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StockFetcher Forums · General Discussion · Historical Data by Sector?<< 1 2 >>Post Follow-up
fotchstecker
158 posts
msg #123236
Ignore fotchstecker
3/17/2015 3:48:15 PM

Does anyone have or know of a really deep database of sector performance over the longest timeframes possible?

novacane32000
273 posts
msg #123251
Ignore novacane32000
3/18/2015 1:47:56 PM

What exactly are you looking for?

Kevin_in_GA
4,557 posts
msg #123259
Ignore Kevin_in_GA
3/19/2015 9:34:28 AM

Well, you can always use the Dow Jones sector indices as proxies - here is what is currently supported by SF:

^DJEC DOW JONES INTERNET COMMERCE IND
^DJT Dow Transport Index
^DJU Dow Utility Index
^DJUS DJ US TMI
^DJWS DJ WILSHIRE 5000 TOT
^DJX 1/100 DOW JONES INDUSTRIAL AVER
^DMA ISE ELECTRONIC TRADING INDEX
^DMT DLY MIRROW IDX
^DNZ AMEX FRO SETTLEMENT IWM
^DOC AMEX FRO SETTLEMENT GE
^DOWC DOW JONES COMP
^DOWI DOW JONES INDU
^DOWT DOW JONES TRAN
^DOWU DOW JONES UTIL
^DOWV TREASURIES IDX
^DRB SHR BBACK ACH IX
^DRCI DJ COMPREIT
^DREI DJ EQUITYREIT
^DRG PHARMCEUTICL NDX
^DSAE DJ US AERODEF
^DSAF DJ US DELIVRYSRV
^DSAG DJ US ASSETMNG
^DSAI DJ US ELECEQUIP
^DSAL DJ US ALUMINUM
^DSAM DJ US MEDEQUIP
^DSAP DJ US AUTOPARTS
^DSAR DJ US AIRLINES
^DSAS DJ US AEROSPACE
^DSAT DJ US AUTOPARTS
^DSAU DJ US AUTOMOBILE
^DSAV DJ US MEDIAAGN
^DSBC DJ US BRDCASTENT
^DSBD DJ US BLDGMATFIX
^DSBE DJ US BSTRNGEMP
^DSBK DJ US BANKS
^DSBM DJ US BASICMAT
^DSBS DJ US BSCRSRCES
^DSBT DJ US BIOTECHNO
^DSBV DJ US BEVERAGES
^DSCA DJ US GAMBLING
^DSCC DJ US COMMCHEM
^DSCE DJ US CONSELECT
^DSCF DJ US CLOTHACCSS
^DSCG DJ US TRAVLEIS
^DSCH DJ US CHEMICALS
^DSCL DJ US COAL
^DSCM DJ US PERSPROD
^DSCN DJ US CONSMATRLS
^DSCP DJ US CTNRS&PKNG
^DSCR DJ US CMPTRHRDWR
^DSCS DJ US SPLTYCNSRV
^DSCT DJ US SEMICONDTR
^DSCX DJ US SPCLTYCHEM
^DSCY DJ US CONSUMSRV
^DSDB DJ US BREWERS
^DSDN DJ US DEFENSE
^DSDR DJ US FDDRGRET
^DSDS DJ US INSUPPLIER
^DSDV DJ US CMPTRSRV
^DSEC DJ US ELCCOMPEQP
^DSEE DJ US ELECEQUP
^DSEN DJ US OIL&GAS
^DSEU DJ US ELECTRCTY
^DSFA DJ US FINADMIN
^DSFB DJ US FOOD&BEV
^DSFC DJ US FXLNTELCM
^DSFD DJ US FOODRTWHSL
^DSFE DJ US INDUSTMACH
^DSFH DJ US FURNISHNG
^DSFI DJ US FINCLSRV
^DSFN DJ US FINANCIALS
^DSFO DJ US FOODPRODRS
^DSFP DJ US FOODPRDCTS
^DSFR DJ US FORESTPAPR
^DSFT DJ US FOOTWEAR
^DSGF DJ US GENFINAN
^DSGI DJ US GENINDUST
^DSGT DJ US GENRETAIL
^DSGU DJ US GASDISTRIB
^DSHB DJ US HOMECONS
^DSHC DJ US HLTHCARE
^DSHD DJ US DURHLDPROD
^DSHG DJ US HLDGOODS
^DSHI DJ US HMIMPRETL
^DSHN DJ US NDURHLDPRD
^DSHP DJ US HLTHCRPVDR
^DSHR DJ US COMRVEHTRK
^DSHV DJ US HVYCONS
^DSIB DJ US INSBROKERS
^DSID DJ US DVSFINDUS
^DSIF DJ US FLLINEINS
^DSIG DJ US INDGDS&SRV
^DSIL DJ US LIFEINSUR
^DSIM DJ US INDMETALS
^DSIN DJ US INDSTRIALS
^DSIP DJ US PROPCASINS
^DSIQ DJ US INDSTENGNG
^DSIR DJ US INSURANCE
^DSIS DJ US SUPPORTSRV
^DSIT DJ US INDSTTRANS
^DSIU DJ US REINSURAN
^DSIV DJ US BUSSUPSRV
^DSIX DJ US NLIFEINSUR
^DSLE DJ US LEISGOODS
^DSLG DJ US HOTELS
^DSLW DJ US LOWCAP
^DSMC DJ US HCREQPSRV
^DSME DJ US MEDIA
^DSMF DJ US MORTGFIN
^DSMG DJ US MINING
^DSMS DJ US MDSUPPLIES
^DSMT DJ US MARTRANSPT
^DSMU DJ US MULUTILTES
^DSNC DJ US CONSUMGDS
^DSNF DJ US NONFERMET
^DSNG DJ US PERHLDGDS
^DSNS DJ US INTERNET
^DSOE DJ US ELECOFFEQP
^DSOG DJ US OILGAS
^DSOI DJ US OILEQPSRV
^DSOL DJ US INTGOILGAS
^DSOQ DJ US OILEQPSRV
^DSOS DJ US EXPLPROD
^DSPB DJ US PUBLISHING
^DSPC DJ US WSTDSPSRV
^DSPG DJ US PERSGOODS
^DSPL DJ US PIPELINES
^DSPM DJ US GOLDMNG
^DSPN DJ US PHARMBIO
^DSPP DJ US PAPER
^DSPR DJ US PHARMCTCLS
^DSPT DJ US PLTPRECMET
^DSRA DJ US APPRLRET
^DSRB DJ US BRDLNRET
^DSRD DJ US DRUGRET
^DSRH DJ US RESTHLDG
^DSRI DJ US RESTINVTR
^DSRP DJ US RECPRODUCT
^DSRQ DJ US RECSERVICE
^DSRR DJ US RAILROADS
^DSRS DJ US SPLTYRET
^DSRT DJ US RETAIL
^DSRU DJ US RESTRBARS
^DSSB DJ US INVSRV
^DSSC DJ US SEMCNDCTRS
^DSSD DJ US SOFTDRINKS
^DSSF DJ US CONSUMFIN
^DSSP DJ US SPECIALFIN
^DSST DJ US STEEL
^DSSV DJ US SFTCPTRSRV
^DSSW DJ US SOFTWARE
^DSTB DJ US TOBACCO
^DSTC DJ US TECHNOLOGY
^DSTK DJ US TRUCKING
^DSTL DJ US TELECOM
^DSTP DJ US TOPCAP
^DSTQ DJ US TECHHRDEQ
^DSTR DJ US TIRES
^DSTS DJ US TRANSSRV
^DSTT DJ US TRVLTOUR
^DSTY DJ US TOYS
^DSUO DJ US GASWTRMUT
^DSUT DJ US UTILITIES
^DSVN DJ US DISVINTNER
^DSWC DJ US MOBTELECOM
^DSWU DJ US WATER
^DTCI DJ COMPREIT TR
^DTEI DJ EQUITYREIT TR
^DTWC DJ COMPAVGTR
^DTWI DJ INDUS AVG TR
^DTWT DJ TRANSAVGTR
^DTWU DJ UTILITYAVGTR
^DTX DOW JONES TRANSPORTATION AVERAG
^DUSL DJ US LRGCAP
^DUSM DJ US MIDCAP
^DUSS DJ US SMLCAP


fotchstecker
158 posts
msg #123261
Ignore fotchstecker
modified
3/19/2015 11:04:48 AM

Thanks, Kevin. Very helpful, and a good idea.

fotchstecker
158 posts
msg #123262
Ignore fotchstecker
3/19/2015 11:09:15 AM

novacane32000, I'm looking at a sector rotation system and need the data to compare against other indices.


Kevin_in_GA
4,557 posts
msg #123270
Ignore Kevin_in_GA
3/19/2015 3:32:30 PM

Don't make your sector rotation model any more complex than it needs to be - there are a lot of models already developed for this, and to be honest the simpler the better. Otherwise you are moving in and out of lots of sector ETFs and get whipsawed and/or eaten by the commissions.

As you might have seen already, I am trading this one almost exclusively for 2015 with my discretionary funds -

Fetcher[
symlist(XLI,XLU,AGG)

set{rs, weekly ROC(20,1)}
set{difference, rs - ind(SPY, rs)}
set{null, 0}

rs above 0

ADD COLUMN SEPARATOR
add column rs {20 week performance}
add column separator
add column difference {relative strength}
SORT ON COLUMN 6 DESCENDING

chart-display is weekly
draw rs line at 0
]



XLU is not showing up since its relative strength is now below that of SPY.

This is the simplest I could make it - offense or defense. The 7 year backtest (1/2/2008 through 1/2/2015) handily beat the S&P 500. Why make it more complex?

Also, make sure to check out ETFReplay.com - LOTS of good stuff there.

fotchstecker
158 posts
msg #123271
Ignore fotchstecker
modified
3/19/2015 4:17:48 PM

Kevin, I can't thank you enough. From one post to the next, from one contribution to another. I know I have learned a lot from your perspective. I truly appreciate the time you've taken not just in these replies and also the posts over time.

fotchstecker
158 posts
msg #123278
Ignore fotchstecker
modified
3/20/2015 2:03:31 PM

Kevin, for this, are you rotating into the symbol that appears, meaning your buy signal is simply display?

If so, when two symbols show up, or on a new day if a second shows up (like AGG recently has), are you rotating into the one with the higher/highest relative strength? For example, if you offset to Feb 26, all three appear. XLI is the only RS in positive territory; the other two are negative.

Kevin_in_GA
4,557 posts
msg #123279
Ignore Kevin_in_GA
modified
3/20/2015 2:29:54 PM

You only invest in the one with the highest RS - note that the filter includes a line that says

SORT ON COLUMN 6 DESCENDING

That puts the one you want to be in at the top of the list.

This was originally developed using only XLU and XLI, all based on weekly bars. The rules are that every Friday you run the filter and if the stock you currently own (say XLI) is at the top of the list you stay pat. If it is not you sell at the open open on Monday and buy the other one. Here is how the two ETF strategy did from 12/29/2004 through 12/29/2014:

 photo XLU-XLI_zps0fd85253.gif

And here are the backtest metrics:

 photo XLU-XLIstats_zpsb7677491.gif

Like I said - not too shabby, and really easy to follow versus trying to jump in and out of 10 or 20 ETFs.

fotchstecker
158 posts
msg #123280
Ignore fotchstecker
3/20/2015 2:47:48 PM

Ah, I see now why you were using weeklies. This helps tremendously.

I had been using the XLI/XLU filter previously, but not in a disciplined way. I'm also at the very start of getting a grasp of StrataSearch so I can get some feeback from backtesting.

StockFetcher Forums · General Discussion · Historical Data by Sector?<< 1 2 >>Post Follow-up

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