| StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS | << 1 ... 45 46 47 48 49 ... 65 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #116753 - Ignore Kevin_in_GA |
11/14/2013 9:35:12 AM I notiuced this as well - actually both IWM and SPY are now ahead of EFA in the ranking. But the month is only halfway over, so I'm willing to wait and see. This time of year is seasonally the best time to be in US equities, and so far the trend seems to be holding true. |
| 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 227 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 227 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; |
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