campbellb75
101 posts
msg #104045
- Ignore campbellb75
modified |
12/29/2011 5:42:52 PM
Shillllihs-
Rather than criticizing Kevin's SPY/VXX filter, why don't you work on something better - either optimizing the filters he's already created or coming up with your own ones from scratch? Kevin never said his are perfect, and if they were do you really think he'd be posting them here? He's posting them to help out the rest of the Stockfetcher community and get some worthwhile discussions in this forum going (as opposed to the completely useless ones Optionplayer posts).
Thanks for your contributions, Kevin.
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shillllihs
5,975 posts
msg #104046
- Ignore shillllihs |
12/29/2011 6:36:20 PM
"Kevin never said his are perfect, and if they were do you really think he'd be posting them here"?
Telling, very telling...
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Kevin_in_GA
4,599 posts
msg #104047
- Ignore Kevin_in_GA |
12/29/2011 9:07:50 PM
I really don't want to get into a protracted discussion on this - everyone can use what I post here or modify as they see fit. If one doesn't like the results, that's OK as well. I am at the point on this particular filter where I think further modification is not very useful, but if others want to take a crack at it feel free to do so.
This approach is the main one I use to manage my retirement accounts, as you can see at my web site.
Kevin
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jackmack
334 posts
msg #104049
- Ignore jackmack |
12/30/2011 8:57:48 AM
Kevin - keep up the great work - shrug it off and move on - I'm a believer
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duke56468
683 posts
msg #104050
- Ignore duke56468 |
12/30/2011 9:37:47 AM
Kevin...I think we all appreciate your generous contributions to the StockFetcher community, and your unselfish willingness to share. It is also evident in your FREE website. http://www.statisticalinvesting.com/#!
Thanks again.
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Kevin_in_GA
4,599 posts
msg #104110
- Ignore Kevin_in_GA |
1/1/2012 11:06:55 AM
NOTE: The monthly system (3 month lookback using the monthly close) indicates a move into small caps as of 1/2/2012. The 14 week system made this call on 12/5, and is down about -0.88% for the month of December.
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johedale
2 posts
msg #104491
- Ignore johedale |
1/18/2012 2:50:50 PM
Kevin,
Bravo! Great work on this thread. This thread led me to ETF Replay and some real tangible trading ideas for my retirement accounts. I have also more recently been playing around with StrataSearch based on your review of it in some of your other threads. My question is if you have coded a similar technique to ETF replay's(rankings based on different time periods and volatility) into Strata?
Thanks.
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Kevin_in_GA
4,599 posts
msg #104493
- Ignore Kevin_in_GA |
1/18/2012 3:54:13 PM
My question is if you have coded a similar technique to ETF replay's(rankings based on different time periods and volatility) into Strata?
+++++
No, but it is easily done (even can do this in SF if you think through the code carefully).
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jackmack
334 posts
msg #104545
- Ignore jackmack |
1/20/2012 7:26:06 AM
Kevin
Just messing around with your filter from page one and used the 30 stocks of the DOW
and it is really amazing how these are now ranked - I never thought of looking at them
this way - just thought I'd throw that out for anyone else to look at individual stock ideas.
Thanks again for your work
jackmack
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jackmack
334 posts
msg #104645
- Ignore jackmack
modified |
1/26/2012 8:02:59 PM
Kevin
Just wondering if you had looked at using the rotation filter on page one and applied it to the DOW 30.
I do not have the capabilities to run a back test on these but I am willing to bet that the 90 day look back
filter would give some amazing results and you could go way back since the data for these 30 would be
readily available (the only hick up would be determining which stocks were in at the time since the DOW 30
do change through the years but you could use this link (http://en.wikipedia.org/wiki/Historical_components_of_the_Dow_Jones_Industrial_Average) to select when
a stock dropped out and plug the new one in.
I am willing to bet that you will get some KILLER results since you can go back to say 1990 and test forward
and get the appropriate results.
I am just really curious if this filter works on individual stocks of highly liquid stocks and gets better - same - worse
results in CAGR than the ETF model does.
Please advise
Thank you
sorry - meant the 30 day look back (not 90) and hold only one position - starting with $10,000 and rolling all gains into the
next pick. I know you review beta and sharpe ratio's in the ETF model and would like to know if it could be run for this.
ETF Replay is unfortunately only for ETF's as all here know and there isn't any site I can find that is similar for stocks
to run a back test like this filter you have here and since you run some amazing filters just thought I would ask.
Thank you
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