why this has changed.

Anyone got any ideas???



Kevin_in_GA
4,541 posts
msg #92404
Ignore Kevin_in_GA
5/10/2010 12:43:09 AM

Is IWM still the pick for the month and for the quarter?

I looked at increasing the relative proportion for the volatility from 0 to as high as 50% - it currently reads IWM for a wide range of settings, which argues that it is the right choice for the moment.

Kevin_in_GA
4,541 posts
msg #92425
Ignore Kevin_in_GA
5/10/2010 7:16:28 PM

Well, IWM did well today, recovering 5+% from its drop last week. Recent volatility is high (obviously) but this approach has historical backtest returns that most fund managers would kill for.

hmsb4494
62 posts
msg #92430
Ignore hmsb4494
5/10/2010 8:13:27 PM

as of today the quarterly rebalancing is still the most profitable by far since 2004. Volitility is also higher on the quarterly rebalancing----sometimes a great deal higher!

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 7 8 9 10 11 ... 65 >>Post Follow-up

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