StockFetcher Forums · Filter Exchange · Kevin why is allocation not showing in my column listing?<< >>Post Follow-up
SAFeTRADE
644 posts
msg #110324
- Ignore SAFeTRADE		 1/18/2013 10:58:46 AM

Kevin, love your original filter using using only 4 ETFS. I am using it in my 401K account. I wanted to increase the diversity a bit so added a few more of them. Can you tell me why "add column allocation {Sharpe-based allocation (%)}"
does not show in my columns?

Fetcher[
SYMLIST(IWM,EFA,SPY,AGG,vb,amj,ewa,ewj,vnq,dba,dbb,dbo,iau,shy,tlt,sh)


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{var2a, IND(SPY, sharpe)}
set{var2b, IND(IWM, sharpe)}
set{var2c, IND(EFA, sharpe)}
set{var2d, IND(AGG, sharpe)}
set{var2e, IND(tlt, sharpe)}
set{var2f, IND(vb, sharpe)}
set{var2g, IND(amj, sharpe)}
set{var2h, IND(ewa, sharpe)}
set{var2i, IND(ewj, sharpe)}
set{var2j, IND(vnq, sharpe)}
set{var2k, IND(dba, sharpe)}
set{var2l, IND(dbb, sharpe)}
set{var2m, IND(dbo, sharpe)}
set{var2n, IND(iau, sharpe)}
set{var2o, IND(shy, sharpe)}
set{var2p, IND(sh, 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{var3j, COUNT(var2j is above 0,1)}
SET{var3k, COUNT(var2k is above 0,1)}
SET{var3l, COUNT(var2l is above 0,1)}
SET{var3m, COUNT(var2m is above 0,1)}
SET{var3n, COUNT(var2n is above 0,1)}
SET{var3o, COUNT(var2o is above 0,1)}
SET{var3p, COUNT(var2p 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{var4j, var2j * var3j}
SET{var4k, var2k * var3k}
SET{var4l, var2l * var3l}
SET{var4m, var2m * var3m}
SET{var4n, var2n * var3n}
SET{var4o, var2o * var3o}
SET{var4p, var2p * var3p}


set{var5a, var4a + var4b}
set{var5b, var4c + var4d}
set{var5c, var4e + var4f}
set{var5d, var4g + var4h}
set{var5e, var4i + var4j}
set{var5f, var4k + var4l}
set{var5g, var4m + var4n}
set{var5h, var4o + var4p}

set{var6a, var5a + var5b}
set{var6b, var5c + var5d}
set{var6c, var5e + var5f}
set{var6d, var5g + var5h}

set{var7a, var6a + var6b}
set{var7b, var6c + var6d}

set{var8a, var7a + var7b}










SET{allocation1, sharpe / var8a}
set{allocation2, allocation1 * count(sharpe above 0,1)}
set{allocation, allocation2 *100}


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 descending
CHART-TIME IS 60 days
draw MA(3)
draw sharpe line at 0

ADD COLUMN WEEKLY ROC(14,1) {14 week performance}


]




Clarence


Kevin_in_GA
4,599 posts
msg #110327
- Ignore Kevin_in_GA		 1/18/2013 11:18:15 AM

No idea. The code looks OK. TomB and SF crew ... any response here??
SAFeTRADE
644 posts
msg #110330
- Ignore SAFeTRADE
modified		 1/18/2013 11:24:08 AM

Kevin, thanks for your quick reply, it is very appreciated.

Clarence
SAFeTRADE
644 posts
msg #110345
- Ignore SAFeTRADE		 1/18/2013 6:23:32 PM

Kevin I just added a space between the "*" and the "100" in the line "set{allocation, allocation2 * 100}
WALA, it works!

Clarence
ladoody
6 posts
msg #110491
- Ignore ladoody		 1/24/2013 2:09:09 PM

It's showing up when I do the filter. It's shown as Sharpe-based allocation (%) which is the description you had in the brackets next to allocation.
StockFetcher Forums · Filter Exchange · Kevin why is allocation not showing in my column listing?<< >>Post Follow-up

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