StockFetcher Forums · Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS<< 1 ... 50 51 52 53 54 ... 65 >>Post Follow-up
jackmack
334 posts
msg #120768
- Ignore jackmack		 6/16/2014 3:02:56 PM

Sorry jimmyjazz - but that is not the way the filter is to be used.
The review is the last day of the month not the first day of the next month
so I am still not sure where Kevin got EFA for June because neither the
yahoo link or the most up to date version of the look back filter had EFA as
the top pick - it was SPY in both cases.
Kevin_in_GA
4,599 posts
msg #120769
- Ignore Kevin_in_GA		 6/16/2014 3:16:44 PM

Jimmyjazz is right. The "purist" filter uses the close value on 2/28 and compares it with the close on 5/30. SPY was the top performer while EFA was a close second. I personally use a smoothed version (taking the ma(3) looking back 63 days) and with that smoothing EFA was on top.

Since then both have done modestly well, each up about 0.7% since the start of this month. I personally stayed in EFA since it was last month's selection as well - I'm lazy I guess.
jackmack
334 posts
msg #120781
- Ignore jackmack		 6/17/2014 9:14:15 AM

Got it - thank you.
So was that the filter from pg. 43 then that you used to come to those picks?
Thank you
Cheers
davesaint86
726 posts
msg #120783
- Ignore davesaint86		 6/17/2014 10:35:58 PM

Figured it out

Fetcher[

SET{perf1A, ma(3) 60 days ago}
SET{perf1b, MA(3) / perf1a}
SET{perf, perf1b - 1}
SET{var1, perf*100}
SET{rfr, ind(^irx,close)}
SET{RISKFREERETURN, rfr/100}
SET{perf63, perf - RISKFREERETURN}
SET{STD63, CSTDDEV(CLOSE,63)}
SET{VOL63a, STD63 / MA(63)}
SET{vol63, vol63a * 100}

/*CALCULATION OF SHARPE RATIO - ANNUALIZED*/
SET{SHARPE1a, perf63 / VOL63a}
set{sharpe, sharpe1a * 0.5}

set{var1a, IND(AMJ, var1)}
set{var1b, IND(DVY, var1)}
set{var1c, IND(FXG, var1)}
set{var1d, IND(IOO, var1)}
set{var1e, IND(IWS, var1)}
set{var1f, IND(IYF, var1)}
set{var1g, IND(SPLV, var1)}
set{var1h, IND(XLV, var1)}
set{var1i, IND(XLY, var1)}

SET{RANK1A, COUNT(var1 is above var1a,1)}
SET{RANK1B, COUNT(var1 is above var1b,1)}
SET{RANK1C, COUNT(var1 is above var1c,1)}
SET{RANK1D, COUNT(var1 is above var1d,1)}
SET{RANK1E, COUNT(var1 is above var1e,1)}
SET{RANK1F, COUNT(var1 is above var1f,1)}
SET{RANK1G, COUNT(var1 is above var1g,1)}
SET{RANK1H, COUNT(var1 is above var1h,1)}
SET{RANK1I, COUNT(var1 is above var1i,1)}


SET{RANK1J, RANK1A + RANK1B}
SET{RANK1K, RANK1C + RANK1D}
SET{RANK1L, RANK1E + RANK1F}
SET{RANK1M, RANK1G + RANK1H}
SET{RANK1N, RANK1I + RANK1J}
SET{RANK1O, RANK1K + RANK1L}
SET{RANK1P, RANK1M + RANK1N}
SET{RANK1Q, RANK1O + RANK1P}



SET{RANK, 9 - RANK1Q}


set{var2a, IND(AMJ, sharpe)}
set{var2b, IND(DVY, sharpe)}
set{var2c, IND(FXG, sharpe)}
set{var2d, IND(IOO, sharpe)}
set{var2e, IND(IWS, sharpe)}
set{var2f, IND(IYF, sharpe)}
set{var2g, IND(SPLV, sharpe)}
set{var2h, IND(XLV, sharpe)}
set{var2i, IND(XLY, sharpe)}

SET{var3a, COUNT(var2a is above 0,1)}
SET{var3b, COUNT(var2b is above 0,1)}
SET{var3c, COUNT(var2c is above 0,1)}
SET{var3d, COUNT(var2d is above 0,1)}
SET{var3e, COUNT(var2e is above 0,1)}
SET{var3f, COUNT(var2f is above 0,1)}
SET{var3g, COUNT(var2g is above 0,1)}
SET{var3h, COUNT(var2h is above 0,1)}
SET{var3i, COUNT(var2i is above 0,1)}




























SET{var4a, var2a * var3a}
SET{var4b, var2b * var3b}
SET{var4c, var2c * var3c}
SET{var4d, var2d * var3d}
SET{var4e, var2e * var3e}
SET{var4f, var2f * var3f}
SET{var4g, var2g * var3g}
SET{var4h, var2h * var3h}
SET{var4i, var2i * var3i}

set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var4e + var4f}
set{var5d, var4g + var4h}
set{var5e, var4i}


set{var5f, var5a + var5b}
set{var5g, var5c + var5d}
set{var5h, var5e}

set{var5i, var5f + var5g}
set{var5j, var5h + var5i}


SET{allocation1, sharpe / var5j}


set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


symlist(amj,dvy,fxg,iws,ioo,iyf,splv,xlv,xly)
ADD COLUMN SEPARATOR
ADD COLUMN RANK {TAA current rank}
ADD COLUMN SEPARATOR
ADD COLUMN var1 {3 month return (%)}
ADD COLUMN vol63 {volatility (%)}
add column sharpe {sharpe ratio}
add column allocation {Sharpe-based allocation (%)}
add column corr(spy,63, close) {correlation to S&P 500}

SORT ON COLUMN 6 ascending
CHART-TIME IS 60 days
draw MA(3)
draw sharpe line at 0

]
jemarcks
26 posts
msg #120833
- Ignore jemarcks		 6/20/2014 4:47:11 PM

Greetings all!! I am new to SF and have been reading forum posts for the last few days trying to catch up.

Kevin, great thread and love your work!

I have read most of this thread and took a few notes. I have a couple of questions to help me get up to date with the latest filters from this thread and usage models.
I have a 401k that I can buy any ETF or mutual fun in and I have been working on a system based on a book I read called the Ivy portfolio which is similar to Kevin's 401k system here. Im looking for a profitable system to manage my 401k with.

1. What is the latest filter to use for 401k, TAA, and ROC?
2. I have see you post about your web site but I cant find a link to it. Maybe I skimmed over it. Can you please post it?

Thanks!

Jeff


frsrblch
35 posts
msg #120837
- Ignore frsrblch
modified		 6/21/2014 1:00:13 PM

The latest filter uses a 3-month look-back period, or approximately 63 trading days. The code is as follows:

Fetcher[symlist(spy,iwm,efa,agg)

sort on column 5 descending

set{diff2,close minus close 63 days ago}
set{diff2%,diff2 / close 63 days ago}
set{ratio63,diff2% * 100}

add column ratio63]



Kevin's site can be found at http://www.statisticalinvesting.com/
jemarcks
26 posts
msg #120916
- Ignore jemarcks		 6/30/2014 1:40:46 PM

Thanks for the link to Kevins site. Great job Kevin!
So, this filter would be traded at the end of the month and pick the highest alpha?

How do I backtest the ROC, TSI and the latest filter posted above?

Thanks
Jeff


Kevin_in_GA
4,599 posts
msg #120918
- Ignore Kevin_in_GA		 6/30/2014 4:07:30 PM

Fetcher[
symlist(spy,iwm,efa,agg)

sort on column 5 descending

offset 3/31/2014
]



SPY it is.
jemarcks
26 posts
msg #120937
- Ignore jemarcks		 7/2/2014 10:47:53 AM

Hi Kevin! Great work here! Thank you for sharing!
Did you backtest the TAA/TSI and ROC filters on StrataSearch?
If so, could you post the code here so we can backtest them too?

Thanks
jeff


amtmail
34 posts
msg #120976
- Ignore amtmail		 7/8/2014 1:29:36 AM

Kevin Or any member I have question can we get here in stockfetcher one filter for ETFS portfolio selection based 50% on 3months performance ,40% 6 months performance and 10% 6months volatility
any help please
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