| StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS | << 1 ... 59 60 61 62 63 ... 65 >>Post Follow-up |
| tennisplayer2 210 posts msg #124473 - Ignore tennisplayer2 modified |
7/21/2015 11:47:51 PM I can't seem to be able to open the file, but I do like Tactical Asset Allocation. I also know the Kevin backtests extensively before he posts. Toad, I hope that you are incorrect. Thanks for you input. |
| Toad 20 posts msg #124477 - Ignore Toad |
7/22/2015 9:01:04 AM Tennisplayer (I am also a tennisplayer yay :P). Did you try downloading the file and opening it or just try to let it open in the browser. It is a large file (~10 MB) since it has a lot of raw data in it so it probably won't open in the browser. What version of excel do you have? I will save it down to 2003 format and reupload it tonight...maybe that is the problem. |
| tennisplayer2 210 posts msg #124480 - Ignore tennisplayer2 |
7/22/2015 10:02:02 AM Toad, glad to hear that you are also a tennisplayer. I was able to download it and then open it. Lots of data to analysis. I am surprise that the returns are not that impressive. I hope that Kevin will chime in. Thanks. |
| Toad 20 posts msg #124484 - Ignore Toad |
7/22/2015 8:03:58 PM Good that you were able to open it...just tried to save it down and it looks like I used a formula function throughout =index(match()) that was not available in the older versions...short story is I can't really save it down and keep the formulas intact. I may look through this again this weekend since I do need a good 401k management strategy, but I really do not think I have made an error in my backtesting. |
| Kevin_in_GA 4,599 posts msg #124485 - Ignore Kevin_in_GA |
7/22/2015 9:49:09 PM Toad: not really sure how you are backtesting this - I simply use the end of each month and make a re-allocation at the open of the next trading day. Here are the StrataSearch backtest results for the same period as you have backtested: EQUITY CURVE: 
STATS: 
The more simplistic SPY-AGG system gives basically the same results: EQUITY CURVE: 
STATS: 
This is consistent with what I have been seeing - it beats the market with lower drawdown and consequently a higher Sharpe ratio. Trade it or not as you see fit. |
| Toad 20 posts msg #124487 - Ignore Toad |
7/23/2015 12:02:03 AM It is probably me trying to over-complicate my spreadsheet...I will look into my sheet this weekend. Thanks for providing me with the stratasearch graph for the period I used...should be helpful to find where I am going wrong. |
| mahkoh 1,065 posts msg #124488 - Ignore mahkoh |
7/23/2015 6:54:44 AM Toad, One thing that seriously affects your results is using non adjusted close prices. You should check the results when using adjusted prices as Stratasearch does. |
| Toad 20 posts msg #124489 - Ignore Toad |
7/23/2015 8:33:56 AM I will look at that mahkoh, thanks. I have been using non-adjusted close prices, but can swich them for the adjusted easily. I would imagine that does make a difference especially with AGG. |
| mahkoh 1,065 posts msg #124496 - Ignore mahkoh |
7/23/2015 5:38:41 PM Examining the equity curves above I notice that holding SPY actually outperforms the system until mid 2007. And note that buy and hold nearly doubles after touching breakeven in late 2011 while rotating adds some 50 % during the same period. It would seem the system mainly has an edge during times of market turmoil. |
| Kevin_in_GA 4,599 posts msg #124500 - Ignore Kevin_in_GA |
7/23/2015 10:07:53 PM Mahkoh - basically you are correct, but it really has to do with avoiding large drawdowns. The system may not beat SPY every year, but it seems to beat it over a longer timeframe, which is why this is an INVESTMENT strategy rather than a trading strategy. |
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