jackmack
334 posts
msg #122783
- Ignore jackmack |
2/7/2015 6:04:43 PM
Understood - thank you
So of all of the variations in this investment thread you have blessed us with
which is the best candidate using the 4 selectable categories of SPY EFA IWM AGG?
Is it just the Yahoo 3 month look back or the filter on page 40 or the 3 month offset?
I am not asking for investment advise ;-) just looking for the one that is strongest suited
for better than buy and hold gains.
I really like the filter on page 40 but would like your thoughts.
Thank you
|
amtmail
34 posts
msg #122899
- Ignore amtmail |
2/21/2015 4:14:47 PM
Kevin ,please where i can find site to do a filter for momentum for stocks (not ETFs) and to do back testing for that filter?
|
sohailmithani
192 posts
msg #122965
- Ignore sohailmithani |
2/27/2015 9:53:15 AM
Seems like IWM for March. Right?
AGG in Feb did not turn out to be profitable.
|
sohailmithani
192 posts
msg #123081
- Ignore sohailmithani |
3/7/2015 3:10:50 PM
It is IWM for March. Right?
|
dashover
226 posts
msg #123322
- Ignore dashover |
3/24/2015 1:49:58 PM
So Kevin, have you switched over to the XLU, AGG , XLI and now look weekly at which one has the best relative strength over the last 20 weeks versus the SPY?
Did you test 8 weeks, 12 weeks, 15 weeks.. and how did those compare?
Why are you now using relative strength versus the SPY instead of absolute performance over the last 68 days?
Thanks!!!!
Dash
|
sohailmithani
192 posts
msg #123325
- Ignore sohailmithani |
3/24/2015 8:09:11 PM
Kevin,
Can you please share the strata code for it. I use Amibroker and guess both have similar code syntax.
Thanks
|
Kevin_in_GA
4,599 posts
msg #123335
- Ignore Kevin_in_GA |
3/25/2015 5:00:55 PM
The code for this is pretty simple - I will repost it here:
Just invest in the top performer. No additional code needed. The Stratasearch code was developed for optimizing the look-back period, which remains at 3 months as the best performer. Just us this simple code at the end of each month.
|
sohailmithani
192 posts
msg #123340
- Ignore sohailmithani |
3/25/2015 6:45:01 PM
Kevin you are the best. Thank you so much.
Are you trading this one? IWM for March was the call. It should end well.
|
Kevin_in_GA
4,599 posts
msg #123341
- Ignore Kevin_in_GA |
3/25/2015 8:47:16 PM
I am using an even simpler system - just SPY or AGG. Based on my SS optimization the best look-back period was 6 months. Even after today's drubbing it still says to stay in SPY right now. We'll see at the end of the month.
My guess is that no one here on SF will use this, since the frequency with which you re-allocate is only once or twice a year. Probably too boring even though it will beat most faster-paced strategies.
|
duke56468
683 posts
msg #123349
- Ignore duke56468 |
3/26/2015 11:03:20 AM
Hi all this will be my last post on SF. I have switched to the less stressful "3% signal" system. Full disclosure, I have no vested interest in this system or book. I want to thank all the great unselfish contributors to SF over the years. My best contribution is to suggest looking into the 3%Signal. Cheap and easy. Like Kevin suggested I'm ready to cut my stress level.
Ben
|