| StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS | << 1 ... 46 47 48 49 50 ... 65 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #117004 - Ignore Kevin_in_GA |
11/23/2013 9:15:23 PM Keeping this strategy as simple as possible ... Whatever is the top performer after the close on 11/29 is the asset class for December. |
| Kevin_in_GA 4,599 posts msg #117109 - Ignore Kevin_in_GA |
11/28/2013 3:11:43 PM Looking like the switch will be from EFA to IWM for December. |
| dashover 226 posts msg #117128 - Ignore dashover modified |
11/30/2013 4:10:21 AM
Observations... Based on a very loose 30 day rolling period stretched as far back as the offset allows. This process is working well ytd but it requires a nicely trending market to provide solid profits. Note the 5-6 annual switches and the two years of treading water... One could see that 3 or 4 concurrent whipsawed signals could easily provide -20% type drawdowns but there is a lot of comfort with owning the strongest ETF. In this limited period back-test we never saw more than three negative periods back to back - though. Excuse my use of the 30 day offset versus precise month-end figures... Dash |
| Kevin_in_GA 4,599 posts msg #117129 - Ignore Kevin_in_GA |
11/30/2013 10:49:37 AM This approach uses a 90 day look back (technically 3 monthly periods). Not sure what your 30 day rolling window is supposed to do. You are now allocating based only on the last month performance. Does it yield better profit? |
| dashover 226 posts msg #117130 - Ignore dashover |
11/30/2013 3:04:36 PM symlist(spy,iwm,efa,agg) sort on column 5 descending set{diff2,close minus close 90 days ago} set{diff2%,diff2 / close 90 days ago} set{ratio90,diff2% * 100} add column ratio90 --------- Actually I sorted every 30 period by the ratio 90 ; So I was using the strongest ETF over the last 90 days each 30 day period I thought? Dash |
| Kevin_in_GA 4,599 posts msg #117131 - Ignore Kevin_in_GA |
11/30/2013 3:27:16 PM Sort of - SF uses trading days, not calendar days. There are 252 trading days per year, so a three month look back is actually only 63 days. |
| amtmail 34 posts msg #117132 - Ignore amtmail |
11/30/2013 5:59:18 PM Kevin, please is it the filter in page 43? how much the holding period 1 month or 3 months ? thanks |
| Kevin_in_GA 4,599 posts msg #117133 - Ignore Kevin_in_GA |
11/30/2013 8:39:28 PM It is the filter at the top of this page - just move the offset date as needed. |
| jimmyjazz 102 posts msg #117141 - Ignore jimmyjazz |
12/1/2013 10:57:38 AM amtmail, Kevin also provided this link a few weeks ago. Just bookmark it and review after the close of trading on the last day of each month, investing in the ETF with the best 3-month performance: http://finance.yahoo.com/echarts?s=SPY+Interactive#symbol=spy;range=3m;compare=iwm+efa+agg;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined; |
| amtmail 34 posts msg #117164 - Ignore amtmail modified |
12/3/2013 12:12:59 AM Kevin , do you feel that adding QQQ will be more profitable ? did you back test it ? See this link http://finance.yahoo.com/echarts?s=SPY+Interactive#symbol=spy;range=3m;compare=iwm+efa+agg+qqq;indicator=volume;charttype=area;crosshair=on;ohlcvalues=0;logscale=off;source=undefined; Thank you |
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