StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 37 38 39 40 41 ... 65 >>Post Follow-up
210 posts
msg #107355
Ignore tennisplayer2
8/4/2012 3:10:58 PM

Kevin, are the timing optimizations for reallocations still 14 for the weekly and 3 for the monthly? Thanks. BTW, is there a program for this? If not, what are the calculations. Thanks.

334 posts
msg #107427
Ignore jackmack
8/7/2012 12:22:30 PM

Quick question for you - why did you change from the original filter on page 1?
I see the ROC and TTI results and they are fine by any stretch but your first filter (similar to ETFReplay)
had better results - so just trying to understand why the migration from one to the other.
Thank you

210 posts
msg #107803
Ignore tennisplayer2
8/25/2012 8:29:16 AM

Unless the markets change drastically, Kevin's TAA system will have us switching to EFA from AGG at the end of the month.

4,599 posts
msg #107805
Ignore Kevin_in_GA
8/25/2012 9:34:28 AM

As it stands, that is the call. I have not been overly satisifed with this year's performance, as it is lagging the S&P by a fair amount (the first time in six years). I check the monthly timing each month by re-running the optimization over a moving 5 year window.

The three month ROC ranking is still the leader as of yesterday, returning 65% since 8/23/2007, versus -0.47% for the S&P 500. 16 of 21 trades were profitable (76%).

The TAA system has been in bonds since 5/31 while the market has continued to make gains against most people's expectations. September is historically the worst month for the markets, so I am a bit hesitant to jump into stocks unless there are other strong indicators to do so.

287 posts
msg #107806
Ignore novacane32000
8/25/2012 2:23:44 PM

First a double check . I believe the filter below is currently the one in use, correct?

If so ,SPY jumped to #1 back on 8/6/12. Would you still wait until the end of the month to make the switch?


set{var1,WEEKLY ROC(14,1)}
set{var1a, IND(SPY, var1)}
set{var1b, IND(IWM, var1)}
set{var1c, IND(EFA, var1)}
set{var1d, IND(BND, var1)}

ADD COLUMN WEEKLY ROC(14,1) {14 week performance}

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)}
ADD COLUMN RANK {current rank}

chart-display is weekly

210 posts
msg #107874
Ignore tennisplayer2
8/31/2012 10:42:35 AM

If this holds, Kevin's TAA is indicating buy SPY. My gut tells me that we are fixing to have a correction, but Kevin's filter is better than my gut. I may switch half from AGG to SPY.

334 posts
msg #107876
Ignore jackmack
8/31/2012 10:55:52 AM

Same here - I am trying to learn and remove my feelings and trust the model.
Mainly because my feeling are horrible at trading ;-)

210 posts
msg #107877
Ignore tennisplayer2
8/31/2012 11:03:17 AM

That's why I'm so thankful for people like Kevin who post filters here to try to help others. I know that the filters are not a sure thing, but it gives us a great guideline.

4,599 posts
msg #107878
Ignore Kevin_in_GA
8/31/2012 12:33:00 PM

I'm not all that comfortable moving into EFA right now. Europe has a host of internal issues that are glaringly obvious, and I don't think that I am all that psyched about buying into that with all of my funds.

However, if they do kick the can down the road one more time, and you've got the normal seasonal move up in equities AND the presidential election run up, this might be a good play.

The re-allocation does not technically happen until Tuesday at the open, but I might wait a week beyond that to see what happens. Call me a chicken.

64 posts
msg #107892
Ignore Rick67
9/2/2012 5:33:49 PM

For those of you who have trouble trading due to you mind... read this book. Wish I had bought it years ago...

"Mindful Trading: Mastering Your Emotions and the Inner Game". This book is about building an effective psychological mindset so that you can trade your methodology from a peak performance state of mind. Many traders have expressed to me their frustration of knowing how to trade, but not being able to manage their emotions and mind while trading. And they ask, “How do I develop my state of mind so I can realize my methodological edge?” This book is an answer to those questions

You can Google it.

StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 37 38 39 40 41 ... 65 >>Post Follow-up

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