StockFetcher Forums · View by Author: Kevin_in_GA (3,453 messages) ·  [ Display By: Date / Subject ]<< 1 ... 2 3 4 5 6 ... 346 >> 
Filter Exchange · Need help with RSI (2) formula
Kevin_in_GA
msg #122835
2/13/2015 10:17:51 AM

"add column reversersi(2,50)"

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
Kevin_in_GA
msg #122834
modified
2/13/2015 10:17:11 AM

Starting in 2015 my focus is entirely on investment systems rather than trading systems - the main thrust being low frequency asset allocations rather than daily or weekly holding periods for individual stocks. I have looked at my trading record over the last few years - some mechanical and some purely discretionary - and while I have done OK I could have done just as well or better over the last 10 years using simple asset allocation strategies. I'll actually be publishing a set of strategies (mostly developed by others and validated by extensive backtesting) in a separate thread later this week.

My motto for 2015 - "there is nothing wrong with getting rich slowly and sleeping well every night."

Filter Exchange · PANGOLIN Z AND PANGOLIN W - FULL SYSTEM CODE
Kevin_in_GA
msg #122830
2/13/2015 9:16:52 AM

Yes - the Pangolin was an oddly compelling animal (sort of the offspring of an illicit affair between an armadillo and an anteater). When I was trying to create a unique name for the system, this just popped into my head.

Hopefully folks are reviewing this and tracking its progress over the next few months.

General Discussion · Kevin?
Kevin_in_GA
msg #122822
2/12/2015 1:34:56 PM

Well, I had written a prior "timing filter" based on this, but I did not validate the idea against individual stocks:

http://www.stockfetcher.com/forums/Filter-Exchange/A-LITTLE-PIECE-OF-CODE-ON-VOLATILITY/118585/0

The basic question is "does recent volatility indicate an impending move up or down?". We typically see high volatility with downturns and low volatility with upward trends. That is the basis for what I cobbled together in the post listed above. I did not backtest this so no promises it does anything, but you can eyeball it for SPY over the last two years and make your own conclusions.

Filter Exchange · TRADING DIVERGENCES ON THE S&P 500
Kevin_in_GA
msg #122786
2/8/2015 7:34:56 PM

Steve:

These filters are each capable of being traded individually, or used in concert to scale into a large position in SPY. The exits are all the same, and each one (at the time of the original posting) had very high win percentages. I have not tracked the performance of this system in quite a while so I rally couldn't tell you if the exact settings still work as well.

Each was developed against what I would now consider to be too short a time period (only 1 year). Nonetheless they did quite well and I traded them successfully for a while before moving on to other concepts I wanted to explore.

Kevin

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #122782
2/7/2015 4:36:52 PM

The constant rebalancing needed on that filter makes backtesting a real challenge. I think in general it overweights Bonds since their volatility is low - although they have had near-equity like returns over the last 10 years so maybe it is not a big concern over the long run.

General Discussion · HOW TO MAKE "OR" STATEMENTS IN SF
Kevin_in_GA
msg #122721
2/2/2015 1:44:21 PM

You should search on "COMPLETE LOGIC SYSTEM" - this has been worked out by Avery (aka TRO) a number of years ago.

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
Kevin_in_GA
msg #122692
1/30/2015 10:06:07 AM

Yes. I have been using the following as a guide as well:

Fetcher[
symlist(spy,agg)

add column weekly roc(13,1) {3 month roc}
add column separator
add column weekly roc(26,1) {6 month roc}
add column separator
add column weekly roc(39,1) {9 month roc}
add column separator
add column weekly roc(52,1) {12 month roc}
add column separator
sort on column 7 descending
chart-display is weekly
]



This is a simpler system - you are either in equities or bonds, and not slicing up the equities into three relatively highly correlated classes. Using this method, the optimal time frame was 6 months (here reflected as the 26 week ROC). In that case you stay in SPY.

The other system I am using for 2015 is this:

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
]



Here you are looking at the relative performance of Utilities versus Industrials (defensive sector versus offensive sector). Clearly Utilities have crushed Industrials over the last few months - indicating a defensive posture for the near term. I have added AGG in on this since there are times when both XLU and XLI weekly ROC(20) could be negative, and then AGG is most likely positive. Note also that AGG is outperforming XLI over this time frame as well.


General Discussion · All my backtests suck
Kevin_in_GA
msg #122675
1/29/2015 1:27:15 PM

Dashover:

All critique of SF's backtesting capabilities aside, how do you know you have a solid filter until you backtest it? The VAST majority of filters posted here have no exit strategies listed, and usually never have backtest data. The results you cite are actually quite typical for most systems, which is why stock picking is such a challenge.

Consider investing rather than trading - this is what I am doing for 2015. I am using a market timing system where I am either in SPY or AGG. Nothing else. Life gets a lot less complicated that way, and I'll beat the market over the long haul - which is more than most filters here at SF can do.

Filter Exchange · Kaufman's efficiency ratio
Kevin_in_GA
msg #122630
1/27/2015 1:38:44 PM

@four: Interesting read, but it seems that the author is advocating using the efficiency ratio for exits rather than entries. This basic idea is also part of most of Larry Connors filters using a different metric (number of consecutive down days). I played with this a while back looking on Stratasearch and you can make a reasonably decent system with it. Not crushing the market, but OK.

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