campbellb75
101 posts
msg #96161
- Ignore campbellb75 |
9/10/2010 7:54:10 PM
Kevin-
Are you sure you have the correct date stating that one would have moved their assets into AGG on 5/7? According to the filter one would have been in GLD.
Weekly TSI (5,5,1)
GLD - 54.88
VNQ - 17.12
AGG - 11.70
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Radiomuse
288 posts
msg #96167
- Ignore Radiomuse |
9/10/2010 10:23:44 PM
I'm getting the same results for 5/7 - GLD on top with a TSI of 54.88. I really like this idea though, and think I might run a strategy like this, couple of questions....
- planning to use TLT (long-term treasuries) instead of AGG. More volatility, but also low correlation with the other asset classes.
- can a strategy like this, with weekly, bi-weekly, or monthly rebalancing be backtested in Stockfetcher? I tried to simulate a weekly rebalancing by plugging in both a minimum and maximum holding period of 5 days - I can't explain exactly what happened (weird stuff), but it definitely didn't work.
- what made you switch to a weekly rebalancing instead of monthly? With the different portfolio's I ran in etfreplay, it just seemed to lower the returns and increase the volatility...
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Kevin_in_GA
4,599 posts
msg #96170
- Ignore Kevin_in_GA |
9/11/2010 9:04:35 AM
Kevin-
Are you sure you have the correct date stating that one would have moved their assets into AGG on 5/7? According to the filter one would have been in GLD.
Weekly TSI (5,5,1)
GLD - 54.88
VNQ - 17.12
AGG - 11.70
+++++++
You're correct. If you look at the posts in this thread, you'll see that the original desgn and filter did not include VNQ or GLD. Hence, if you had been following this, you would be in AGG all that time. I have added in GLD and VNQ to further diversify this set of asset classes, but I cannot trade either of them in the account I am using for this.
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Kevin_in_GA
4,599 posts
msg #96171
- Ignore Kevin_in_GA |
9/11/2010 9:12:18 AM
I'm getting the same results for 5/7 - GLD on top with a TSI of 54.88. I really like this idea though, and think I might run a strategy like this, couple of questions....
- planning to use TLT (long-term treasuries) instead of AGG. More volatility, but also low correlation with the other asset classes.
- can a strategy like this, with weekly, bi-weekly, or monthly rebalancing be backtested in Stockfetcher? I tried to simulate a weekly rebalancing by plugging in both a minimum and maximum holding period of 5 days - I can't explain exactly what happened (weird stuff), but it definitely didn't work.
- what made you switch to a weekly rebalancing instead of monthly? With the different portfolio's I ran in etfreplay, it just seemed to lower the returns and increase the volatility...
++++++
You cannot run this filter on a site like ETFReplay, because the RS and TSI calculations used in each are different. TSI is an intrinsic measure of strength, normalized and bounded between 100 and -100. Relative Strength is unbounded and is measured against a benchmark such as the ^SPX. Similar in concept but different in execution.
Weekly rebalancing back tested as the best when I looked at daily/weekly/monthly. For me it represents a good compromise between responsiveness and volatility.
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Kevin_in_GA
4,599 posts
msg #96231
- Ignore Kevin_in_GA |
9/13/2010 2:37:53 PM
I switched into the Emerging/International Markets fund this morning. Should have done it on Friday, but was traveling.
Note that even with AGG gaining 0.25% so far today, it has dropped in its TSI score. Currently dead last. This indicator is a good one for longer trend trading. For shorter time frames, I would use the VXX/SPY ratio - this called a long position on 8/27 and is still signalling to stay long.
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blackthought
25 posts
msg #96367
- Ignore blackthought |
9/18/2010 2:06:54 AM
hey kevin,
i am a big fan of your work.
i have been looking at this filter and i have a question. wouldn't adding the UUP (US Dollar Fund) , DBA (Agriculture Fund), SLV (Silver Trust) , & USO (United States Oil Fund) paint a bigger/clearer picture of what's going on?? thanks.
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duke56468
683 posts
msg #96552
- Ignore duke56468 |
9/24/2010 9:22:07 PM
Kevin have you discarded the bottom filter in favor of the top one? They do give different results. Thanks for all your help.
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Kevin_in_GA
4,599 posts
msg #96558
- Ignore Kevin_in_GA |
9/25/2010 1:41:19 PM
Actually they give the same results ... the TSI settings are different but the rank ordering is the same. In the more recent filter I have added in GLD and VNQ, but I cannot trade them.
Both filters still say to hold VWO.
As to which one I currently use, it is the most recent. The weekly TSI(5,5,1) backtested to be the most consistent and profitable of a series of TSI settings. I posted the results in this thread previously.
Good week - all six asset classes went up. You basically couldn't lose money (except for me, who is still holding SPXU).
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duke56468
683 posts
msg #96559
- Ignore duke56468 |
9/25/2010 5:03:05 PM
My bad ...I don't know how I got "sort on column 1 ascending" in the top filter, GRIMLINS. Thanks again Kevin.
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Kevin_in_GA
4,599 posts
msg #96560
- Ignore Kevin_in_GA
modified |
9/25/2010 7:45:08 PM
Sort on Column 1 in the top filter is correct - I specifically sorted it that way (not to have the top score be the first on the list, but to position each ETF so that the subsequent columns on Correlation formed a correct correlation matrix).
The correlation matrix tells you how efficiently diversified is your set of ETFs. I figured that anyone using this filter can quickly look at the scores and see which one is the highest. The deeper insight on this system is to be sure that your asset classes are uncorrelated so that you have options that are rising when others are falling.
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