StockFetcher Forums · Filter Exchange · Question for Kevin_GA<< >>Post Follow-up
tennisplayer2
180 posts
msg #105422
Ignore tennisplayer2
3/13/2012 8:20:18 PM

Kevin, I would like to thank you for all the posts. I am new here. I am wondering which filter you are using for your 401k and how often do you reallocate. Thanks for your great work.

Kevin_in_GA
4,548 posts
msg #105424
Ignore Kevin_in_GA
3/13/2012 9:36:32 PM

I use a 3 month lookback on the ROC, and only reallocate if needed on the last trading day of the month.

Unfortunately, SF still does not provide monthly data despite multiple requests from members over the past few years. As a workaround one can use the following:

Fetcher[
symlist(spy,iwm,efa,agg)
offset 12/31/2011
]



Just look at which has done the best since then. At the end of each month, change the offset to the last day of the next month.

Kevin

tennisplayer2
180 posts
msg #105426
Ignore tennisplayer2
3/13/2012 9:52:46 PM

Thanks

mmaurice
51 posts
msg #105429
Ignore mmaurice
3/13/2012 11:24:24 PM

Similar but different, I use a 10mo MA method on SPY, EFA, IEF, DBC, VNQ.

On the 1st trading day of the month, If each previously closed above its 10mo MA buy in, if not either sell or stay out.

Ready the Ivy Portfolio for a great study on this method.

Kevin_in_GA
4,548 posts
msg #105430
Ignore Kevin_in_GA
3/13/2012 11:37:18 PM

I based my system on Faber's work as well. You'll see both the TAA system and a 9 month MA timing system on my web site. Both are simple to follow and work nicely on long term investment acounts such as 401ks.

tennisplayer2
180 posts
msg #105432
Ignore tennisplayer2
3/14/2012 5:29:11 AM

Kevin and MMaurice, thanks for y'all suggestions. Kevin, I really like the very first filter that you talked about (the one on page one of Portfolio Selection and Management, using IWM, EEM, SHY). Is the one with 3 month lookback statistically much better? On the one with the 3 month lookback, is it correct that at the end of March 2012, I would set the offset date to 12/31/2011 and at the end of April, the offset date would be set to 1/31/2012? I know that the decision will be up to me, but I'm just amazed on the great work that you have done for me and others. If I had read your posts before 2009, I would be much better off. Thank you very much.

jackmack
333 posts
msg #106983
Ignore jackmack
7/11/2012 1:42:55 PM

Kevin
Is there a way to add a rack to this filter?
1 through 4?

Thank you

jackmack
333 posts
msg #106984
Ignore jackmack
7/11/2012 3:10:05 PM

Kevin - sorry RANK (not rack)

Kevin_in_GA
4,548 posts
msg #106987
Ignore Kevin_in_GA
7/11/2012 7:51:46 PM

Yes, I posted the code for ranking these in the original thread. Just look toward the end of the thread, maybe back five pages or so.

duke56468
683 posts
msg #106996
Ignore duke56468
7/12/2012 9:12:06 AM

This maybe the one Kevin was talking about, just change the symbols.

Fetcher[
/*14 WEEK PERFORMANCE AS RANK VARIABLE*/

SET{perf, weekly roc(14,1)}
SET{perf2, perf/100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf14, perf - RISKFREERETURN}
SET{STD14, CSTDDEV(weekly CLOSE,14)}
SET{VOL14, STD14 / weekly MA(14)}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE14a, perf2 / VOL14}
set{sharpe14, sharpe14a * 0.5189}

set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(IVV, var1)}
set{var1b, IND(IWM, var1)}
set{var1c, IND(EEM, var1)}
set{var1d, IND(AGG, var1)}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, RANK1A + RANK1B}
SET{RANK1F, RANK1C + RANK1D}
SET{RANK1G, RANK1E + RANK1F}
SET{RANK, 4 - RANK1G}

ADD COLUMN SEPARATOR
ADD COLUMN RANK {current rank}
ADD COLUMN SEPARATOR
ADD COLUMN WEEKLY ROC(14,1) {14 week performance}
add column sharpe14 {sharpe ratio}
add column corr(^spx,70, close) {correlation to S&P 500}

SYMLIST(IWM,EEM,IVV,AGG,)
SORT ON COLUMN 6 ASCENDING
chart-display is weekly
CHART-TIME IS 26 WEEKS
]



StockFetcher Forums · Filter Exchange · Question for Kevin_GA<< >>Post Follow-up

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